23
H index
32
i10 index
2317
Citations
City University of New York (CUNY) | 23 H index 32 i10 index 2317 Citations RESEARCH PRODUCTION: 44 Articles 28 Papers 2 Chapters RESEARCH ACTIVITY: 26 years (1997 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pwu3 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Liuren Wu. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Finance / University Library of Munich, Germany | 20 |
GSIA Working Papers / Carnegie Mellon University, Tepper School of Business | 2 |
Year | Title of citing document |
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2023 | Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720. Full description at Econpapers || Download paper |
2023 | Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196. Full description at Econpapers || Download paper |
2023 | Limiting sequential decompositions and applications in finance. (2022). Christiansen, Marcus C ; Stier, Hauke ; Junike, Gero. In: Papers. RePEc:arx:papers:2212.06733. Full description at Econpapers || Download paper |
2023 | Data-driven Approach for Static Hedging of Exchange Traded Options. (2023). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2302.00728. Full description at Econpapers || Download paper |
2023 | Modeling and Simulation of Financial Returns under Non-Gaussian Distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica. In: Papers. RePEc:arx:papers:2302.02769. Full description at Econpapers || Download paper |
2023 | The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654. Full description at Econpapers || Download paper |
2023 | Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy. (2023). Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2303.09330. Full description at Econpapers || Download paper |
2023 | How to handle the COS method for option pricing. (2023). Junike, Gero. In: Papers. RePEc:arx:papers:2303.16012. Full description at Econpapers || Download paper |
2023 | Dark Matter in (Volatility and) Equity Option Risk Premiums. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip. In: Papers. RePEc:arx:papers:2303.16371. Full description at Econpapers || Download paper |
2023 | Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014. Full description at Econpapers || Download paper |
2023 | Option pricing under jump diffusion model. (2023). Wang, LI ; Li, Qian. In: Papers. RePEc:arx:papers:2305.10678. Full description at Econpapers || Download paper |
2023 | Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881. Full description at Econpapers || Download paper |
2023 | Mind the Cap! -- Constrained Portfolio Optimisation in Hestons Stochastic Volatility Model. (2023). Escobar Anel, Marcos ; Zagst, Rudi ; Kschonnek, Michel ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2306.11158. Full description at Econpapers || Download paper |
2023 | The Financial Market of Environmental Indices. (2023). Fabozzi, Frank J ; Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thisari K. In: Papers. RePEc:arx:papers:2308.15661. Full description at Econpapers || Download paper |
2023 | Asymptotics for Short Maturity Asian Options in a Jump-Diffusion model with Local Volatility. (2023). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2308.15672. Full description at Econpapers || Download paper |
2023 | From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033. Full description at Econpapers || Download paper |
2023 | Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968. Full description at Econpapers || Download paper |
2023 | The ATM implied skew in the ADO-Heston model. (2023). Itkin, Andrey. In: Papers. RePEc:arx:papers:2309.15044. Full description at Econpapers || Download paper |
2023 | Multi-period static hedging of European options. (2023). Jain, Shashi ; Iyer, Srikanth ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2310.01104. Full description at Econpapers || Download paper |
2023 | Temporal Volatility Surface Projection: Parametric Surface Projection Method for Derivatives Portfolio Risk Management. (2023). Arian, Hamid ; Haghighi, Alireza Moslemi ; Zamani, Shiva. In: Papers. RePEc:arx:papers:2311.14985. Full description at Econpapers || Download paper |
2023 | Stochastic volatility models with skewness selection. (2023). Lopes, Hedibert Freitas ; Batista, Igor Ferreira. In: Papers. RePEc:arx:papers:2312.00282. Full description at Econpapers || Download paper |
2023 | How much do firms need to satisfy employees? - Evidence from credit spreads and online employee reviews. (2023). Takaoka, Sumiko ; Takahashi, Koji. In: BIS Working Papers. RePEc:bis:biswps:1111. Full description at Econpapers || Download paper |
2023 | The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128. Full description at Econpapers || Download paper |
2023 | Market Volatility, Monetary Policy and the Term Premium. (2023). Zampolli, Fabrizio ; Mohanty, Madhusudan ; Mallick, Sushanta ; Kumar, Abhishek. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:208-237. Full description at Econpapers || Download paper |
2023 | Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768. Full description at Econpapers || Download paper |
2023 | A stochastic-local volatility model with Le´vy jumps for pricing derivatives. (2023). Kim, Jeong-Hoon. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:451:y:2023:i:c:s0096300323002035. Full description at Econpapers || Download paper |
