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Luxembourg School of Finance
Radboud University Nijmegen
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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 $5.00 for this paper.
File name: DP3403.
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
Prospect Theory, Framing, Mental Accounting, Risk Attitude, Loss Aversion, Probability Perception, Weighting Function, Stochastic Volatility, Option Pricing
GARCH, time varying coefficients, multinomial logit
Credit default swap spread, option-implied volatility, lead-lag relationship, price discovery, informed trading
Option pricing, loss functions, estimation risk, GARCH, implied volatility
File name: SSRN-id771466.
Art market, Alternative investments, Speculative bubbles, Explosive behavior
Heterogeneous Agents, Option Markets, Fundamentalists, Chartists
Financial Decision Making, Risk Aversion, Synergies, Culture, Takeovers
Realized variance, Ultra-High Frequency data, Tick Time models, Nasdaq, Microstructure noise
event study, policy announcement, subprime crisis
Option Markets, Overreaction, Rational Expectations, Mean Reversion, Volatility
Sovereign debt crisis, News announcements, Euro value, Euro crash risk
File name: Dp2711.
Augmented GARCH process, in- and out-of-sample analysis, scale consistency, truncated Levy Flight, value-at-risk
File name: DP9349.
asset pricing, central moments, investor sentiment, option markets, risk aversion, skewness risk premium
File name: DP9229.
credit default swaps, currency options, currency stability, European sovereign debt crisis, risk-neutral distribution
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: obes.
Sovereign debt crisis, systemic risk, contagion, bank bail-outs, financial regulation
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
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
Prospect Theory, Framing, Mental Accounting, Risk attitude, Loss aversion, Probability
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