32
H index
48
i10 index
4664
Citations
| 32 H index 48 i10 index 4664 Citations RESEARCH PRODUCTION: 42 Articles 90 Papers 2 Books 4 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Peter F. Christoffersen. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2021 | Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09. Full description at Econpapers || Download paper | |
2021 | The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11. Full description at Econpapers || Download paper | |
2021 | Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15. Full description at Econpapers || Download paper | |
2021 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
2021 | An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413. Full description at Econpapers || Download paper | |
2021 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper | |
2021 | Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096. Full description at Econpapers || Download paper | |
2022 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper | |
2022 | A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312. Full description at Econpapers || Download paper | |
2021 | Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714. Full description at Econpapers || Download paper | |
2021 | On the Origin(s) of the Term Big Data. (2020). Diebold, Francis. In: Papers. RePEc:arx:papers:2008.05835. Full description at Econpapers || Download paper | |
2021 | Price, Volatility and the Second-Order Economic Theory. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2009.14278. Full description at Econpapers || Download paper | |
2021 | Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315. Full description at Econpapers || Download paper | |
2021 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2021 | Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041. Full description at Econpapers || Download paper | |
2021 | To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559. Full description at Econpapers || Download paper | |
2021 | Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209. Full description at Econpapers || Download paper | |
2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper | |
2022 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper | |
2021 | Frequency-Dependent Higher Moment Risks. (2021). BarunÃk, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264. Full description at Econpapers || Download paper | |
2021 | GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series. (2021). STUPFLER, Gilles ; Kawasaki, Yoshinori ; Kaibuchi, Hibiki. In: Papers. RePEc:arx:papers:2104.09879. Full description at Econpapers || Download paper | |
2021 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper | |
2021 | Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518. Full description at Econpapers || Download paper | |
2021 | A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362. Full description at Econpapers || Download paper | |
2021 | Diversified reward-risk parity in portfolio construction. (2021). Kim, Young Shin ; Choi, Jae Hyung. In: Papers. RePEc:arx:papers:2106.09055. Full description at Econpapers || Download paper | |
2021 | Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models. (2021). Heuer, Christof ; During, Bertram. In: Papers. RePEc:arx:papers:2107.09094. Full description at Econpapers || Download paper | |
2021 | Deep equal risk pricing of financial derivatives with non-translation invariant risk measures. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2107.11340. Full description at Econpapers || Download paper | |
2021 | Closed-form portfolio optimization under GARCH models. (2021). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2109.00433. Full description at Econpapers || Download paper | |
2021 | Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044. Full description at Econpapers || Download paper | |
2021 | Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300. Full description at Econpapers || Download paper | |
2021 | Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376. Full description at Econpapers || Download paper | |
2021 | Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033. Full description at Econpapers || Download paper | |
2022 | CBI-time-changed L\evy processes for multi-currency modeling. (2021). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2112.02440. Full description at Econpapers || Download paper | |
2021 | Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302. Full description at Econpapers || Download paper | |
2022 | Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308. Full description at Econpapers || Download paper | |
2021 | Multivariate Realized Volatility Forecasting with Graph Neural Network. (2021). Robert, Christian-Yann ; Chen, Qinkai. In: Papers. RePEc:arx:papers:2112.09015. Full description at Econpapers || Download paper | |
2021 | Spread Option Pricing in a Copula Affine GARCH(p,q) Model. (2021). Mercuri, Lorenzo ; Berton, Edoardo. In: Papers. RePEc:arx:papers:2112.11968. Full description at Econpapers || Download paper | |
2022 | Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper | |
2022 | Forecasting the distribution of long-horizon returns with time-varying volatility. (2022). Ho, Hwai-Chung. In: Papers. RePEc:arx:papers:2201.07457. Full description at Econpapers || Download paper | |
2022 | Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434. Full description at Econpapers || Download paper | |
2022 | Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2202.07148. Full description at Econpapers || Download paper | |