2023 | Asymmetric information and the distribution of trading volume. (2023). Lof, Matthijs ; van Bommel, Jos. In: Journal of Corporate Finance. RePEc:eee:corfin:v:82:y:2023:i:c:s092911992300113x. Full description at Econpapers || Download paper |
2023 | Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613. Full description at Econpapers || Download paper |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper |
2023 | A defined benefit pension plan game with Brownian and Poisson jumps uncertainty. (2023). Lopez-Casado, Paula ; Josa-Fombellida, Ricardo. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:3:p:1294-1311. Full description at Econpapers || Download paper |
2023 | Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. (2023). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Chang, Li-Han ; Cheng, Hung-Wen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:122-142. Full description at Econpapers || Download paper |
2023 | Price convergence between credit default swap and put option: New evidence. (2023). Poon, Ser-Huang ; Lin, Ming-Tsung ; Kolokolova, Olga ; Chan, Ka Kei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:188-213. Full description at Econpapers || Download paper |
2023 | Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000571. Full description at Econpapers || Download paper |
2023 | Jump-diffusion volatility models for variance swaps: An empirical performance analysis. (2023). Hong, YI ; Jin, Xing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001229. Full description at Econpapers || Download paper |
2023 | S&P volatility, VIX, and asymptotic volatility estimates. (2023). Christie-David, Rohan ; Chatrath, Arjun ; Bonaparte, Yosef. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005694. Full description at Econpapers || Download paper |
2023 | Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000611. Full description at Econpapers || Download paper |
2023 | A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000751. Full description at Econpapers || Download paper |
2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper |
2023 | Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers. (2023). Foglia, Matteo ; Xie, Chi ; Zhu, You ; Zhou, Yang ; Wang, Gang-Jin ; Gong, Jue. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s104244312300001x. Full description at Econpapers || Download paper |
2023 | Deviations from covered interest parity in the emerging markets after the global financial crisis. (2023). Geyikçi, Utku ; Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000331. Full description at Econpapers || Download paper |
2023 | A multifractal model of asset (in)variances. (2023). Grobys, Klaus. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000355. Full description at Econpapers || Download paper |
2023 | Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679. Full description at Econpapers || Download paper |
2023 | The sum of all fears: Forecasting international returns using option-implied risk measures. (2023). Toupin, Dominique ; Power, Gabriel J ; Gagnon, Marie-Helene. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002813. Full description at Econpapers || Download paper |
2023 | GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989. Full description at Econpapers || Download paper |
2023 | Information acquisition costs and credit spreads. (2023). Rettl, Daniel A ; Jaskowski, Marcin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300016x. Full description at Econpapers || Download paper |
2023 | Biased risk perceptions: Evidence from the laboratory and financial markets. (2023). Putni, Tlis J ; Pradier, Lionnel ; Payzan-Lenestour, Elise. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002655. Full description at Econpapers || Download paper |
2023 | Pricing, issuance volume, and design of innovative securities: The role of investor information. (2023). Straumann, Simon ; Arnold, Marc ; Ammann, Manuel. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:55:y:2023:i:c:s1042957323000244. Full description at Econpapers || Download paper |
2023 | Explaining intraday crude oil returns with higher order risk-neutral moments. (2023). Wong, Patrick. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000211. Full description at Econpapers || Download paper |
2023 | Carr and Wu’s (2020) framework in the oil ETF option market. (2023). Zhang, Jin E ; Ruan, Xinfeng ; Jia, Xiaolan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000247. Full description at Econpapers || Download paper |
2023 | On a time-changed Lévy risk model with capital injections and periodic observation. (2023). Zhang, Zhimin ; Teng, YE. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:214:y:2023:i:c:p:290-314. Full description at Econpapers || Download paper |
2023 | Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy. (2023). Nakamura, Nobuhiro ; Kato, Kensuke. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:612:y:2023:i:c:s0378437123000444. Full description at Econpapers || Download paper |
2023 | The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511. Full description at Econpapers || Download paper |
2023 | Modeling and simulation of financial returns under non-Gaussian distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123004417. Full description at Econpapers || Download paper |
2023 | Global risk and market conditions. (2023). Carrieri, Francesca ; Akbari, Amir. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:51-70. Full description at Econpapers || Download paper |
2023 | Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730. Full description at Econpapers || Download paper |
