Michael Herold

affiliation not provided to SSRN

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Estimation of Rare Disaster Concerns From Option Prices – An Arbitrage-Free RND-Based Smile Construction Approach

Journal of Futures Markets (Forthcoming)
Posted: 16 May 2022 Last Revised: 07 Aug 2023
Pascal Albert, Michael Herold and Matthias Muck
University of Bamberg, affiliation not provided to SSRN and University of Bamberg

Abstract:

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option-implied risk measures, rare disaster concerns, volatility smile construction, numerical errors, microstructure noise

2.

Do Opinion Polls Move Stock Prices? Evidence from the US Presidential Election in 2016

Quarterly Review of Economics and Finance, Volume 80, May 2021, Pages 665-690
Posted: 29 Jun 2020 Last Revised: 29 Apr 2022
Michael Herold, Andreas Kanz and Matthias Muck
affiliation not provided to SSRN, affiliation not provided to SSRN and University of Bamberg

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Presidential election uncertainty, Pre-election information, Opinion polls, Industry returns, GARCH-M, Market efficiency

3.

International Stochastic Discount Factors and Covariance Risk

Journal of Banking and Finance, Volume 123, February 2021, 106018
Posted: 23 Sep 2014 Last Revised: 29 Apr 2022
Nicole Branger, Michael Herold and Matthias Muck
University of Münster - Finance Center Muenster, affiliation not provided to SSRN and University of Bamberg

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Stochastic discount factors, International model, Stochastic covariance, Stochastic risk premium, Wishart process, Currency options, Foreign exchange, Unscented Kalman filter