B. Philipp Kellerhals

University of Tuebingen - Department of Business Administration

Mohlstrasse 36

Tuebingen, D-72074

Germany

Deutscher Investment-Trust

Portfolio Management Quantitative Products

Mainzer Landstrasse 11-13

60329 Frankfurt am Main

Germany

SCHOLARLY PAPERS

3

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CITATIONS

2

Scholarly Papers (3)

1.

Pricing Electricity Forwards Under Stochastic Volatility

Number of pages: 29 Posted: 19 Jul 2001
B. Philipp Kellerhals
University of Tuebingen - Department of Business Administration
Downloads 1,563 (10,778)
Citation 5

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Electricity forwards, stochastic volatility, time-continuous model, equilibrium pricing, Kalman filtering.

2.

Risk Attitudes of Bond Investors

EFMA 2001 Lugano Meetings
Number of pages: 40 Posted: 05 May 2001
B. Philipp Kellerhals and Rainer Schoebel
University of Tuebingen - Department of Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 414 (69,343)

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Risk attitudes, bond market, equilibrium pricing, tastes and beliefs, stochastic price behavior, Kalman filtering.

The Dynamic Behavior of Closed-End Funds and its Implications for Pricing, Forecasting and Trading

Tuebinger Discussion Paper No. 189
Number of pages: 33 Posted: 28 Sep 2000
B. Philipp Kellerhals and Rainer Schoebel
University of Tuebingen - Department of Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences
Downloads 394 (72,843)

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The Dynamic Behavior of Closed-End Funds and its Implications for Pricing, Forecasting and Trading

Journal of Banking and Finance, Vol. 26, No. 8, pp. 1615-1643, 2002
Posted: 30 Jul 2002
B. Philipp Kellerhals and Rainer Schoebel
University of Tuebingen - Department of Business Administration and University of Tuebingen - Faculty of Economics and Social Sciences

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closed-end funds, dynamic price behavior, premium risk, forecasting, portfolio strategies, Kalman filtering