(Translated by https://www.hiragana.jp/)
Citation data for document RePEc:bis:biswps:296
create a website

Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis. (2010). Zhou, Hao ; Zhu, Haibin ; Huang, Xin.
In: BIS Working Papers.
RePEc:bis:biswps:296.

Full description at Econpapers || Download paper

Cited: 37

Citations received by this document

Cites: 31

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. .

    Full description at Econpapers || Download paper

  2. Measuring the deadly embrace: Systemic and sovereign risks. (2021). de Simone, Francisco Nadal.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:56:y:2021:i:c:s0275531920309569.

    Full description at Econpapers || Download paper

  3. .

    Full description at Econpapers || Download paper

  4. Monitoring systemic risk in the hedge fund sector. (2017). Hespeler, Frank ; Loiacono, Giuseppe .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:12:p:1859-1883.

    Full description at Econpapers || Download paper

  5. Systemic Financial Sector and Sovereign Risks. (2017). Nadal De Simone, Francisco ; Jin, Xisong.
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp109.

    Full description at Econpapers || Download paper

  6. A review of individual and systemic risk measures in terms of applicability for banking regulations. (2016). Sum, Katarzyna.
    In: Contemporary Economics.
    RePEc:wyz:journl:id:435.

    Full description at Econpapers || Download paper

  7. Tracking Changes in the Intensity of Financial Sectors Systemic Risk. (2016). Nadal De Simone, Francisco ; Jin, Xisong.
    In: BCL working papers.
    RePEc:bcl:bclwop:bclwp102.

    Full description at Econpapers || Download paper

  8. Basic Indicators of Systemic Risk in the EU Banking Sector. Implications for Banking Regulation. (2015). Katarzyna, Sum .
    In: International Journal of Management and Economics.
    RePEc:vrs:ijomae:v:47:y:2015:i:1:p:36-55:n:2.

    Full description at Econpapers || Download paper

  9. Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano. (2014). Zevallos, Mauricio ; del Carpio, Carlos ; Abbara, Omar ; Villarreal, Fernanda.
    In: Working Papers.
    RePEc:rbp:wpaper:2014-023.

    Full description at Econpapers || Download paper

  10. The impact of CDS trading on the bond market: Evidence from Asia. (2014). SHIM, ILHYOCK ; Zhu, Haibin .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:460-475.

    Full description at Econpapers || Download paper

  11. Identifying and Regulating Systemically Important Financial Institutions. (2014). Nieri, Laura ; Bongini, Paola .
    In: Economic Notes.
    RePEc:bla:ecnote:v:43:y:2014:i:1:p:39-62.

    Full description at Econpapers || Download paper

  12. Measuring Systemic Risk. (2013). Caruana, Jaimes .
    In: Chapters.
    RePEc:elg:eechap:15454_9.

    Full description at Econpapers || Download paper

  13. Measuring the systemic importance of interconnected banks. (2013). Drehmann, Mathias ; Tarashev, Nikola.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:22:y:2013:i:4:p:586-607.

    Full description at Econpapers || Download paper

  14. Multivariate dependence of implied volatilities from equity options as measure of systemic risk. (2013). Jobst, Andreas.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:28:y:2013:i:c:p:112-129.

    Full description at Econpapers || Download paper

  15. Bailouts, Monitoring, and Penalties: An Integrated Framework of Government Policies to Manage the Too-Big-to-Fail Problem. (2013). Jones, Kenneth D. ; Gong, Ning .
    In: International Review of Finance.
    RePEc:bla:irvfin:v:13:y:2013:i:3:p:299-325.

    Full description at Econpapers || Download paper

  16. Systemic risk analysis and option-based theory and information. (2012). Saldias, Martin.
    In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies.
    RePEc:ptu:bdpart:r201203.

    Full description at Econpapers || Download paper

  17. An Empirical Analysis of the Risk Taking Channel of Monetary Policy in Turkey. (2012). Ozsuca, Ekin Ayse ; Akbostanci, Elif.
    In: ERC Working Papers.
    RePEc:met:wpaper:1208.

