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Detemple, Jérôme B.; Rindisbacher, Marcel - In: The handbook of post crisis financial modelling, (pp. 190-213). 2016

Persistent link: https://www.econbiz.de/10011475766

Optimal investment under cost uncertainty

Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Risks : open access journal 6 (2018) 1, pp. 1-19

This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project...

Persistent link: https://www.econbiz.de/10011811536

The value of green energy under regulation uncertainty

Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Energy economics 89 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012517067

State dependence in fundamentals and preferences explains risk-aversion puzzle

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002739756

The long and the short of the risk-return trade-off

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - In: Journal of econometrics 187 (2015) 2, pp. 580-592

Persistent link: https://www.econbiz.de/10011499780

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 377-387

Persistent link: https://www.econbiz.de/10011987504

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409

Persistent link: https://www.econbiz.de/10011987513

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Bali, Turan G. - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 413-417

Persistent link: https://www.econbiz.de/10011987520

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Jacobs, Kris - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 410-412

Persistent link: https://www.econbiz.de/10011987533

Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426

Persistent link: https://www.econbiz.de/10011987534