2022 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2022 | Introduction of the Market-Based Price Autocorrelation. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2202.09323. Full description at Econpapers || Download paper | |
2022 | Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644. Full description at Econpapers || Download paper | |
2022 | Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224. Full description at Econpapers || Download paper | |
2022 | Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806. Full description at Econpapers || Download paper | |
2022 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
2022 | Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model. (2022). Olkhov, Victor. In: Papers. RePEc:arx:papers:2204.07506. Full description at Econpapers || Download paper | |
2022 | Forecasting Electricity Prices. (2022). Weron, Rafał ; Uniejewski, Bartosz ; Maciejowska, Katarzyna. In: Papers. RePEc:arx:papers:2204.11735. Full description at Econpapers || Download paper | |
2022 | Volatility Sensitive Bayesian Estimation of Portfolio VaR and CVaR. (2022). Thors, Erik ; Niklasson, Vilhelm ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2205.01444. Full description at Econpapers || Download paper | |
2022 | Topological Data Analysis Ball Mapper for Finance. (2022). Rudkin, Simon ; Qiu, Wanling ; Dlotko, Pawel. In: Papers. RePEc:arx:papers:2206.03622. Full description at Econpapers || Download paper | |
2022 | Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949. Full description at Econpapers || Download paper | |
2022 | Asia-Pacific Islamic Stocks and Gold - A Markov-switching Copula Estimation. (2022). Nugroho, Bayu Adi. In: Asian Economics Letters. RePEc:ayb:jrnael:62. Full description at Econpapers || Download paper | |
2021 | Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil. (2021). Gaglianone, Wagner ; Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:552. Full description at Econpapers || Download paper | |
2021 | Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21. Full description at Econpapers || Download paper | |
2022 | Financial Conditions and Macroeconomic Downside Risks in the Euro Area. (2022). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:863. Full description at Econpapers || Download paper | |
2021 | Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921. Full description at Econpapers || Download paper | |
2022 | Comparison of Models for Growth-at-Risk Forecasting. (2022). Kipriyanov, Aleksei. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:1:p:23-45. Full description at Econpapers || Download paper | |
2021 | Pairs trading and idiosyncratic cash flow risk. (2021). Faff, Robert ; Do, Binh. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:3171-3206. Full description at Econpapers || Download paper | |
2021 | Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599. Full description at Econpapers || Download paper | |
2022 | An empirical investigation of the quality of value?at?risk disclosure in Australia. (2022). Smith, Daniel R ; Campbell, Angus. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:469-491. Full description at Econpapers || Download paper | |
2022 | Tail risk in the fossil fuel industry: an option implied analysis around the unburnable carbon news. (2022). Neudorfer, Pablo. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:493-511. Full description at Econpapers || Download paper | |
2022 | Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385. Full description at Econpapers || Download paper | |
2022 | A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683. Full description at Econpapers || Download paper | |
2021 | Relevance of the disposition effect on the options market: New evidence. (2021). Chou, Robin K ; Chiu, Hsinyu ; Chiang, Mihsiu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:75-106. Full description at Econpapers || Download paper | |
2021 | Expectations and financial markets: Lessons from Brexit. (2021). Hibbert, Ann Marie ; Gu, Chen. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:279-299. Full description at Econpapers || Download paper | |
2021 | The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353. Full description at Econpapers || Download paper | |
2021 | The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market. (2021). Zheng, Kaixin ; Tse, Yiuman ; Liu, Qingfu. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:671-692. Full description at Econpapers || Download paper | |
2022 | Option trading and returns versus the 52?week high and low. (2022). Wei, Jason ; Choy, Siu Kai. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:691-726. Full description at Econpapers || Download paper | |
2021 | The predictive power of macroeconomic uncertainty for commodity futures volatility. (2021). Huang, Zhuo ; Tong, Chen ; Liang, Fang. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:989-1012. Full description at Econpapers || Download paper | |
2021 | An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166. Full description at Econpapers || Download paper | |
2021 | When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669. Full description at Econpapers || Download paper | |
2021 | Optimal investment, derivative demand, and arbitrage under price impact. (2021). Spiliopoulos, Konstantinos ; Robertson, Scott ; Anthropelos, Michail. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:3-35. Full description at Econpapers || Download paper | |