    Full description at Econpapers || Download paper

  18. Systemic Risk Contributions. (2012). Zhou, Hao ; Huang, Xin ; Zhu, Haibin.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:42:y:2012:i:1:p:55-83.

    Full description at Econpapers || Download paper

  19. Bank resilience to systemic shocks and the stability of banking systems: Small is beautiful. (2012). Vallascas, Francesco ; Keasey, Kevin.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:6:p:1745-1776.

    Full description at Econpapers || Download paper

  20. Can portfolio diversification increase systemic risk? evidence from the U.S and European mutual funds market. (2011). Scandizzo, Pasquale ; Dicembrino, Claudio .
    In: MPRA Paper.
    RePEc:pra:mprapa:33715.

    Full description at Econpapers || Download paper

  21. Comment on Systemic Risks and the Macroeconomy. (2011). Zhou, Hao.
    In: NBER Chapters.
    RePEc:nbr:nberch:12052.

    Full description at Econpapers || Download paper

  22. Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework. (2011). Campolongo, Francesca ; Lisa, Riccardo ; Marchesi, Massimo ; Vallascas, Francesco ; Zedda, Stefano.
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:40:y:2011:i:3:p:123-141.

    Full description at Econpapers || Download paper

  23. Germany; Technical Note on Stress Testing. (2011). International Monetary Fund, .
    In: IMF Staff Country Reports.
    RePEc:imf:imfscr:2011/371.

    Full description at Econpapers || Download paper

  24. Sweden; Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector. (2011). International Monetary Fund, .
    In: IMF Staff Country Reports.
    RePEc:imf:imfscr:2011/286.

    Full description at Econpapers || Download paper

  25. United Kingdom; Stress Testing the Banking Sector Technical Note. (2011). International Monetary Fund, .
    In: IMF Staff Country Reports.
    RePEc:imf:imfscr:2011/227.

    Full description at Econpapers || Download paper

  26. Systemic risk contributions. (2011). Zhou, Hao ; Zhu, Haibin ; Huang, Xin.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2011-08.

    Full description at Econpapers || Download paper

  27. Systemic surcharges and measures of systemic importance. (2011). Berg, Sigbjorn Atle .
    In: Journal of Financial Regulation and Compliance.
    RePEc:eme:jfrcpp:v:19:y:2011:i:4:p:383-395.

    Full description at Econpapers || Download paper

  28. Implementing a Macroprudential Framework: Blending Boldness and Realism. (2011). BORIO, Claudio.
    In: Capitalism and Society.
    RePEc:bpj:capsoc:v:6:y:2011:i:1:n:1.

    Full description at Econpapers || Download paper

  29. Rediscovering the macroeconomic roots of financial stability policy: journey, challenges and a way forward. (2011). BORIO, Claudio.
    In: BIS Working Papers.
    RePEc:bis:biswps:354.

    Full description at Econpapers || Download paper

  30. Measuring the systemic importance of interconnected banks. (2011). Tarashev, Nikola ; Drehmann, Mathias.
    In: BIS Working Papers.
    RePEc:bis:biswps:342.

    Full description at Econpapers || Download paper

  31. Systemic importance: some simple indicators. (2011). Tarashev, Nikola ; Drehmann, Mathias.
    In: BIS Quarterly Review.
    RePEc:bis:bisqtr:1103e.

    Full description at Econpapers || Download paper

  32. Systemic risk contributions. (2011). Zhu, Haibin ; Huang, Xin ; Zhou, Hao.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:60-05.

    Full description at Econpapers || Download paper

  33. Measuring Systemic Risk in the Colombian Financial System: Systemic Contingent Claims Approach. (2011). Morales Mosquera, Miguel ; Gomez, Esteban ; Miguel angel Morales Mosquera, ; Laverde, Mariana .
    In: Temas de Estabilidad Financiera.
    RePEc:bdr:temest:060.

    Full description at Econpapers || Download paper

  34. Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward. (2011). BORIO, Claudio.
    In: Annual Review of Financial Economics.
    RePEc:anr:refeco:v:3:y:2011:p:87-117.

