Items for Kaeck, Andreas

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Number of items: 9.

Article

Kaeck, Andreas (2017) Variance-of-variance risk premium. Review of Finance. ISSN 1572-3097 (Accepted)

Kaeck, Andreas (2013) Asymmetry in the jump-size distribution of the S&P 500: evidence from equity and option markets. Journal of Economic Dynamics and Control, 37 (9). pp. 1872-1888. ISSN 0165-1889

Kaeck, Andreas and Alexander, Carol (2013) Continuous-time VIX dynamics: on the role of stochastic volatility of volatility. International Review of Financial Analysis, 28. pp. 46-56. ISSN 10575219

Kaeck, Andreas and Alexander, Carol (2013) Stochastic volatility jump-diffusions for European equity index dynamics. European Financial Management, 19 (3). pp. 470-496. ISSN 1354-7798

Kaeck, Andreas (2013) Hedging surprises, jumps, and model misspecification: a risk management perspective on hedging S&P 500 options. Review of Finance, 17 (4). pp. 1535-1569. ISSN 1572-3097

Kaeck, Andreas and Alexander, Carol (2012) Volatility dynamics for the S&P 500: further evidence from non-affine, multi-factor jump diffusions. Journal of Banking & Finance, 36 (11). pp. 3110-3121. ISSN 0378-4266

Alexander, Carol and Kaeck, Andreas (2012) Does model fit matter for hedging? Evidence from FTSE 100 options. Journal of Futures Markets, 32 (7). pp. 609-638. ISSN 0270-7314

Alexander, Carol, Kaeck, Andreas and Nogueira, Leonardo M (2009) Model risk adjusted hedge ratios. Journal of Futures Markets, 29 (11). pp. 1021-1049. ISSN 0270-7314

Alexander, Carol and Kaeck, Andreas (2008) Regime dependent determinants of credit default swap spreads. Journal of Banking & Finance, 32 (6). pp. 1008-1021. ISSN 0378-4266

This list was generated on Sat Apr 29 05:36:25 2017 BST.