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An evaluation framework for alternative VaR-models
Bams, Dennis; Lehnert, Thorsten; Wolff, Christiaan … - In: Journal of international money and finance 24 (2005) 6, pp. 944-958
Persistent link: https://www.econbiz.de/10003114006
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From time varying risk-aversion and sentiment to anomalies in market moments' risk premia
Bams, Dennis; Honarvar, Iman; Lehnert, Thorsten - 2015
Persistent link: https://www.econbiz.de/10011547082
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From Time Varying Risk-Aversion to Anomalies in Market Moments’ Risk Premia
Bams, Dennis - 2015
Previous studies on the cross-sectional market moments' risk premia find significantly negative risk premia for the market volatility and the market skewness risks and a positive premium for the market kurtosis risk. However, a significantly negative price of risk for the market skewness and a...
Persistent link: https://www.econbiz.de/10013011646
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An evaluation framework for alternative VaR models
Bams, Dennis - 2002
Persistent link: https://www.econbiz.de/10013423989
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Exploring the genesis of economic innovations : the religious gestalt-switch and the duty to invent as preconditions for economic growth
Reinert, Erik S. - In: European journal of law and economics 4 (1997) 2, pp. 233-283
Persistent link: https://www.econbiz.de/10001223083
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The determinants of coco bond prices
Khah, Sara Abed Masror; Vermaelen, Theo; Wolff, Christian - 2015
Persistent link: https://www.econbiz.de/10011441353
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Exploring the genesis of economic innovations : the religious gestalt-switch and the duty to invent as preconditions for economic growth
Reinert, Erik S.; Daastøl, Arno Mong - In: The visionary realism of German economics : from the …, (pp. 107-161). 2019
Persistent link: https://www.econbiz.de/10012006593
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More evidence on the dollar risk premium in the foreign exchange market
Bams, Dennis; Walkowiak, Kim; Wolff, Christiaan … - 2002
Persistent link: https://www.econbiz.de/10001780776
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Direct estimation of the risk neutral factor dynamcis of Gaussian term structure models
Bams, Dennis; Schotman, Peter C. - In: Journal of econometrics 117 (2003) 1, pp. 179-206
Persistent link: https://www.econbiz.de/10001787610
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More evidence on the dollar risk premium in the foreign exchange market
Bams, Dennis; Walkowiak, Kim; Wolff, Christiaan … - In: Journal of international money and finance 23 (2004) 2, pp. 271-282
Persistent link: https://www.econbiz.de/10001957071