    Full description at Econpapers || Download paper

  35. Reducing systemic relevance: A proposal. (2010). Weder, Beatrice ; Wagner, Marco ; Klueh, Ulrich ; di Mauro, Beatrice Weder ; Kluh, Ulrich ; Doluca, Hasan .
    In: Working Papers.
    RePEc:zbw:svrwwp:042010.

    Full description at Econpapers || Download paper

  36. United States; Publication of Financial Sector Assessment Program Documentation: Technical Note on Stress Testing. (2010). International Monetary Fund, .
    In: IMF Staff Country Reports.
    RePEc:imf:imfscr:2010/244.

    Full description at Econpapers || Download paper

  37. The impact of CDS trading on the bond market: evidence from Asia. (2010). SHIM, ILHYOCK ; Zhu, Haibin .
    In: BIS Working Papers.
    RePEc:bis:biswps:332.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. A?t-Sahalia, Yacine and Andrew Lo (2000), Nonparametric risk management and implied risk aversion, Journal of Econometrics, vol. 94, 9–51.

  2. Adrian, Tobias and Markus Brunnermeier (2008), CoVaR, Federal Reserve Bank of New York Staff Reports.
    Paper not yet in RePEc: Add citation now
  3. Altman, Edward and Vellore Kishore (1996), Almost everything you want to know about recoveries on default bonds, Financial Analysts Journal , vol. 52, 57–64.
    Paper not yet in RePEc: Add citation now

  4. Avesani, Renzo, Antonio Garcia Pascual, and Jing Li (2006), A new risk indicator and stress testing tool: A multifactor nth-to-default CDS basket, IMF Working Paper.

  5. Brunnermeier, Markus, Andrew Crockett, Charles Goodhart, Avinash Persaud, and Hyun Shin (2009), The fundamental principles of financial regualtions, Geneva Reports on the World Economy.
    Paper not yet in RePEc: Add citation now

  6. Chen, Long, Pierre Collin-Dufresne, and Robert S. Goldstein (2008), On the Relation between Credit Spread Puzzles and the Equity Premium Puzzle, Journal of Economic Perspectives, forthcoming.

  7. Crocket, Andrew (2000), Marrying the micro- and macro-prudential dimensions of financial stbility, Speech before the Eleventh International Conference of Banking Supervisors, Basel.
    Paper not yet in RePEc: Add citation now
  8. Crosbie, Peter and Jeffrey Bohn (2002), Modeling default risk, KMV White Paper.
    Paper not yet in RePEc: Add citation now
  9. Duffie, Darrall (1999), Credit swap valuation, Financial Analysts Journal , pages 73–87.
    Paper not yet in RePEc: Add citation now
  10. Embrechts, Paul, Dominik D. Lambrigger, and Mario V. W¨uthrich (2009), On extreme value theory, aggregation and diversification in finance, Working Paper, Department of Mathematics, ETH Zurich.
    Paper not yet in RePEc: Add citation now

  11. Engle, Robert (2002), Dynamic donditional dorrelation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business and Economic Statistics, vol. 20, 339–350.

  12. Financial Stability Forum (2009b), Report of the Financial Stability Forum on addressing procyclicality in the financial system, April.
    Paper not yet in RePEc: Add citation now
  13. Glasserman, Paul (2005), Measuing marginal risk contributions in credit portfolios, Journal of Computational Finance, vol. 9, 1–41.
    Paper not yet in RePEc: Add citation now

  14. Glassmerman, Paul and Jingyi Li (2005), Importance sampling for portfolio credit risk, Management Science, vol. 51, 1643–1656.

  15. Heaton, John, Deborah Lucas, and Robert McDonald (2008), Is mark-to-market accounting destablizing? Analysis and implications for policy, Working Paper, University of Chicago and Northwestern University.

