Auflistung LIF-SAFE Working Papers nach JEL-Klassifizierung "G13"

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    • Commodities, Financialization, and Heterogeneous Agents 

      Branger, Nicole; Grüning, Patrick; Schlag, Christian (2016-04-28)
      The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for ...

    • Option-Implied Information and Predictability of Extreme Returns 

      Vilkovz, Grigory; Xiaox, Yan (2013-01-28)
      We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ...

    • Volatility-of-Volatility Risk 

      Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; Thimme, Julian (2018-05-01)
      We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and ...