Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Konstantinidi, Eirini"'
Publikováno v:
In Journal of Financial Markets November 2019 46
Publikováno v:
In Journal of Banking and Finance January 2016 62:62-75
Publikováno v:
In Journal of Banking and Finance August 2012 36(8):2260-2273
Publikováno v:
In International Journal of Forecasting 2011 27(2):543-560
Autor:
Faccini, Renato1, Konstantinidi, Eirini2, Skiadopoulos, George1,3,4, Sarantopoulou-Chiourea, Sylvia5
Publikováno v:
Management Science. Oct2019, Vol. 65 Issue 10, p4927-4949. 23p. 7 Charts, 4 Graphs.
Publikováno v:
In Journal of Banking and Finance 2008 32(11):2401-2411
We propose a new predictor of U.S. real economic activity (REA), namely the representative investor's implied relative risk aversion (IRRA) extracted from S&P 500 option prices. IRRA is forward-looking and hence, it is expected to be related to futur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::6cc90d02c8c782fca3a969c50ef3ea8c
https://hdl.handle.net/10419/184801
https://hdl.handle.net/10419/184801
We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather than synthet
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::3f336b80df3166dd72ba2edb9c43b699
https://hdl.handle.net/10419/114465
https://hdl.handle.net/10419/114465