Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Moerke, Mathis"'
Autor:
Ammann, Manuel1 (AUTHOR), Moerke, Mathis1 (AUTHOR) mathis.moerke@unisg.ch
Publikováno v:
European Financial Management. Sep2023, Vol. 29 Issue 4, p1304-1335. 32p. 1 Diagram, 9 Charts, 3 Graphs.
Autor:
Ammann, Manuel1 (AUTHOR), Moerke, Mathis1 (AUTHOR) mathis.moerke@unisg.ch, Prokopczuk, Marcel2,3 (AUTHOR), Würsig, Christoph Matthias2 (AUTHOR)
Publikováno v:
Journal of Futures Markets. Feb2023, Vol. 43 Issue 2, p168-197. 30p.
Drawing upon more than 12 million observations over the period from 1996 to 2020, we find that allowing for nonlinearities significantly increases the out-of-sample performance of option and stock characteristics in predicting future option returns.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::ae71d54340ef1792a885ca01d1926d5b
https://hdl.handle.net/10419/242849
https://hdl.handle.net/10419/242849
