Working Paper 17.06.2019 Variance Premium, Downside Risk, and Expected Stock Returns

We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large ...

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Working Paper 16.12.2014 Modelling Tail Risk in a Continuous Space

Non normal distributions are a fact of life. In the financial world, many distributions display tail risk, i.e. (negative) skewness and excess kurtosis.

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Working Paper 15.04.2013 Fundamental indexation for bond markets

The standard indices available for the bond investment markets, are composed of securities that are weighed by the size of the outstanding debt, and are for tha...

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  • 22

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