2021 | Fast & furious: Do psychological and legal factors affect commodity price volatility?. (2021). Algieri, Bernardina. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:4:p:980-1017. Full description at Econpapers || Download paper | |
2022 | The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. (2022). Roubaud, David ; Ur, Mobeen ; Bouri, Elie ; Hussain, Syed Jawad. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:1:p:292-316. Full description at Econpapers || Download paper | |
2021 | What model for the target rate. (2021). Feunou, Bruno ; Bruno, Feunou ; Jianjian, Jin ; Jean-Sebastien, Fontaine. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:23:n:1. Full description at Econpapers || Download paper | |
2021 | Testing and Modelling Time Series with Time Varying Tails. (2021). Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2111. Full description at Econpapers || Download paper | |
2021 | Conditional Heteroskedasticity in the Volatility of Asset Returns. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2179. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales. (2021). Crisóstomo, Ricardo ; Crisostomo, Ricardo . In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_73es. Full description at Econpapers || Download paper | |
2021 | Chi-squared tests of interval and density forecasts and the Bank of Englands fan charts. (2001). Wallis, Kenneth. In: Working Paper Series. RePEc:ecb:ecbwps:20010083. Full description at Econpapers || Download paper | |
2022 | On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-5. Full description at Econpapers || Download paper | |
2021 | Assessing the performance of deep learning models for multivariate probabilistic energy forecasting. (2021). Honkapuro, Samuli ; Kaarna, Arto ; Lensu, Lasse ; Kuronen, Toni ; Mashlakov, Aleksei. In: Applied Energy. RePEc:eee:appene:v:285:y:2021:i:c:s0306261920317748. Full description at Econpapers || Download paper | |
2021 | An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439. Full description at Econpapers || Download paper | |
2021 | Higher moment connectedness in cryptocurrency market. (2021). Yarovaya, Larisa ; Arif, Muhammad ; Naeem, Muhammad Abubakr ; Hasan, Mudassar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001064. Full description at Econpapers || Download paper | |
2021 | Window effect with Markov-switching GARCH model in cryptocurrency market. (2021). Wu, Chuanzhen. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:146:y:2021:i:c:s0960077921002563. Full description at Econpapers || Download paper | |
2021 | The closed-form option pricing formulas under the sub-fractional Poisson volatility models. (2021). Yang, Zijian ; Wang, Xiaotian ; Cao, Piyao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:148:y:2021:i:c:s0960077921003660. Full description at Econpapers || Download paper | |
2021 | Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms. (2021). Shi, Chao ; Li, Chenxu ; Cai, Ning. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000488. Full description at Econpapers || Download paper | |
2021 | A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts. (2021). Kurita, Takamitsu ; Castle, Jennifer L. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000749. Full description at Econpapers || Download paper | |
2021 | Option-implied skewness: Insights from ITM-options. (2021). Schneider, Judith C ; Mohrschladt, Hannes. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001627. Full description at Econpapers || Download paper | |
2021 | Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664. Full description at Econpapers || Download paper | |
2022 | Media-expressed tone, option characteristics, and stock return predictability. (2022). Fengler, Matthias ; Liu, Yanchu ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002256. Full description at Econpapers || Download paper | |
2022 | Time to build and bond risk premia. (2022). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188921000154. Full description at Econpapers || Download paper | |
2021 | Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:397-419. Full description at Econpapers || Download paper | |
2022 | Evaluating the European Central Bank’s uncertainty forecasts. (2022). Tsuchiya, Yoichi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:321-330. Full description at Econpapers || Download paper | |
2021 | Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030. Full description at Econpapers || Download paper | |
2022 | Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x. Full description at Econpapers || Download paper | |
2022 | Does hospitality industry stock volatility react asymmetrically to health and economic crises?. (2022). Pal, Debdatta. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s026499932100328x. Full description at Econpapers || Download paper | |
2022 | Do green bonds de-risk investment in low-carbon stocks?. (2022). Reboredo, Juan ; Ojea-Ferreiro, Javier ; Ugolini, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s0264999322000116. Full description at Econpapers || Download paper | |
2022 | Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model. (2022). Yan, Hong ; Huang, Zhuo ; Liang, Fang ; Wang, Tianyi. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200027x. Full description at Econpapers || Download paper | |
2021 | Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2007 | Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
2007 | Forward-Looking Betas In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