2023 | CBI-time-changed Lévy processes. (2023). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:323-349. Full description at Econpapers || Download paper |
2023 | Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537. Full description at Econpapers || Download paper |
2023 | Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan C. In: Working Papers. RePEc:fem:femwpa:2023.04. Full description at Econpapers || Download paper |
2023 | Default Clustering Risk Premium and its Cross-Market Asset Pricing Implications. (2023). Oh, Dong Hwan ; Kim, Baeho ; Byun, Kiwoong. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-55. Full description at Econpapers || Download paper |
2023 | The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652. Full description at Econpapers || Download paper |
2023 | The Price of Macroeconomic Uncertainty: Evidence from Daily Options. (2023). Samadi, Mehrdad ; Londono, Juan M. In: International Finance Discussion Papers. RePEc:fip:fedgif:96660. Full description at Econpapers || Download paper |
2023 | The Missing Tail Risk in Option Prices. (2023). Sattiraju, Sai ; Matschke, Johannes ; Melek, Nida Akir ; Brown, Jason. In: Research Working Paper. RePEc:fip:fedkrw:96072. Full description at Econpapers || Download paper |
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2023 | Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities. (2023). Guterding, Daniel. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:5:p:83-:d:1135421. Full description at Econpapers || Download paper |
2023 | Electric Vehicle Charging System in the Smart Grid Using Different Machine Learning Methods. (2023). Nadeem, Muhammad Asgher ; Malik, Muhammad Amir ; Asif, Rizwana Naz ; Mazhar, Tehseen ; Ashraf, Shahzad ; Kamran, Muhammad ; Iqbal, Muhammad ; Haq, Inayatul. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:2603-:d:1053936. Full description at Econpapers || Download paper |
2023 | The Growth of Information Asymmetry Between Earnings Announcements and Its Implications for Reporting Frequency. (2023). Stoumbos, Robert. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1901-1928. Full description at Econpapers || Download paper |
2023 | Belief Dispersion and Convex Cost of Adjustment in the Stock Market and in the Real Economy. (2023). Jouini, Elyes. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:4190-4209. Full description at Econpapers || Download paper |
2023 | Delta-hedging in fractional volatility models. (2023). Chronopoulou, Alexandra ; Zhao, QI. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:1:d:10.1007_s10436-022-00415-w. Full description at Econpapers || Download paper |
2023 | The Convergence Investigation of a Numerical Scheme for the Tempered Fractional Black-Scholes Model Arising European Double Barrier Option. (2023). Farnam, B ; Adl, A ; Mesgarani, H ; Aghdam, Esmaeelzade Y. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10216-4. Full description at Econpapers || Download paper |
2023 | Numerical Approximation to a Variable-Order Time-Fractional Black–Scholes Model with Applications in Option Pricing. (2023). Zheng, Xiangcheng ; Zhang, Meihui. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10295-x. Full description at Econpapers || Download paper |
2023 | Investor sentiment and bitcoin prices. (2023). Koutmos, Dimitrios. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:1:d:10.1007_s11156-022-01086-4. Full description at Econpapers || Download paper |
2023 | Fundamentals, real-time uncertainty and CDS index spreads. (2023). Wang, XU ; Audzeyeva, Alena. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01127-6. Full description at Econpapers || Download paper |
2023 | A comparison of multi-factor term structure models for interbank rates. (2023). Tunaru, Diana ; Fabozzi, Francesco A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01147-2. Full description at Econpapers || Download paper |
2023 | Is climate transition risk priced into corporate credit risk? Evidence from credit default swaps. (2023). Ojea-Ferreiro, Javier ; Reboredo, Juan C. In: Working Papers. RePEc:mib:wpaper:509. Full description at Econpapers || Download paper |
2023 | ABC-based Forecasting in State Space Models. (2023). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben ; Weerasinghe, Chaya. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-12. Full description at Econpapers || Download paper |
2023 | Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459. Full description at Econpapers || Download paper |
2023 | The riskiness of stock versus money market investment with stochastic rates. (2023). Bihary, Zsolt ; Szabo, David Zoltan. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:31:y:2023:i:2:d:10.1007_s10100-022-00814-4. Full description at Econpapers || Download paper |
2023 | Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market. (2023). Dragotă, Victor ; Iordache, Andreea ; Trifan, Ruxandra ; Cepoi, Cosmin Octavian. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00415-9. Full description at Econpapers || Download paper |
2023 | Upside and downside correlated jump risk premia of currency options and expected returns. (2023). Lin, Shih-Kuei ; Chen, Ting-Fu ; Chang, Hsing-Hua. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00493-3. Full description at Econpapers || Download paper |
2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers || Download paper |
