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Inflation forecasts extracted from nominal and real yield curves

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: The quarterly review of economics and finance : journal … 60 (2016), pp. 180-188

Persistent link: https://www.econbiz.de/10011627436

Estimating time-varying risk aversion from option prices and realized returns

Kosolapova, Maria; Hanke, Michael; Weissensteiner, Alex - In: Quantitative finance 23 (2023) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10013490948

Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy?

Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex - In: The journal of futures markets 35 (2015) 12, pp. 1103-1116

Persistent link: https://www.econbiz.de/10011546229

Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2663-2683

Persistent link: https://www.econbiz.de/10012128877

COVID-19 and market expectations : evidence from option-implied densities

Hanke, Michael; Kosolapova, Maria; Weissensteiner, Alex - In: Economics letters 195 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012509718

Political event portfolios

Hanke, Michael; Stöckl, Sebastian; Weissensteiner, Alex - In: Journal of banking & finance 118 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012521018

The information content of wheat derivatives regarding the Ukrainian war

Branger, Nicole; Hanke, Michael; Weissensteiner, Alex - In: The journal of futures markets 44 (2024) 3, pp. 420-431

Persistent link: https://www.econbiz.de/10014475501

Recovering election winner probabilities from stock prices

Hanke, Michael; Stöckl, Sebastian; Weissensteiner, Alex - In: Finance research letters 45 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10014575493

A stochastic programming approach for multi-period portfolio optimization

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Computational Management Science 6 (2009) 2, pp. 187-208

Persistent link: https://www.econbiz.de/10004970854

No-arbitrage bounds for financial scenarios

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: European Journal of Operational Research 236 (2014) 2, pp. 657-663

We derive no-arbitrage bounds for expected excess returns to generate scenarios used in financial applications. The bounds allow to distinguish three regions: one where arbitrage opportunities will never exist, a second where arbitrage may be present, and a third, where arbitrage opportunities...

Persistent link: https://www.econbiz.de/10010871266