2008 | Volatility Components, Affine Restrictions and Non-Normal Innovations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 32 |
2010 | Volatility Components, Affine Restrictions, and Nonnormal Innovations.(2010) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | article | |
2008 | Option Valuation with Long-run and Short-run Volatility Components In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 96 |
2004 | Option Valuation with Long-run and Short-run Volatility Components.(2004) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 96 | paper | |
2008 | Option valuation with long-run and short-run volatility components.(2008) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 96 | article | |
2009 | Option Valuation with Conditional Heteroskedasticity and Non-Normality In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 68 |
2009 | Option Valuation with Conditional Heteroskedasticity and Non-Normality.(2009) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 68 | paper | |
2010 | Option Valuation with Conditional Heteroskedasticity and Nonnormality.(2010) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 68 | article | |
2009 | The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 173 |
2009 | The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well.(2009) In: Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 173 | article | |
2008 | Evaluating Value-at-Risk Models with Desk-Level Data In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 126 |
2011 | Evaluating Value-at-Risk Models with Desk-Level Data.(2011) In: Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 126 | article | |
2011 | Financial Risk Measurement for Financial Risk Management In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 50 |
2013 | Financial Risk Measurement for Financial Risk Management.(2013) In: Handbook of the Economics of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | chapter | |
2012 | Financial Risk Measurement for Financial Risk Management.(2012) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
2011 | Financial Risk Measurement for Financial Risk Management.(2011) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
2011 | Illiquidity Premia in the Equity Options Market In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 28 |
2013 | Illiquidity Premia in the Equity Options Market.(2013) In: CREATES Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2018 | Illiquidity Premia in the Equity Options Market.(2018) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | article | |
2011 | Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2011 | The Joint Dynamics of Equity Market Factors In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 33 |
2013 | The Joint Dynamics of Equity Market Factors.(2013) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
2011 | Forecasting with Option Implied Information In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 39 |
2013 | Forecasting with Option-Implied Information.(2013) In: Handbook of Economic Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | chapter | |
2012 | Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 201 |
2012 | Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach.(2012) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 201 | article | |
2012 | Nonlinear Kalman Filtering in Affine Term Structure Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 27 |
2014 | Nonlinear Kalman Filtering in Affine Term Structure Models.(2014) In: Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | article | |
2014 | Nonlinear Kalman Filtering in Affine Term Structure Models.(2014) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2012 | GARCH Option Valuation: Theory and Evidence In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2013 | Does Realized Skewness Predict the Cross-Section of Equity Returns? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 150 |
2015 | Does realized skewness predict the cross-section of equity returns?.(2015) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 150 | article | |
2013 | Rare Disasters and Credit Market Puzzles In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Dynamic Diversification in Corporate Credit In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2013 | The Factor Structure in Equity Options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
2018 | The Factor Structure in Equity Options.(2018) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
2013 | Correlation Dynamics and International Diversification Benefits In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 29 |
2014 | Correlation dynamics and international diversification benefits.(2014) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | article | |
2014 | Factor Structure in Commodity Futures Return and Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 22 |
2019 | Factor Structure in Commodity Futures Return and Volatility.(2019) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
2014 | Equity Portfolio Management Using Option Price Information In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Oil Volatility Risk and Expected Stock Returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 27 |
2018 | Oil volatility risk and expected stock returns.(2018) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | article | |
2014 | Option Valuation with Observable Volatility and Jump Dynamics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 15 |
2015 | Option Valuation with Observable Volatility and Jump Dynamics.(2015) In: Staff Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2015 | Option valuation with observable volatility and jump dynamics.(2015) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
