6, rue Coudenhove-Kalergi
Luxembourg, L-1359
Luxembourg
University of Luxembourg
Implied volatility, GARCH, index options, forecasting
Value-at-Risk, Financial Time Series, Exchange Rate Positions, GARCH, Estimation Risk, Fat Tail Distributions
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Value-at-risk, financial time series, exchange rate positions, GARCH, estimation risk, fat tail distributions
Art market, Alternative investments, Speculative bubbles, Explosive behavior
Alternative investments, hedge funds, commodities, the search for yield
Prospect Theory, Framing, Mental Accounting, Risk Attitude, Loss Aversion, Probability Perception, Weighting Function, Stochastic Volatility, Option Pricing
GARCH, time varying coefficients, multinomial logit
Prospect Theory, Framing, Mental Accounting, Risk attitude, Loss aversion, Probability
Credit default swap spread, option-implied volatility, lead-lag relationship, price discovery, informed trading
Financial Decision Making, Risk Aversion, Synergies, Culture, Takeovers
Sovereign debt crisis, News announcements, Euro value, Euro crash risk
Option pricing, loss functions, estimation risk, GARCH, implied volatility
Heterogeneous Agents, Option Markets, Fundamentalists, Chartists
Sovereign debt crisis, systemic risk, contagion, bank bail-outs, financial regulation
Realized variance, Ultra-High Frequency data, Tick Time models, Nasdaq, Microstructure noise
Time-varying Risk-aversion, Market Moments’ Risk Premia, Investor Sentiment Index, Intertemporal Capital Asset Pricing Model, Volatility Risk, Skewness Risk, Kurtosis Risk, Cross-Section of Expected Returns
Option Markets, Overreaction, Rational Expectations, Mean Reversion, Volatility
event study, policy announcement, subprime crisis
European sovereign debt crisis, currency options, credit default swaps, currency stability, risk-neutral distribution, crash risk, tail risk
Augmented GARCH process, in- and out-of-sample analysis, scale consistency, truncated Levy Flight, value-at-risk
asset pricing, central moments, investor sentiment, option markets, risk aversion, skewness risk premium
credit default swaps, currency options, currency stability, European sovereign debt crisis, risk-neutral distribution
Islamic Banking, Financial Development, Economic Growth
Uncertainty, Volatility Risk Premium, Stock Market, Oil, Gold, Oil-relevant Industry, Market Segmentation
TIPS, Inflation Expectations, Survey of Professional Forecasters, Financial Crisis, Fixed Income, Trading Strategies and Their Assessment
