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Intra-day behaviour of treasury sector index option implied volatilities around macroeconomic announcements
Heuson, Andrea Jane; Su, Tie - In: The financial review : the official publication of the … 38 (2003) 1, pp. 161-177
Persistent link: https://www.econbiz.de/10001794345
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Stochastic discount factor bounds with conditioning information
Ferson, Wayne E.; Siegel, Andrew F. - In: The review of financial studies 16 (2003) 2, pp. 567-595
Persistent link: https://www.econbiz.de/10001764239
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Stochastic discount factor bounds with conditioning information
Ferson, Wayne E.; Siegel, Andrew F. - 2002
Persistent link: https://www.econbiz.de/10001650667
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Performance measurement with selectivity, market and volatility timing
Ferson, Wayne E.; Mo, Haitao - In: Journal of financial economics 121 (2016) 1, pp. 93-110
Persistent link: https://www.econbiz.de/10011590678
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Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
Ferson, Wayne E. - 2009
Three concepts: stochastic discount factors, multi-beta pricing and mean variance efficiency, are at the core of modern empirical asset pricing. This paper reviews these paradigms and the relations among them, concentrating on conditional asset pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10012767785
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Comment: Some notes of the effects of Fannie Mae and Freddie Mac on mortgage markets
Van Order, Robert - In: The journal of real estate finance and economics 23 (2001) 3, pp. 365-374
Persistent link: https://www.econbiz.de/10001639325
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Comment: Secondary and primary mortgage market interactions
Pearl, David J. - In: The journal of real estate finance and economics 23 (2001) 3, pp. 375-378
Persistent link: https://www.econbiz.de/10001639326
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An empirical test of the Hull-White option pricing model
Corrado, Charles Joseph - In: The journal of futures markets 18 (1998) 4, pp. 363-378
Persistent link: https://www.econbiz.de/10001242646
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Implied volatility skews and stock return skewness and kurtosis implied by stock option prices
Corrado, Charles Joseph - In: The European journal of finance 3 (1997) 1, pp. 73-85
Persistent link: https://www.econbiz.de/10001219143
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Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance
Ferson, Wayne E. - 2003
Three concepts: stochastic discount factors, multi-beta pricing and mean variance efficiency, are at the core of modern empirical asset pricing. This paper reviews these paradigms and the relations among them, concentrating on conditional asset pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10012469262