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  • Search: subject:"pricing kernels"
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Year of publication
Subject
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pricing kernels 13 Option pricing theory 10 Optionspreistheorie 10 CAPM 6 Volatility 6 Volatilität 6 risk aversion 6 Estimation 5 Schätzung 5 Stochastic process 5 Stochastischer Prozess 5 Börsenkurs 4 Capital income 4 Kapitaleinkommen 4 Portfolio selection 4 Portfolio-Management 4 Yield curve 4 Zinsstruktur 4 Anlageverhalten 3 Derivat 3 Derivative 3 Estimation theory 3 Interest rate derivative 3 Lévy processes 3 Schätztheorie 3 Share price 3 Theorie 3 Zinsderivat 3 risk neutral density 3 ARCH model 2 ARCH-Modell 2 Hedging 2 Index-Futures 2 Interest rate 2 Risikoaversion 2 Simulation 2 Theory 2 Time-inhomogeneous Markov processes 2 Zins 2 affine model 2
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Online availability
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Free 14 Undetermined 8
Type of publication
All
Article 14 Book / Working Paper 10
Type of publication (narrower categories)
All
Article in journal 11 Aufsatz in Zeitschrift 11 Working Paper 4 Aufsatz im Buch 1 Book section 1 Conference paper 1 Konferenzbeitrag 1
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Language
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English 18 Undetermined 4 German 2
Author
All
Härdle, Wolfgang Karl 4 Macrina, Andrea 4 Hughston, Lane P. 3 Augustyniak, Maciej 2 Badescu, Alexandru 2 Barros Luís, Jorge 2 Bégin, Jean-François 2 Cassola, Nuno 2 Giacomini, Enzo 2 Handel, Michael 2 AKAHORI, JIRÔ 1 Akahori, Jirô 1 Aloosh, Arash 1 Andrikopoulos, Alexandru 1 Beare, Brendan K. 1 Bekaert, Geert 1 Bouzianis, George 1 Brody, Dorje C. 1 Chabi-Yo, Fousseni 1 Chen, Yuting 1 Coakley, Jerry 1 Cui, Zhenyu 1 Grith, Maria 1 Heijden, Thijs van der 1 Härdle, Wolfgang K. 1 Jayaraman, Sarath Kumar 1 Kirchner, Christian F. W. 1 Kirchner, Christian Friedrich Wolfgang 1 Kuo, Jing-Ming 1 Li, Bingxin 1 Liu, Xiaoquan 1 MACRINA, ANDREA 1 Mahomed, Obeid 1 Meier, David M. 1 Ortega, Juan-Pablo 1 Ou, Fangzheng 1 Parbhoo, Priyanka A. 1 Park, Juhyun 1 Potì, Valerio 1 Renaut, Eric 1
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Institution
All
Institute of Economic Research, Kyoto University 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Department of Economics, University of California-San Diego (UCSD) 1 European Central Bank 1
Published in...
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SFB 649 Discussion Paper 3 International journal of theoretical and applied finance 2 KIER Working Papers 2 SFB 649 Discussion Papers 2 Application of operations research to financial markets 1 Applied mathematical finance 1 ECB Working Paper 1 Economics letters 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance : IJTAF 1 Journal of banking and finance 1 Journal of econometrics 1 Journal of financial econometrics 1 Management Science 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 The European journal of finance 1 The journal of futures markets 1 University of California at San Diego, Economics Working Paper Series 1 Working Paper Series / European Central Bank 1
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Source
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ECONIS (ZBW) 12 RePEc 8 EconStor 4
Showing 1 - 10 of 24
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A general option pricing framework for affine fractionally integrated models
Augustyniak, Maciej; Badescu, Alexandru; Bégin, … - In: Journal of banking and finance 171 (2025), pp. 1-22
Persistent link: https://www.econbiz.de/10015558529
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Systemic perspective of term risk in bank funding markets
Macrina, Andrea; Mahomed, Obeid - In: International journal of theoretical and applied … 27 (2024) 3/4, pp. 1-55
Persistent link: https://www.econbiz.de/10015558943
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Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns
Chen, Yuting; Potì, Valerio - In: Economics letters 235 (2024), pp. 1-4
Persistent link: https://www.econbiz.de/10015071365
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Arbitrage pricing theory for idiosyncratic variance factors
Renaut, Eric; Heijden, Thijs van der; Werker, Bas J. M. - In: Journal of financial econometrics 21 (2023) 5, pp. 1403-1442
Persistent link: https://www.econbiz.de/10014444683
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Illuminating the pricing kernels : short-term and long-term index option returns
Li, Bingxin; Ou, Fangzheng - In: The journal of futures markets 45 (2025) 10, pp. 1795-1817
Persistent link: https://www.econbiz.de/10015464912
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A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej; Badescu, Alexandru; Bégin, … - In: Journal of econometrics 232 (2023) 2, pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
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Currency factors
Aloosh, Arash; Bekaert, Geert - In: Management science : journal of the Institute for … 68 (2022) 6, pp. 4042-4064
Persistent link: https://www.econbiz.de/10013369016
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Optimal hedging in incomplete markets
Bouzianis, George; Hughston, Lane P. - In: Applied mathematical finance 27 (2020) 4, pp. 265-287
Persistent link: https://www.econbiz.de/10012425323
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Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Andrikopoulos, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Application of operations research to financial markets, (pp. 27-57). 2019
Persistent link: https://www.econbiz.de/10012157341
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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