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pro vyhledávání: '"Jan Voelzke"'
Autor:
Claudia Wellenreuther, Jan Voelzke
Publikováno v:
Journal of Futures Markets. 39:405-417
Experts have long discussed and empirically investigated whether speculative activity increases volatility on commodity futures markets. Little empirical research, however, analyzes the role of speculators on commodity futures markets in China. Using
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a0400f0da8ecf1f2316d4517d9438440
https://doi.org/10.1002/fut.21984
https://doi.org/10.1002/fut.21984
Autor:
Jan Voelzke, Sebastian Mentemeier
Publikováno v:
Computational Economics. 54:613-624
The Substantial-Gain–Loss-Ratio (SGLR) was developed to overcome some drawbacks of the Gain–Loss-Ratio (GLR) as proposed by Bernardo and Ledoit (J Polit Econ 108(1):144–172, 2000). This is achieved by slightly changing the condition for a good-
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4bdbdc7d45cbaae65a59ff553d0b84b7
https://doi.org/10.1007/s10614-018-9845-2
https://doi.org/10.1007/s10614-018-9845-2
Autor:
Jan Voelzke
Publikováno v:
Finance Research Letters. 12:58-66
The Gain–Loss-Ratio, proposed by Bernardo and Ledoit (2000), can either be used as a performance measure on a market with known prices or to derive price intervals in incomplete markets. For both applications, there is a considerable theoretical dr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::98ff56ecec21fd8f2b05295137aeae79
https://doi.org/10.1016/j.frl.2014.11.007
https://doi.org/10.1016/j.frl.2014.11.007
Autor:
Jan Voelzke
The Gain-Loss-Ratio, proposed by Bernardo and Ledoit (2000), evaluates the attractiveness of an investment opportunity for an investor with a given stochastic discount factor. It can either be used as a performance measure on a market with known pric
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::6b8a65f8a2023df5599c68814b35b6a6
https://www.wiwi.uni-muenster.de/cqe/sites/cqe/files/CQE_Paper/CQE_WP_31_2014.pdf
https://www.wiwi.uni-muenster.de/cqe/sites/cqe/files/CQE_Paper/CQE_WP_31_2014.pdf
Autor:
Jan Voelzke
Publikováno v:
Jan Appel
In this paper, a panel model which describes the relationship between individual labour income and stock prices in Germany is estimated. The specification allows the individuals to cluster concerning the model parameters that describe first the indiv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::80530b3428e62db517bd76abd3b05e3a
http://www.tandfonline.com/doi/abs/10.1080/13504851.2015.1125422
http://www.tandfonline.com/doi/abs/10.1080/13504851.2015.1125422