  16. Heitfield, Eric, Steve Burton, and Souphala Chomsisengphet (2006), Systematic and idiosyncratic risk in syndicated loan portfolios, Journal of Credit Risk, vol. 2, 3–31.
    Paper not yet in RePEc: Add citation now

  17. Huang, Xin, Hao Zhou, and Haibin Zhu (2009), A framework for assessing the systemic risk of major financial institutions, Journal of Banking and Finance, forthcoming.

  18. Hull, John and AlanWhite (2004), Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation, Journal of Derivatives, vol. 12, 8–23.
    Paper not yet in RePEc: Add citation now

  19. Inui, Koji and Masaaki Kijima (2005), On the significance of expected shortfall as a coherent risk measure, Journal of Banking and Finance, vol. 29, 853–864.

  20. Kim, Don, Mico Loretan, and Eli Remolona (2009), Contagion and risk premia in the amplification of crisis: Evidence from Asian names in the CDS market, Working Paper.

  21. Kurth, Alexandre and Dirk Tasche (2003), Credit risk contributions to value-at-risk and expected shortfall, Risk , vol. 16, 84–88.

  22. Lehar, Alfred (2005), Measuring systemic risk: A risk management approach, Journal of Banking and Finance, vol. 29, 2577–2603.

  23. Merton, Robert (1974), On the pricing of corporate debt: The risk structure of interest rates, Journal of Finance, vol. 29, 449–470.

  24. Merton, Robert and Andr´e Perold (1993), Theory of risk capital in financial firms, Journal of Applied Corporate Finance, vol. 6, 16–32.

  25. Norden, Lars and Wolf Wagner (2008), Credit derivatives and loan pricing, Journal of Banking and Finance, vol. 32, 2560–2569.

  26. Panetta, Fabio, Paolo Angelini, Ugo Albertazzi, Francesco Columba, Wanda Cornacchia, Antonio Di Cesare, Andrea Pilati, Carmelo Salleo, and Giovanni Santini (2009), Financial sector pro-cyclicality: lessons from the crisis, Banca DÂ’Italia Occasional Papers.

  27. Peterson, Mitchell (2009), Estimating standard errors in finance panel data sets: Comparing approaches, Review of Financial Studies, vol. 22, 435–480.

  28. Tarashev, Nikola and Haibin Zhu (2008a), The pricing of portfolio credit risk: Evidence from the credit derivatives market, Journal of Fixed Income, vol. 18, 5–24.

  29. Tarashev, Nikola and Haibin Zhu (2008b), Specification and calibration errors in measures of portfolio credit risk: The case of the ASRF model, International Journal of Central Banking, vol. 4, 129–174.

  30. Tarashev, Nikola, Claudio Borio, and Kostas Tsatsaronis (2009a), Allocating systemic risk to individual institutions: Methodology and policy applications, BIS Working Papers.
    Paper not yet in RePEc: Add citation now

  31. Tarashev, Nikola, Claudio Borio, and Kostas Tsatsaronis (2009b), The systemic importance of financial institutions, BIS Quarterly Review.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Investor attention and FX market volatility. (2015). Goddard, John ; Wang, Qingwei ; Kita, Arben .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:79-96.

    Full description at Econpapers || Download paper

  2. State price densities implied from weather derivatives. (2015). López Cabrera, Brenda ; Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Teng, Huei-Wen ; Lopez-Cabrera, Brenda .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:64:y:2015:i:c:p:106-125.

    Full description at Econpapers || Download paper

  3. Forward-looking robust portfolio selection. (2013). Sigalotti, Laura ; Cecchetti, Sara .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_913_13.

    Full description at Econpapers || Download paper

  4. Implied volatility and risk aversion in a simple model with uncertain growth. (2010). Lundtofte, Frederik .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:30:y:2010:i:1:p:182-191.

    Full description at Econpapers || Download paper

  5. A mathematical proof of the existence of trends in financial time series. (2009). Join, Cedric ; Fliess, Michel .
    In: Post-Print.
    RePEc:hal:journl:inria-00352834.

    Full description at Econpapers || Download paper

  6. Volatility in Equilibrium: Asymmetries and Dynamic Dependencies. (2009). Tauchen, George ; Bollerslev, Tim ; Sizova, Natalia .
    In: CREATES Research Papers.
    RePEc:aah:create:2009-05.