2015 | Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk.(2021) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2014 | Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
2012 | The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation In: Staff Working Papers. [Full Text][Citation analysis] | paper | 52 |
2014 | The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation.(2014) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | article | |
2016 | Time-Varying Crash Risk: The Role of Stock Market Liquidity In: Staff Working Papers. [Full Text][Citation analysis] | paper | 4 |
1998 | Cointegration and Long-Horizon Forecasting. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 125 |
1997 | Cointegration and long-horizon forecasting.(1997) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 125 | paper | |
1997 | Cointegration and Long-Horizon Forecasting.(1997) In: IMF Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 125 | paper | |
1997 | Cointegration and Long-Horizon Forecasting.(1997) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 125 | paper | |
2000 | Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 6 |
1999 | Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk.(1999) In: IMF Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2000 | From Inflation to Growth In: The Economics of Transition. [Full Text][Citation analysis] | article | 26 |
2003 | Création de valeur, gestion de risque et options réelles In: CIRANO Burgundy Reports. [Full Text][Citation analysis] | paper | 0 |
2003 | Value creation, risk management, and real options In: CIRANO Burgundy Reports. [Full Text][Citation analysis] | paper | 2 |
2001 | Value Creation through Real Options Management In: CIRANO Project Reports. [Full Text][Citation analysis] | paper | 0 |
2001 | Testing and Comparing Value-at-Risk Measures In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 77 |
2001 | Testing and comparing Value-at-Risk measures.(2001) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 77 | article | |
2001 | Lets Get Real about Using Economic Data In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 21 |
2000 | Lets Get Real About Using Economic Data.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2002 | Lets get real about using economic data.(2002) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
2001 | Lets Get Real about Using Economic Data..(2001) In: EPRU Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2001 | The Importance of the Loss Function in Option Pricing In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 8 |
2002 | Financial Asset Returns, Market Timing, and Volatility Dynamics In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 11 |
2002 | Which Volatility Model for Option Valuation? In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 3 |
2003 | Backtesting Value-at-Risk: A Duration-Based Approach In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 177 |
2004 | Backtesting Value-at-Risk: A Duration-Based Approach.(2004) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 177 | article | |
2003 | Company Flexibility, the Value of Management and Managerial Compensation In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 1 |
2003 | Size Matters: The Impact of Capital Market Liberalization on Individual Firms In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 1 |
2003 | Option Valuation with Conditional Skewness In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 115 |
2006 | Option valuation with conditional skewness.(2006) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 115 | article | |
2003 | The Importance of the Loss Function in Option Valuation In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 93 |
2004 | The importance of the loss function in option valuation.(2004) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 93 | article | |
2004 | Estimation Risk in Financial Risk Management In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 20 |
2004 | The Informational Content of Over-the-Counter Currency Options In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 5 |
2004 | The informational content of over-the-counter currency options.(2004) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2009 | Option-Implied Measures of Equity Risk In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 37 |
2011 | Option-Implied Measures of Equity Risk.(2011) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | article | |
2009 | Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 6 |
1997 | Optimal Prediction Under Asymmetric Loss In: Econometric Theory. [Full Text][Citation analysis] | article | 191 |
1997 | Optimal prediction under asymmetric loss.(1997) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 191 | paper | |
1994 | Optimal Prediction Under Asymmetric Loss.(1994) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 191 | paper | |
1997 | Optimal Prediction Under Asymmetric Loss.(1997) In: CARESS Working Papres. [Full Text][Citation analysis] This paper has another version. Agregated cites: 191 | paper | |
Optimal Prediction Under Asymmetric Loss.() In: Home Pages. [Full Text][Citation analysis] This paper has another version. Agregated cites: 191 | paper | ||
2006 | Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence In: Finance Working Papers. [Full Text][Citation analysis] | paper | 8 |
