Risk Pricing & Trading
| Projekt Start: | 01/2020 |
| Status: | Completed |
| Forscher: | Matteo Bagnara, Nicole Branger, Mariano Massimiliano Croce, Ilya Dergunov, Robert F. Dittmar, Volker Flögel, Holger Kraft, Tatyana Marchuk, Christoph Meinerding, Alessandro Pollastri, Paulo Rodrigues, Satchit Sagade, Christian Schlag, Norman Seeger, Ivan Shaliastovich, Julian Thimme, Rüdiger Weber, Claudia Zunft |
| Bereich: | Financial Markets |
| Finanziert von: | SAFE |
Zugehörige publizierte Papers
| Forscher/innen | Titel | Jahr | Bereich | Keywords |
|---|---|---|---|---|
| Mariano Massimiliano Croce, Tatyana Marchuk, Christian Schlag |
The Leading Premium
Review of Financial Studies |
2023 | Financial Markets | |
| Alessandro Pollastri, Paulo Rodrigues, Christian Schlag, Norman Seeger |
A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
Journal of Empirical Finance |
2023 | Financial Markets | Jump-diffusion Models, Individual Stocks, Markov Chain Monte Carlo |
| Christian Schlag, Julian Thimme |
Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
Management Science |
2021 | Financial Markets | Asset pricing, cross-section of stock returns, predictability |
| Robert F. Dittmar, Christian Schlag, Julian Thimme |
Non-Substitutable Consumption Growth Risk
forthcoming in Management Science |
2025 | Financial Markets | Asset Pricing, Consumption, Cross-section of Stock Returns, Utility Functions |
Zugehörige Working Papers
| Nr. | Forscher/innen | Titel | Jahr | Bereich | Keywords |
|---|---|---|---|---|---|
| 371 | Mariano Massimiliano Croce, Tatyana Marchuk, Christian Schlag | The Leading Premium | 2022 | Financial Markets | |
| 289 | Christian Schlag, Julian Thimme | Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models | 2020 | Financial Markets | Asset pricing, cross-section of stock returns, predictability |
| 317 | Volker Flögel, Christian Schlag, Claudia Zunft | Momentum-Managed Equity Factors | 2021 | Financial Markets | factor timing, time series momentum, anomalies |
| 372 | Alessandro Pollastri, Paulo Rodrigues, Christian Schlag, Norman Seeger | A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks | 2022 | Financial Markets | Jump-diffusion models; individual stocks; Markov Chain Monte Carlo |
| 424 | Matteo Bagnara | The Economic Value of Cross-Predictability: A Performance-Based Measure | 2024 | Financial Markets | Empirical Asset Pricing, Portfolio Choice, Expected Returns, Cross-Predictability |
In this Section:
