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Tractable hedging: An implementation of robust hedging strategies
In: Journal of economic dynamics & control, Band 30, Heft 11, S. 1937-1962
ISSN: 0165-1889
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International Stochastic Discount Factors and Covariance Risk
In: Journal of Banking and Finance, Volume 123, February 2021, 106018
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Fed Tails: FOMC Announcements and Stock Market Uncertainty
In: Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
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Working paper
Optimists and Pessimists in (In)Complete Markets
In: Journal of Financial and Quantitative Analysis, Volume 55, Issue 8, December 2020, 2466-2499.
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Level and slope of volatility smiles in long-run risk models
In: Journal of economic dynamics & control, Band 86, S. 95-122
ISSN: 0165-1889
The Effects of Oil Inventories on Growth Prospects, Futures Markets, and Risk Premia
In: Paris December 2016 Finance Meeting EUROFIDAI - AFFI
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Working paper
'Nobody is perfect': Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors
In: Journal of economic dynamics & control, Band 61, S. 303-333
ISSN: 0165-1889
Robustness of stable volatility strategies
In: Journal of economic dynamics & control, Band 60, S. 134-151
ISSN: 0165-1889
Nobody is Perfect': Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors
In: SAFE Working Paper No. 114
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Working paper