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Deflation risk
Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno - In: The review of financial studies 30 (2017) 8, pp. 2719-2760
Persistent link: https://www.econbiz.de/10011755601
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Deflation Risk
Fleckenstein, Matthias - 2013
We study the nature of deflation risk by extracting the objective distribution of inflation from the market prices of …. Despite this, the market places substantial probability weight on deflation scenarios in which prices decline by more than 10 … relatively small premium. De- flation risk is also significantly linked to measures of financial tail risk such as swap spreads …
Persistent link: https://www.econbiz.de/10012459424
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Deflation Risk
Fleckenstein, Matthias - 2013
We study the nature of deflation risk by extracting the objective distribution of inflation from the market prices of …. Despite this, the market places substantial probability weight on deflation scenarios in which prices decline by more than 10 … relatively small premium. De- flation risk is also significantly linked to measures of financial tail risk such as swap spreads …
Persistent link: https://www.econbiz.de/10013078859
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Deflation Risk
Fleckenstein, Matthias - 2013
relatively small premium. Deflation risk is also significantly linked to measures of financial tail risk such as swap spreads …We study the nature of deflation risk by extracting the objective distribution of inflation from the market prices of …. Despite this, the market places substantial probability weight on deflation scenarios in which prices decline by more than 10 …
Persistent link: https://www.econbiz.de/10013079171
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Three essays in international finance and financial economics
Hu, Xiaoqiang - 1994
Persistent link: https://www.econbiz.de/10000916084
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Derivatives and the price of risk
Bollen, Nicolas P. B. - In: The journal of futures markets 17 (1997) 7, pp. 839-854
Persistent link: https://www.econbiz.de/10001228456
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Evaluating the costs of increased lending in low and negative growth local housing markets
Gong, Frank Fangxiong - In: Real estate economics : journal of the American Real … 26 (1998) 2, pp. 207-234
Persistent link: https://www.econbiz.de/10001242766
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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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The information content of the embedded deflation option in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - 2011
Persistent link: https://www.econbiz.de/10009501966
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - In: The journal of finance : the journal of the American … 66 (2011) 6, pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108