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Option trading and individual investor performance

Bauer, Rob; Cosemans, Mathijs; Eichholtz, Piet - In: Journal of banking & finance 33 (2009) 4, pp. 731-746

Persistent link: https://www.econbiz.de/10003820948

Horizon sensitivity of the inflation hedge of stocks

Schotman, Peter C.; Schweitzer, Mark E. - In: Journal of empirical finance 7 (2000) 3/4, pp. 301-315

Persistent link: https://www.econbiz.de/10001557720

Long memory and the term structure of risk

Schotman, Peter C.; Tschernig, Rolf; Budek, Jan - 2008

Persistent link: https://www.econbiz.de/10003908050

The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums

Osterrieder, Daniela; Schotman, Peter C. - 2012

Persistent link: https://www.econbiz.de/10009576958

Long memory and the term structure of risk

Schotman, Peter C.; Tschernig, Rolf; Budek, Jan - In: Journal of financial econometrics : official journal of … 6 (2008) 4, pp. 459-495

Persistent link: https://www.econbiz.de/10003778939

The volatility of long-term bond returns : persistent interest shocks and time-varying risk premiums

Osterrieder, Daniela; Schotman, Peter C. - In: The review of economics and statistics 99 (2017) 5, pp. 884-895

Persistent link: https://www.econbiz.de/10011781305

The Volatility of Long-Term Bond Returns : Persistent Interest Shocks and Time-Varying Risk Premiums

Osterrieder, Daniela - 2018

We develop a model that can match two stylized facts of the term-structure. The first stylized fact is the predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of risk. The second stylized fact is that long-term yields are...

Persistent link: https://www.econbiz.de/10012938568

The Volatility of Long-Term Bond Returns : Persistent Interest Shocks and Time-Varying Risk Premiums

Osterrieder, Daniela - 2018

Persistent link: https://www.econbiz.de/10012940149

A neural network with shared dynamics for multi‐step prediction of value‐at‐risk and volatility

Baştürk, Nalan; Schotman, Peter C.; Schyns, Hugo - 2022

Persistent link: https://www.econbiz.de/10013539142

A Bayesian analysis of stock return volatility and trading volume

Mahieu, Ronald J.; Bauer, Rob - 1997

Persistent link: https://www.econbiz.de/10000969016