2023 | Crisis transmission degree measurement under crisis propagation model. (2023). Jilani, Faouzi ; Hallara, Slaheddine ; Bedoui-Belghith, Imen. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9. Full description at Econpapers || Download paper |
2023 | The Anatomy of Cyber Risk. (2023). Tahoun, Ahmed ; Rey, Helene ; Jamilov, Rustam. In: Working Papers Series. RePEc:thk:wpaper:inetwp206. Full description at Econpapers || Download paper |
2023 | Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries. (2023). Werner, Richard A ; Lee, Kangsoek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3960-3975. Full description at Econpapers || Download paper |
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2023 | Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach. (2023). Agarwalla, Sobhesh Kumar ; Kumar, Sudarshan ; Virmani, Vineet ; Varma, Jayanth R. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1615-1644. Full description at Econpapers || Download paper |
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2023 | Industry variance risk premium, cross?industry correlation, and expected returns. (2023). Xu, QI ; Luo, Xingguo ; Zhu, Yabei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:3-32. Full description at Econpapers || Download paper |
2023 | Who has an edge in trading index derivatives?. (2023). Lee, Jaeram ; Kang, Jangkoo ; Jang, Jeewon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:3:p:325-348. Full description at Econpapers || Download paper |
2023 | Term spreads of implied volatility smirk and variance risk premium. (2023). Zhang, Jin E ; Gehricke, Sebastian A ; Ruan, Xinfeng ; Guo, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:829-857. Full description at Econpapers || Download paper |
2023 | Unspanned macro risks in VIX futures. (2023). Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328. Full description at Econpapers || Download paper |
2023 | How should the long-term investor harvest variance risk premiums?. (2023). Korn, Olaf ; Dorries, Julian ; Power, Gabriel J. In: CFR Working Papers. RePEc:zbw:cfrwps:279557. Full description at Econpapers || Download paper |
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Year | Title | Type | Cited |
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2019 | Using Machine Learning to Predict Realized Variance In: Papers. [Full Text][Citation analysis] | paper | 3 |
2009 | Predictability of Interest Rates and Interest-Rate Portfolios In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 8 |
2003 | The Finite Moment Log Stable Process and Option Pricing In: Journal of Finance. [Full Text][Citation analysis] | article | 168 |
2002 | The Finite Moment Log Stable Process and Option Pricing.(2002) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 168 | paper | |
2003 | What Type of Process Underlies Options? A Simple Robust Test In: Journal of Finance. [Full Text][Citation analysis] | article | 117 |
2002 | What Type of Process Underlies Options? A Simple Robust Test.(2002) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 117 | paper | |
2020 | Option Profit and Loss Attribution and Pricing: A New Framework In: Journal of Finance. [Full Text][Citation analysis] | article | 9 |
1999 | Design and Estimation of Affine Yield Models In: GSIA Working Papers. [Full Text][Citation analysis] | paper | 7 |
1999 | Design and Estimation of Affine Yield Models.(1999) In: GSIA Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2002 | Asset Pricing under the Quadratic Class In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 107 |
2002 | Asset Pricing Under The Quadratic Class.(2002) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 107 | paper | |
2009 | A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 5 |
2010 | The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 103 |
2016 | Anchoring Credit Default Swap Spreads to Firm Fundamentals In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 23 |
2017 | Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 23 |
2018 | Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 2 |
2018 | Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 1 |
2004 | Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 106 |
2004 | Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes.(2004) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 106 | paper | |
2011 | Variance dynamics: Joint evidence from options and high-frequency returns In: Journal of Econometrics. [Full Text][Citation analysis] | article | 25 |
2007 | International capital asset pricing: Evidence from options In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 14 |
2006 | A comprehensive analysis of the short-term interest-rate dynamics In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 24 |
2007 | Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 43 |
2018 | Estimating risk-return relations with analysts price targets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 5 |
2016 | Analyzing volatility risk and risk premium in option contracts: A new theory In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 28 |
2001 | Predictable changes in yields and forward rates In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 75 |
1998 | Predictable Changes in Yields and Forward Rates.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 75 | paper | |
2004 | Time-changed Levy processes and option pricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 216 |
2002 | Time-Changed Levy Processes and Option Pricing.(2002) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 216 | paper | |
