//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Journal of Financial Economics"
~isPartOf:"ZEW Discussion Papers"
~person:"Jacobs, Kris"
~person:"Schmeling, Maik"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
The fundamental theorem of ass...
Similar by subject
Narrow search
Delete all filters
| 4 applied filters
Year of publication
From:
To:
Subject
All
Erwartungstheorie
2
Finanzanalysten
2
Higher-order expectations
2
forecaster heterogeneity
2
stock market forecasts
2
Analytical filtering
1
Börsenkurs
1
Carry trades
1
Compound Poisson jumps
1
Cross section
1
Deutschland
1
Factor-mimicking portfolios
1
Fat tails
1
Herdenverhalten
1
Idiosyncratic volatility
1
Konjunktur
1
Limits to arbitrage
1
Momentum returns
1
Option-implied moments
1
Risikoprämie
1
Risk premiums
1
Skewness risk
1
USA
1
Volatility risk
1
Zins
1
Zinsstrukturtheorie
1
more ...
less ...
Online availability
All
Free
4
Undetermined
3
Type of publication
All
Book / Working Paper
4
Article
3
Type of publication (narrower categories)
All
Working Paper
2
Language
All
English
4
Undetermined
3
Author
All
Jacobs, Kris
Schmeling, Maik
Schindler, Felix
16
Schrimpf, Andreas
15
Lüders, Erik
14
Rotfuß, Waldemar
10
Schröder, Michael
10
Kroencke, Tim A.
6
Oberndorfer, Ulrich
6
Conrad, Christian
4
Grammig, Joachim G.
4
Kalb, Alexander
4
Kroencke, Tim Alexander
4
Lutz, Benjamin Johannes
4
Osterloh, Steffen
4
Pigorsch, Uta
4
Rittler, Daniel
4
Hong, Harrison
3
Kumar, Alok
3
Longstaff, Francis A.
3
Ramadorai, Tarun
3
Rangvid, Jesper
3
Rottke, Nico
3
So, Eric C.
3
Yu, Jianfeng
3
Yuan, Yu
3
Acharya, Viral V.
2
Bakshi, Gurdip
2
Bali, Turan G.
2
Barberis, Nicholas
2
Bonaparte, Yosef
2
Brown, Stephen J.
2
Brückbauer, Frank
2
Chordia, Tarun
2
Christoffersen, Peter
2
Cohen, Lauren
2
Dick, Christian D.
2
Eberts, Elke
2
Entorf, Horst
2
Fama, Eugene F.
2
Feld, Lars P.
2
more ...
less ...
Institution
All
Zentrum für Europäische Wirtschaftsforschung (ZEW)
2
Published in...
All
Journal of Financial Economics
ZEW Discussion Papers
CREATES Research Papers
20
CIRANO Working Papers
15
Rotman School of Management Working Paper
8
CREATES Research Paper
5
Diskussionsbeitrag
5
Hannover Economic Papers (HEP)
5
CREATES research paper
4
BIS Working Paper
3
CEPR Discussion Papers
3
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
3
Journal of financial economics
3
The journal of finance : the journal of the American Finance Association
3
Wirtschaftswissenschaftliche Fakultät der Leibniz Universität Hannover - Diskussionspapiere
3
Deutsche Bundesbank Discussion Paper
2
Discussion paper / Centre for Economic Policy Research
2
Journal of financial and quantitative analysis : JFQA
2
Journal of international money and finance
2
Working papers / Financial Institutions Center
2
ZEW discussion papers
2
AFA 2011 Denver Meetings Paper
1
AFA 2013 San Diego Meetings Paper
1
AFA 2016 Meetings Paper Forthcoming, Review of Financial Studies
1
Applied economics
1
BIS working papers
1
Bank of Canada Working Paper
1
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Empirical Asset Pricing
1
CESifo Working Paper
1
CESifo working papers
1
Cahiers de recherche
1
Computing in Economics and Finance 2005
1
Danmarks Nationalbank Working Papers
1
Discussion paper
1
Diskussionspapier
1
EFA 2007 Ljubljana Meetings
1
EFA 2007 Ljubljana Meetings Paper
1
EFA 2008 Athens Meetings Paper
1
EMG working paper series
1
European Economic Review
1
more ...
less ...
Source
All
RePEc
5
EconStor
2
Showing
1
-
7
of
7
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options
Christoffersen, Peter
;
Jacobs, Kris
;
Ornthanalai, Chayawat
- In:
Journal of Financial Economics
106
(
2012
)
3
,
pp. 447-472
We build a new class of discrete-time models that are relatively easy to estimate using returns and/or options. The distribution of returns is driven by two factors: dynamic volatility and dynamic jump intensity. Each factor has its own risk premium. The models significantly outperform standard...
Persistent link: https://www.econbiz.de/10010587980
Saved in:
2
Higher-order beliefs among professional stock market forecasters: some first empirical tests
Rangvid, Jesper
;
Schmeling, Maik
;
Schrimpf, Andreas
-
2009
A sizeable literature reports that financial market analysts and forecasters herd for reputational reasons. Using new data from a large survey of professional forecasters' expectations about stock market movements, we find strong evidence that the expected average of all forecasters' forecasts...
Persistent link: https://www.econbiz.de/10010298852
Saved in:
3
Higher-order beliefs among professional stock market forecasters: some first empirical tests
Rangvid, Jesper
;
Schmeling, Maik
;
Schrimpf, Andreas
-
Zentrum für Europäische Wirtschaftsforschung (ZEW)
-
2009
A sizeable literature reports that financial market analysts and forecasters herd for reputational reasons. Using new data from a large survey of professional forecasters' expectations about stock market movements, we find strong evidence that the expected average of all forecasters' forecasts...
Persistent link: https://www.econbiz.de/10005027063
Saved in:
4
Macro expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.
;
Schmeling, Maik
;
Schrimpf, Andreas
-
Zentrum für Europäische Wirtschaftsforschung (ZEW)
-
2010
Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...
Persistent link: https://www.econbiz.de/10008694114
Saved in:
5
Currency momentum strategies
Menkhoff, Lukas
;
Sarno, Lucio
;
Schmeling, Maik
; …
- In:
Journal of Financial Economics
106
(
2012
)
3
,
pp. 660-684
. However, there seem to be very effective limits to
arbitrage
that prevent momentum returns from being easily exploitable in …
Persistent link: https://www.econbiz.de/10010587981
Saved in:
6
Market skewness risk and the cross section of stock returns
Chang, Bo Young
;
Christoffersen, Peter
;
Jacobs, Kris
- In:
Journal of Financial Economics
107
(
2013
)
1
,
pp. 46-68
The cross section of stock returns has substantial exposure to risk captured by higher moments of market returns. We estimate these moments from daily Standard & Poor's 500 index option data. The resulting time series of factors are genuinely conditional and forward-looking. Stocks with high...
Persistent link: https://www.econbiz.de/10010593823
Saved in:
7
Macro expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.
;
Schmeling, Maik
;
Schrimpf, Andreas
-
2010
Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...
Persistent link: https://www.econbiz.de/10010302583
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->