    Full description at Econpapers || Download paper

  7. Testing Monotonicity of Pricing Kernels. (2008). Härdle, Wolfgang ; Timonfeev, Roman ; Golubev, Yuri ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2008-001.

    Full description at Econpapers || Download paper

  8. Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-48.

    Full description at Econpapers || Download paper

  9. Option Pricing: Real and Risk-Neutral Distributions. (2007). Perrakis, Stylianos ; Jackwerth, Jens ; Constantinides, George.
    In: MPRA Paper.
    RePEc:pra:mprapa:11637.

    Full description at Econpapers || Download paper

  10. A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation.. (2007). Zhang, Xibin ; King, Maxwell ; Brooks, Robert D.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2007-11.

    Full description at Econpapers || Download paper

  11. Statistics of Risk Aversion. (2007). Härdle, Wolfgang ; Giacomini, Enzo ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2007-025.

    Full description at Econpapers || Download paper

  12. Risky Choice and Type-Uncertainty in Deal or No Deal?. (2007). Gee, C..
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0758.

    Full description at Econpapers || Download paper

  13. Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-17.

    Full description at Econpapers || Download paper

  14. Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities. (2007). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael .
    In: CREATES Research Papers.
    RePEc:aah:create:2007-16.

    Full description at Econpapers || Download paper

  15. Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk. (2006). Wolfers, Justin ; Gürkaynak, Refet.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11929.

    Full description at Econpapers || Download paper

  16. How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds. (2006). Flavin, Thomas.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1630206.

    Full description at Econpapers || Download paper

  17. Two-dimensional risk-neutral valuation relationships for the pricing of options. (2006). Franke, Günter ; Stapleton, Richard ; Huang, James.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:9:y:2006:i:3:p:213-237.

    Full description at Econpapers || Download paper

  18. Time Dependent Relative Risk Aversion. (2006). Härdle, Wolfgang ; Giacomini, Enzo ; Handel, Michael.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2006-020.

    Full description at Econpapers || Download paper

  19. Expected stock returns and variance risk premia. (2006). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2007-11.

    Full description at Econpapers || Download paper

  20. Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English). (2006). Derviz, Alexis ; Bruha, Jan ; Brha, Jan.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:56:y:2006:i:7-8:p:318-343.

    Full description at Econpapers || Download paper

  21. On Estimating an Assets Implicit Beta. (2006). Stephan, Andreas ; Husmann, Sven .
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp640.

    Full description at Econpapers || Download paper

  22. Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk. (2006). Wolfers, Justin ; Gürkaynak, Refet ; Gurkaynak, Refet. S., .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5466.

    Full description at Econpapers || Download paper

  23. Option-implied preferences adjustments, density forecasts, and the equity risk premium. (2006). Alonso, Francisco ; Blanco, Roberto ; Rubio, Gonzalo.
    In: Working Papers.
    RePEc:bde:wpaper:0630.

    Full description at Econpapers || Download paper

  24. Inferring option-implied investors risk preferences. (2005). Giamouridis, Daniel.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:7:p:479-488.

    Full description at Econpapers || Download paper

  25. Extracting expectations from currency option prices: a comparison of methods. (2005). Micu, Marian .
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:226.

    Full description at Econpapers || Download paper

  26. Estimating the Stochastic Discount Factor without a Utility Function. (2005). Issler, João ; Araujo, Fabio.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:202.

    Full description at Econpapers || Download paper

  27. Unexploited Connections Between Intra- and Inter-temporal Allocation. (2005). Low, Hamish ; Crossley, Thomas.
    In: Social and Economic Dimensions of an Aging Population Research Papers.
    RePEc:mcm:sedapp:131.

    Full description at Econpapers || Download paper

  28. Unexploited Connections Between Intra- and Inter-temporal Allocation. (2005). Low, Hamish ; Crossley, Thomas.
    In: Quantitative Studies in Economics and Population Research Reports.
    RePEc:mcm:qseprr:395.

