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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

Loss functions in option valuation : a framework for model selection

Bams, Dennis; Lehnert, Thorsten; Wolff, Christiaan … - 2005

Persistent link: https://www.econbiz.de/10002754751

Volatility concepts and risk management tools

Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2015

Persistent link: https://www.econbiz.de/10011547074

The impact of uncertainty in the oil and gold market on the cross-section of stock returns

Bams, Dennis; Blanchard, Gildas; Honarvar, Iman; … - 2015

Persistent link: https://www.econbiz.de/10011547101

Volatility measures and Value-at-Risk

Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - In: International journal of forecasting 33 (2017) 4, pp. 848-863

Persistent link: https://www.econbiz.de/10011746918

Does oil and gold price uncertainty matter for the stock market?

Bams, Dennis; Blanchard, Gildas; Honarvar, Iman; … - In: Journal of empirical finance 44 (2017), pp. 270-285

Persistent link: https://www.econbiz.de/10011818031

Does Oil and Gold Price Uncertainty Matter for the Stock Market?

Bams, Dennis - 2018

We proxy uncertainty in the stock, oil and gold markets with the variance risk premia, extracted from futures and option contracts. We observe that an independent increase in the stock, oil or gold markets uncertainty coincides with negative returns in different industries. However, only the...

Persistent link: https://www.econbiz.de/10012936739

An evaluation framework for alternative VaR models

Bams, Dennis - 2002

Persistent link: https://www.econbiz.de/10013423989

Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness

Lehnert, Thorsten - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 27-39

Persistent link: https://www.econbiz.de/10001770062

Mutual funds, price pressure and index options

Lehnert, Thorsten - 2016

Persistent link: https://www.econbiz.de/10011565495