2007 | Stochastic skew in currency options In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 145 |
2004 | Stochastic Skew in Currency Options.(2004) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 145 | paper | |
2008 | Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 72 |
2010 | The role of exchange rates in intertemporal risk-return relations In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 4 |
2011 | Uncovered interest-rate parity over the past two centuries In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 114 |
2003 | Uncovered Interest Rate Parity Over the Past Two Centuries.(2003) In: International Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 114 | paper | |
2009 | Macroeconomic releases and the interest rate term structure In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 9 |
2005 | A no-arbitrage analysis of economic determinants of the credit spread term structure In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 3 |
1997 | Macroeconomic Foundations of Higher Moments in Bond Yields In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Citation analysis] | paper | 3 |
2008 | A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure In: Management Science. [Full Text][Citation analysis] | article | 32 |
2010 | The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period In: Management Science. [Full Text][Citation analysis] | article | 14 |
2015 | Imports, Exports, Dollar Exposures, and Stock Returns In: Open Economies Review. [Full Text][Citation analysis] | article | 1 |
2006 | Price discovery in the U.S. stock and stock options markets: A portfolio approach In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 12 |
2003 | Jumps and Dynamic Asset Allocation. In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 24 |
2013 | Static Hedging of Standard Options In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 33 |
2014 | Static Hedging of Standard Options.(2014) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | article | |
2004 | Static Hedging of Standard Options.(2004) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
2017 | Simple Robust Hedging with Nearby Contracts In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2008 | Time-Varying Arrival Rates of Informed and Uninformed Trades In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 90 |
2002 | Time-Varying Arrival Rates of Informed and Uninformed Trades.(2002) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
2010 | Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 49 |
2010 | Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates In: Review of Finance. [Full Text][Citation analysis] | article | 4 |
2013 | Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* In: Review of Finance. [Full Text][Citation analysis] | article | 24 |
2023 | Decomposing Long Bond Returns: A Decentralized Theory* In: Review of Finance. [Full Text][Citation analysis] | article | 0 |
2003 | Design and Estimation of Quadratic Term Structure Models In: Review of Finance. [Full Text][Citation analysis] | article | 42 |
2002 | Design and Estimation of Quadratic Term Structure Models.(2002) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 42 | paper | |
2009 | Variance Risk Premiums In: Review of Financial Studies. [Full Text][Citation analysis] | article | 403 |
2009 | Variance Risk Premiums.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 403 | article | |
2011 | A Simple Robust Link Between American Puts and Credit Protection In: Review of Financial Studies. [Full Text][Citation analysis] | article | 32 |
2012 | Variance swaps on time-changed Lévy processes In: Finance and Stochastics. [Full Text][Citation analysis] | article | 23 |
2006 | Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns In: The Journal of Business. [Full Text][Citation analysis] | article | 23 |
2004 | Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns.(2004) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2020 | The shale revolution and shifting crude dynamics In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
2002 | Accouting for Biases in Black-Scholes In: Finance. [Full Text][Citation analysis] | paper | 18 |
2002 | Contagion in Financial Markets In: Finance. [Full Text][Citation analysis] | paper | 3 |
2002 | Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives In: Finance. [Full Text][Citation analysis] | paper | 0 |
2002 | Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? In: Finance. [Full Text][Citation analysis] | paper | 1 |
2002 | A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs In: Finance. [Full Text][Citation analysis] | paper | 4 |
2002 | Markov Chain Approximations For Term Structure Models In: Finance. [Full Text][Citation analysis] | paper | 0 |
2004 | Taking Positive Interest Rates Seriously In: Finance. [Full Text][Citation analysis] | paper | 0 |
2006 | Taking Positive Interest Rates Seriously.(2006) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
2004 | Variance Risk Premia In: Finance. [Full Text][Citation analysis] | paper | 18 |
2004 | What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities In: Finance. [Full Text][Citation analysis] | paper | 3 |
1999 | The Potential Approach to Bond and Currency Pricing In: Finance. [Full Text][Citation analysis] | paper | 1 |
2023 | Probabilistic Interpretation of Black Implied Volatility In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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