    Full description at Econpapers || Download paper

  29. Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk. (2005). Wolfers, Justin ; Gürkaynak, Refet.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1899.

    Full description at Econpapers || Download paper

  30. Is the elasticity of intertemporal substitution constant?. (2005). Low, Hamish ; Crossley, Thomas.
    In: IFS Working Papers.
    RePEc:ifs:ifsewp:05/25.

    Full description at Econpapers || Download paper

  31. Dynamics of State Price Densities. (2005). Härdle, Wolfgang ; Hardle, Wolfgang ; Hlavka, Zdenek .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2005-021.

    Full description at Econpapers || Download paper

  32. Macroeconomic derivatives: an initial analysis of market-based macro forecasts, uncertainty, and risk. (2005). Wolfers, Justin ; Gürkaynak, Refet.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2005-26.

    Full description at Econpapers || Download paper

  33. Estimating the stochastic discount factor without a utility function. (2005). Issler, João ; Fernandes, Marcelo ; Araujo, Fabio.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:583.

    Full description at Econpapers || Download paper

  34. Unexploited Connections Between Intra- and Inter-temporal Allocation. (2005). Low, Hamish ; Crossley, Thomas.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0537.

    Full description at Econpapers || Download paper

  35. State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle. (2005). Renault, Eric ; Garcia, René ; René Garcia, ; Chabi-Yo, Fousseni.
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-9.

    Full description at Econpapers || Download paper

  36. Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options. (2004). Han, Bin .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-2.

    Full description at Econpapers || Download paper

  37. Exchange rate risks and asset prices in a small open economy. (2004). Derviz, Alexis.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2004314.

    Full description at Econpapers || Download paper

  38. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-04.

    Full description at Econpapers || Download paper

  39. Consistent Estimation of Pricing Kernels from Noisy Price Data. (2003). Kargin, Vladislav.
    In: Finance.
    RePEc:wpa:wuwpfi:0311001.

    Full description at Econpapers || Download paper

  40. Some Remarks on the Evolution of Risk Preferences. (2003). Schlesinger, Harris.
    In: The Geneva Risk and Insurance Review.
    RePEc:pal:genrir:v:28:y:2003:i:2:p:101-104.

    Full description at Econpapers || Download paper

  41. A class of models satisfying a dynamical version of the CAPM. (2003). NAPP, Clotilde ; Jouini, Elyès.
    In: Post-Print.
    RePEc:hal:journl:halshs-00167159.

    Full description at Econpapers || Download paper

  42. Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio. (2003). Kobzová, Lucie ; Kadlčáková, Narcisa ; Derviz, Alexis ; Kadlkov, Narcisa.
    In: Working Papers.
    RePEc:cnb:wpaper:2003/09.

    Full description at Econpapers || Download paper

  43. Iterative and Recursive Estimation in Structural Non-Adaptive Models. (2003). Renault, Eric ; Patilea, Valentin ; Pastorello, Sergio.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-08.

    Full description at Econpapers || Download paper

  44. Consistent Estimation of Pricing Kernels from Noisy Price Data. (2003). Kargin, Vladislav.
    In: Papers.
    RePEc:arx:papers:math/0310223.

    Full description at Econpapers || Download paper

  45. Nonparametric Option Pricing under Shape Restrictions. (2002). Ait-Sahalia, Yacine ; Duarte, Jefferson.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8944.

    Full description at Econpapers || Download paper

  46. Recovering risk aversion from options. (2001). Panigirtzoglou, Nikolaos ; Bliss, Robert R..
    In: Working Paper Series.
    RePEc:fip:fedhwp:wp-01-15.

    Full description at Econpapers || Download paper

  47. Interpreting the volatility smile: an examination of the information content of option prices. (2001). Weinberg, Steven A..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:706.

    Full description at Econpapers || Download paper

  48. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002). (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-02.

    Full description at Econpapers || Download paper

  49. Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations. (2001). Mele, Antonio ; Fornari, Fabio.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_396_01.

    Full description at Econpapers || Download paper

  50. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-08-26 17:34:25 || Create a citation alert || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.