2006 | Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence.(2006) In: Finance Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2006 | Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence.(2006) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2010 | Option Anomalies and the Pricing Kernel In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2010 | Market Skewness Risk and the Cross-Section of Stock Returns In: Working Papers. [Full Text][Citation analysis] | paper | 147 |
2013 | Market skewness risk and the cross section of stock returns.(2013) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 147 | article | |
2010 | Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Is the Potential for International Diversification Disappearing? In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2004 | Martingale Tests of Value-at-Risk In: Econometric Society 2004 North American Winter Meetings. [Citation analysis] | paper | 0 |
2006 | Volatility and Correlation Forecasting In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 257 |
2000 | Towards a global financial architecture: capital mobility and risk management issues In: Emerging Markets Review. [Full Text][Citation analysis] | article | 3 |
2012 | Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 62 |
2006 | Size matters: The impact of financial liberalization on individual firms In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 14 |
2003 | Elements of Financial Risk Management In: Elsevier Monographs. [Full Text][Citation analysis] | book | 155 |
2011 | Elements of Financial Risk Management.(2011) In: Elsevier Monographs. [Full Text][Citation analysis] This paper has another version. Agregated cites: 155 | book | |
1998 | Horizon problems and extreme events in financial risk management In: Economic Policy Review. [Full Text][Citation analysis] | article | 23 |
1998 | Horizon Problems and Extreme Events in Financial Risk Management.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
1998 | How Relevant is Volatility Forecasting for Financial Risk Management? In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 135 |
1998 | How Relevant is Volatility Forecasting for Financial Risk Management?.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 135 | paper | |
2000 | How Relevant is Volatility Forecasting for Financial Risk Management?.(2000) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 135 | article | |
1997 | How Relevant is Volatility Forecasting for Financial Risk Management?.(1997) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 135 | paper | |
1998 | Evaluating Interval Forecasts. In: International Economic Review. [Citation analysis] | article | 1035 |
1998 | From Inflation to Growth: Eight Years of Transition In: IMF Working Papers. [Full Text][Citation analysis] | paper | 38 |
1999 | Is Poland Ready for Inflation Targeting? In: IMF Working Papers. [Full Text][Citation analysis] | paper | 20 |
2000 | Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? In: IMF Working Papers. [Full Text][Citation analysis] | paper | 17 |
2004 | Which GARCH Model for Option Valuation? In: Management Science. [Full Text][Citation analysis] | article | 90 |
2006 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics In: Management Science. [Full Text][Citation analysis] | article | 117 |
2003 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 117 | paper | |
2003 | Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics.(2003) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 117 | paper | |
2003 | Financial asset returns, direction-of-change forecasting, and volatility dynamics.(2003) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 117 | paper | |
2017 | Rare Disasters, Credit, and Option Market Puzzles In: Management Science. [Full Text][Citation analysis] | article | 3 |
1996 | Further Results on Forecasting and Model Selection under Asymmetric Loss. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 73 |
2000 | Dating the Turning Points of Nordic Business Cycles. In: EPRU Working Paper Series. [Full Text][Citation analysis] | paper | 9 |
2007 | Practical Volatility and Correlation Modeling for Financial Market Risk Management In: NBER Chapters. [Full Text][Citation analysis] | chapter | 40 |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2005 | Practical Volatility and Correlation Modeling for Financial Market Risk Management.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2005 | Practical volatility and correlation modeling for financial market risk management.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2005 | Volatility Forecasting In: NBER Working Papers. [Full Text][Citation analysis] | paper | 53 |
2005 | Volatility Forecasting.(2005) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
2005 | Volatility forecasting.(2005) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
2005 | The Accuracy of Density Forecasts from Foreign Exchange Options In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 36 |
2010 | Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices In: Review of Financial Studies. [Full Text][Citation analysis] | article | 90 |
2013 | Capturing Option Anomalies with a Variance-Dependent Pricing Kernel In: Review of Financial Studies. [Full Text][Citation analysis] | article | 81 |
2020 | Beta Risk in the Cross-Section of Equities In: Review of Financial Studies. [Full Text][Citation analysis] | article | 1 |
2005 | Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
1999 | Testing, Comparing, and Combining Value at Risk Measures In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 7 |
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