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Bondarenko, Oleg [Author] ; Bernard, Carole [Other]

Option-Implied Dependence and Correlation Risk Premium

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[S.l.]: SSRN, [2020]
Figueiredo, Antonio [Author]; Parhizgari, Ali M. [Author]; Dupoyet, Brice [Author]

The information content of currency option-implied volatilities : implications for ex-ante forecasts of global equity correlations

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2023

Published in: The European journal of finance ; 29(2023), 18, Seite 2128-2153
Schadner, Wolfgang [Author]

Forward looking up-/down correlations

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2021

Published in: Quantitative finance and economics ; 5(2021), 3, Seite 471-495
Distaso, Walter [Author]; Mele, Antonio [Author]; Vilkov, Grigory [Author]

Cross-section without factors : correlation risk, strings and asset prices - [This version: January 13, 2021]

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Geneva: Swiss Finance Institute, 2021

Published in: Swiss Finance Institute: Research paper series ; 2020,119
Schoenleber, Lorenzo [Author]

Correlations, Value Factor Returns, and Growth Options

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https://ssrn.com/abstract=3480606

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[S.l.]: SSRN, [2020]
Hager, Svenja [Author]; Schöbel, Rainer [Author]

A note on the correlation smile

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http://hdl.handle.net/10419/40330

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Tübingen: Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät, 2005
Cruywagen, Gerhard C [Author]

Consistent Formulations for Active Share and Portfolio Concentration

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[S.l.]: SSRN, [2021]
Hollstein, Fabian [Author]; Prokopczuk, Marcel [Author]; Wese Simen, Chardin [Author]

The term structure of systematic and idiosyncratic risk

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http://hdl.handle.net/10419/172872

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Hannover: Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, 2017
Vilkovz, Grigory [Author]; Xiaox, Yan [Author]

Option-implied information and predictability of extreme returns

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http://hdl.handle.net/10419/88713

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Frankfurt a. M.: Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, 2013
Heidorn, Thomas [Author]; Kahlert, Dennis [Author]

Implied correlations of iTraxx tranches during the financial crisis

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http://hdl.handle.net/10419/36692

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Frankfurt a. M.: Frankfurt School of Finance & Management, 2010
Malz, Allan M. [Author]

Risk-neutral systemic risk indicators

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http://hdl.handle.net/10419/93596

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New York, NY: Federal Reserve Bank of New York, 2013
Choros-Tomczyk, Barbara [Author]; Härdle, Wolfgang Karl [Author]; Overbeck, Ludger [Author]

Copula dynamics in CDOs

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http://hdl.handle.net/10419/79604

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Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2012
Härdle, Wolfgang Karl [Author]; Silyakova, Elena [Author]

Implied basket correlation dynamics

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http://hdl.handle.net/10419/79606

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Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2012
Lee, Seunghee [Author] ; Park, Kwang Soo [Other]

코스피200 선물의 이론가 괴리율과 코스피200 옵션 내재변동성의 상관관계 (The Correlation between KOSPI200 Futures’ Price Disparity Ratio and Implied Volatility of KOSPI200 Options)

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[S.l.]: SSRN, [2018]

Published in: Financial Planning Review ; Vol. 9, No. 2, 2016
Inghelbrecht, Koen [Author]; Verdickt, Gertjan [Author]; Linders, Daniël [Author]; Xie, Yong [Author]

Model-Free Implied Dependence and the Cross-Section of Returns

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[S.l.]: SSRN, 2022
Härdle, Wolfgang K. [Author] ; Silyakova, Elena [Other]

Implied Basket Correlation Dynamics

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[S.l.]: SSRN, [2016]
Paulusch, Joachim [Author]; Schlütter, Sebastian [Author]

Sensitivity-implied tail-correlation matrices - [This version: 7th August 2021]

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Frankfurt am Main: International Center for Insurance Regulation, Goethe University Frankfurt, [2021]

Published in: International Center for Insurance Regulation: Working paper series ; 33
Paulusch, Joachim [Author]; Schlütter, Sebastian [Author]

Sensitivity-implied tail-correlation matrices

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https://nbn-resolving.org/urn:nbn:de:hebis:30:3-771493

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Frankfurt am Main: Universitätsbibliothek Johann Christian Senckenberg, 2021

Published in: ICIR Working Paper Series ; No. 33/2019 [7.8.21]
Paulusch, Joachim [Author]; Schlütter, Sebastian [Author]

Sensitivity-implied tail-correlation matrices

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http://hdl.handle.net/10419/246066

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Frankfurt a. M.: Goethe University Frankfurt, International Center for Insurance Regulation (ICIR), 2021
Algaba, Andres [Author] ; Boudt, Kris [Other]; Vanduffel, Steven [Other]

The Variance Implied Conditional Correlation

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[S.l.]: SSRN, [2020]

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