Auflistung nach Autor "Weber, Rüdiger"
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Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
Schlag, Christian; Thimme, Julian; Weber, Rüdiger (2020-01-27)We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ...