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Paul Schneider

Not to be confused with: Paul Peter Schneider

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Paul Schneider, 2018. "Does it Pay to Be an Optimist?," Swiss Finance Institute Research Paper Series 18-02, Swiss Finance Institute, revised Feb 2018.

    Cited by:

    1. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    2. Branger, Nicole & Konermann, Patrick & Schlag, Christian, 2019. "Optimists and pessimists in (in)complete markets," SAFE Working Paper Series 252, Leibniz Institute for Financial Research SAFE.

  2. Schneider, Paul & Wagner, Christian & Zechner, Josef, 2016. "Low risk anomalies?," CFS Working Paper Series 550, Center for Financial Studies (CFS).

    Cited by:

    1. Sehgal, Sanjay & Rakhyani, Sarika & Deisting, Florent, 2022. "Does betting against beta strategy work in major Asian Markets?," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    2. Asness, Cliff & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2020. "Betting against correlation: Testing theories of the low-risk effect," Journal of Financial Economics, Elsevier, vol. 135(3), pages 629-652.
    3. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
    4. Poon, Percy & Yao, Tong & Zhang, Andrew (Jianzhong), 2022. "The alphas of beta and idiosyncratic volatility," Journal of Financial Markets, Elsevier, vol. 61(C).
    5. Bradrania, Reza & Veron, Jose Francisco, 2023. "The beta anomaly in the Australian stock market and the lottery demand," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    6. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
    7. Ayadi, Mohamed A. & Cao, Xu & Lazrak, Skander & Wang, Yan, 2019. "Do idiosyncratic skewness and kurtosis really matter?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    8. Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
    9. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    10. Corvino, Raffaele & Ruggiero, Francesco, 2021. "The relative pricing of sovereign credit risk after the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 112(C).
    11. Khashanah, Khaldoun & Simaan, Majeed & Simaan, Yusif, 2022. "Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process," International Review of Financial Analysis, Elsevier, vol. 81(C).
    12. Stanislav Anatolyev & Anton Petukhov, 2016. "Uncovering the Skewness News Impact Curve," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 746-771.
    13. Liu, Jianan & Stambaugh, Robert F. & Yuan, Yu, 2018. "Absolving beta of volatility’s effects," Journal of Financial Economics, Elsevier, vol. 128(1), pages 1-15.
    14. Bali, Turan G. & Gunaydin, A. Doruk & Jansson, Thomas & Karabulut, Yigitcan, 2023. "Do the rich gamble in the stock market? Low risk anomalies and wealthy households," Journal of Financial Economics, Elsevier, vol. 150(2).
    15. Dobrynskaya, Victoria, 2019. "Avoiding momentum crashes: Dynamic momentum and contrarian trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    16. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, November.
    17. Kim, Hyuksoo & Kim, Saejoon, 2022. "Managing downside risk of low-risk anomaly portfolios," Finance Research Letters, Elsevier, vol. 46(PB).
    18. Bradrania, Reza & Veron, Jose Francisco & Wu, Winston, 2023. "The beta anomaly and the quality effect in international stock markets," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
    19. Victoria Dobrynskaya, 2017. "Dynamic Momentum and Contrarian Trading," HSE Working papers WP BRP 61/FE/2017, National Research University Higher School of Economics.
    20. Korn, Olaf & Kuntz, Laura-Chloé, 2015. "Low-beta investment strategies," CFR Working Papers 15-17, University of Cologne, Centre for Financial Research (CFR).
    21. Korn, Olaf & Kuntz, Laura-Chloé, 2017. "Low-beta strategies," CFR Working Papers 15-17 [rev.], University of Cologne, Centre for Financial Research (CFR), revised 2017.

  3. Paul Schneider & Fabio Trojani, 2015. "Divergence and the Price of Uncertainty," Swiss Finance Institute Research Paper Series 15-60, Swiss Finance Institute.

    Cited by:

    1. Carol Alexander & Johannes Rauch, 2017. "The Aggregation Property and its Applications to Realised Higher Moments," Papers 1709.08188, arXiv.org.
    2. Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
    3. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.

  4. Paul SCHNEIDER, 2014. "Generalized Risk Premia," Swiss Finance Institute Research Paper Series 14-29, Swiss Finance Institute.

    Cited by:

    1. Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
    2. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    3. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
    4. Hautsch, Nikolaus & Scheuch, Christoph & Voigt, Stefan, 2018. "Limits to arbitrage in markets with stochastic settlement latency," CFS Working Paper Series 616, Center for Financial Studies (CFS).
    5. Xue Jiang & Liyan Han & Yang Xu, 2021. "How does skewness perform in the Chinese commodity futures market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1268-1285, August.
    6. Ebert, Sebastian & Hilpert, Christian, 2019. "Skewness preference and the popularity of technical analysis," Journal of Banking & Finance, Elsevier, vol. 109(C).
    7. Koëter, Joren, 2021. "Essays on asset pricing, investor preferences, and derivative markets," Other publications TiSEM 9e88a66e-b972-4af3-91d6-0, Tilburg University, School of Economics and Management.
    8. George Chalamandaris & Leonidas S. Rompolis, 2021. "Recovering the market risk premium from higher‐order moment risks," European Financial Management, European Financial Management Association, vol. 27(1), pages 147-186, January.
    9. Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt, 2018. "Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets," Papers 1812.00595, arXiv.org, revised Oct 2023.
    10. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.
    11. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
    12. Brinkmann, Felix & Korn, Olaf, 2014. "Risk-adjusted option-implied moments," CFR Working Papers 14-07, University of Cologne, Centre for Financial Research (CFR).
    13. Hoyong Choi & Philippe Mueller & Andrea Vedolin, 2017. "Bond Variance Risk Premiums," Review of Finance, European Finance Association, vol. 21(3), pages 987-1022.
    14. Felix Brinkmann & Olaf Korn, 2018. "Risk-adjusted option-implied moments," Review of Derivatives Research, Springer, vol. 21(2), pages 149-173, July.
    15. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.

  5. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2011. "Properties of Foreign Exchange Risk Premiums," CEPR Discussion Papers 8503, C.E.P.R. Discussion Papers.

    Cited by:

    1. Ozge Akinci & Ṣebnem Kalemli-Özcan & Albert Queralto, 2022. "Uncertainty Shocks, Capital Flows, and International Risk Spillovers," NBER Working Papers 30026, National Bureau of Economic Research, Inc.
    2. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
    3. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    4. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
    5. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
    6. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
    7. Redl, Chris, 2015. "Noisy news and exchange rates: A SVAR approach," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 150-171.
    8. Anella Munro, 2014. "Exchange rates, expected returns and risk: UIP unbound," CAMA Working Papers 2014-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    9. Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin, 2017. "The Carry Trade: Risks and Drawdowns," Critical Finance Review, now publishers, vol. 6(2), pages 211-262, September.
    10. S. Mouabbi, 2014. "An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia," Working papers 527, Banque de France.
    11. Sebnem Kalemli-Ozcan & Liliana Varela, 2019. "Exchange Rate and Interest Rate Disconnect: The Role of Capital Flows, Currency Risk and Default Risk," 2019 Meeting Papers 351, Society for Economic Dynamics.
    12. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
    13. Vithessonthi, Chaiporn, 2014. "Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 170-194.
    14. Laborda, Juan & Laborda, Ricardo & Olmo, Jose, 2014. "Optimal currency carry trade strategies," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 52-66.
    15. Kremens, Lukas & Martin, Ian, 2019. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 89839, London School of Economics and Political Science, LSE Library.
    16. Mariarosaria Comunale & Davor Kunovac, 2017. "Exchange Rate Pass-Through in the Euro Area," Bank of Lithuania Working Paper Series 38, Bank of Lithuania.
    17. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.
    18. Yin, Libo & Su, Zhi & Lu, Man, 2022. "Is oil risk important for commodity-related currency returns?," Research in International Business and Finance, Elsevier, vol. 60(C).
    19. Lin, Mucai & Niu, Linlin, 2021. "Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve," Journal of International Money and Finance, Elsevier, vol. 111(C).
    20. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
    21. Lee, Suzanne S. & Wang, Minho, 2019. "The impact of jumps on carry trade returns," Journal of Financial Economics, Elsevier, vol. 131(2), pages 433-455.
    22. Chen, Jian & Jiang, Fuwei & Xue, Shuyu & Yao, Jiaquan, 2019. "The world predictive power of U.S. equity market skewness risk," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 210-227.
    23. Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2018. "Estimating a Latent Risk Premium in Exchange Rate Futures," Discussion Papers of DIW Berlin 1733, DIW Berlin, German Institute for Economic Research.
    24. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
    25. Chernov, Mikhail & Creal, Drew, 2022. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, C.E.P.R. Discussion Papers.
    26. Sarno, Lucio & Payne, Richard & Valente, Giorgio & Cenedese, Gino, 2015. "What Do Stock Markets Tell Us About Exchange Rates?," CEPR Discussion Papers 10685, C.E.P.R. Discussion Papers.
    27. Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2021. "Long-run equilibrium in international assets and goods markets: Why is the Law of One Price required?," Post-Print hal-03330856, HAL.
    28. Gelman, Maria & Jochem, Axel & Reitz, Stefan, 2013. "Real financial market exchange rates and capital flows," Discussion Papers 50/2013, Deutsche Bundesbank.
    29. Coelho dos Santos, Marcelo Bittencourt & Klotzle, Marcelo Cabus & Figueiredo Pinto, Antonio Carlos, 2016. "Evidence of risk premiums in emerging market carry trade currencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 103-115.
    30. Azzam, Islam & El-Masry, Ahmed A. & Yamani, Ehab, 2023. "Foreign exchange market efficiency during COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 717-730.
    31. Wagner, Christian, 2009. "Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation," MPRA Paper 21125, University Library of Munich, Germany.
    32. Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
    33. Vithessonthi, Chaiporn, 2014. "What explains the initial return of initial public offerings after the 1997 Asian financial crisis? Evidence from Thailand," Journal of Multinational Financial Management, Elsevier, vol. 27(C), pages 89-113.
    34. Yin, Weiwei & Li, Junye, 2014. "Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 46-64.
    35. Tarek A Hassan & Rui C Mano, 2019. "Forward and Spot Exchange Rates in a Multi-Currency World," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 134(1), pages 397-450.
    36. Hanno Lustig & Adrien Verdelhan, 2019. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," American Economic Review, American Economic Association, vol. 109(6), pages 2208-2244, June.
    37. Han, Liyan & Liu, Yang & Yin, Libo, 2019. "Uncertainty and currency performance: A quantile-on-quantile approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 702-729.
    38. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
    39. Yung, Julieta, 2021. "Can interest rate factors explain exchange rate fluctuations?," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 34-56.
    40. Bauer, Gregory H., 2017. "International house price cycles, monetary policy and credit," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 88-114.
    41. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
    42. Thomas A. Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2019. "Pricing Risks Across Currency Denominations," Management Science, INFORMS, vol. 65(11), pages 5308-5336, November.
    43. Charles Engel & Steve Pak Yeung Wu, 2021. "Forecasting the U.S. Dollar in the 21st Century," NBER Working Papers 28447, National Bureau of Economic Research, Inc.
    44. Anella Munro, 2015. "Exchange rates, expected returns and risk: what can we learn from Asia-Pacific currencies?," BIS Papers chapters, in: Bank for International Settlements (ed.), Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability, volume 82, pages 137-166, Bank for International Settlements.
    45. Hanno Lustig & Robert J. Richmond, 2017. "Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates," NBER Working Papers 23773, National Bureau of Economic Research, Inc.
    46. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    47. Adrien Verdelhan & Hanno Lustig, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," 2016 Meeting Papers 1183, Society for Economic Dynamics.
    48. Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
    49. Ferdinand Dreher & Johannes Gräb & Thomas Kostka, 2020. "From carry trades to curvy trades," The World Economy, Wiley Blackwell, vol. 43(3), pages 758-780, March.
    50. A. Mikhailov Yu. & А. Михайлов Ю., 2018. "Доходность Стратегии Carry Trade // The Yield Of The Carry Trade Strategy," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 22(3), pages 52-63.
    51. Jörgen Blomvall & Jonas Ekblom, 2018. "Corporate hedging: an answer to the “how” question," Annals of Operations Research, Springer, vol. 266(1), pages 35-69, July.
    52. Wenliang Guo, 2020. "Currency Regimes, Volatility Risks, and Carry Trades: The Option Value of Government Currency Intervention in Emerging Markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(3), pages 1-4.
    53. Qunzi Zhang, 2021. "One hundred years of rare disaster concerns and commodity prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1891-1915, December.
    54. Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
    55. Yamani, Ehab, 2021. "Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 74-89.
    56. Yamani, Ehab, 2021. "Can technical trading beat the foreign exchange market in times of crisis?," Global Finance Journal, Elsevier, vol. 48(C).
    57. Lei, Jian, 2021. "Curve momentum in currency markets," Finance Research Letters, Elsevier, vol. 42(C).
    58. Jian Chen & Jiaquan Yao & Qunzi Zhang & Xiaoneng Zhu, 2023. "Global Disaster Risk Matters," Management Science, INFORMS, vol. 69(1), pages 576-597, January.
    59. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
    60. Pippenger, John, 2012. "What Covered Interest Parity Implies about the Theory of Uncovered Interest Parity," University of California at Santa Barbara, Economics Working Paper Series qt0zk6t2hj, Department of Economics, UC Santa Barbara.
    61. Anella Munro, 2016. "Bond premia, monetary policy and exchange rate dynamics," Reserve Bank of New Zealand Discussion Paper Series DP2016/11, Reserve Bank of New Zealand.
    62. Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries, 2020. "Currency Futures' Risk Premia and Risk Factors," Discussion Papers of DIW Berlin 1866, DIW Berlin, German Institute for Economic Research.
    63. Phornchanok Cumperayot & Casper G. de Vries, 2006. "Large Swings in Currencies driven by Fundamentals," Tinbergen Institute Discussion Papers 06-086/2, Tinbergen Institute.

  6. Damir Filipovi'c & Eberhard Mayerhofer & Paul Schneider, 2011. "Density Approximations for Multivariate Affine Jump-Diffusion Processes," Papers 1104.5326, arXiv.org, revised Oct 2011.

    Cited by:

    1. Sander Willems, 2018. "Asian Option Pricing with Orthogonal Polynomials," Papers 1802.01307, arXiv.org, revised Sep 2018.
    2. Arismendi, Juan & Genaro, Alan De, 2016. "A Monte Carlo multi-asset option pricing approximation for general stochastic processes," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 75-99.
    3. Martin Friesen & Peng Jin & Jonas Kremer & Barbara Rüdiger, 2023. "Regularity of transition densities and ergodicity for affine jump‐diffusions," Mathematische Nachrichten, Wiley Blackwell, vol. 296(3), pages 1117-1134, March.
    4. Recchioni, Maria Cristina & Tedeschi, Gabriele, 2017. "From bond yield to macroeconomic instability: A parsimonious affine model," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1116-1135.
    5. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.
    6. Damir Filipovi'c & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Papers 1711.08043, arXiv.org, revised Jul 2019.
    7. Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
    8. Yang, Nian & Chen, Nan & Wan, Xiangwei, 2019. "A new delta expansion for multivariate diffusions via the Itô-Taylor expansion," Journal of Econometrics, Elsevier, vol. 209(2), pages 256-288.
    9. Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Jacobi stochastic volatility factor for the LIBOR market model," Finance and Stochastics, Springer, vol. 26(4), pages 771-823, October.
    10. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
    11. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
    12. Andrea Barletta & Paolo Santucci de Magistris, 2018. "Analyzing the Risks Embedded in Option Prices with rndfittool," Risks, MDPI, vol. 6(2), pages 1-15, March.
    13. Matyas Barczy & Leif Doering & Zenghu Li & Gyula Pap, 2013. "Stationarity and ergodicity for an affine two factor model," Papers 1302.2534, arXiv.org, revised Sep 2013.
    14. Hlouskova, Jaroslava & Sögner, Leopold, 2015. "GMM Estimation of Affine Term Structure Models," Economics Series 315, Institute for Advanced Studies.
    15. Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
    16. Damien Ackerer & Damir Filipovic, 2017. "Option Pricing with Orthogonal Polynomial Expansions," Papers 1711.09193, arXiv.org, revised May 2019.
    17. Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jul 2019.
    18. Damir Filipović & Martin Larsson, 2016. "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, vol. 20(4), pages 931-972, October.
    19. Paolo Guasoni & Eberhard Mayerhofer, 2020. "Technical Note—Options Portfolio Selection," Operations Research, INFORMS, vol. 68(3), pages 733-740, May.
    20. Giesecke, K. & Schwenkler, G., 2019. "Simulated likelihood estimators for discretely observed jump–diffusions," Journal of Econometrics, Elsevier, vol. 213(2), pages 297-320.
    21. Brignone, Riccardo & Kyriakou, Ioannis & Fusai, Gianluca, 2021. "Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 232-247.
    22. Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2017. "Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations," Papers 1711.02140, arXiv.org, revised Feb 2019.
    23. Dennis Kristensen & Young Jun Lee & Antonio Mele, 2023. "Closed-form approximations of moments and densities of continuous-time Markov models," Papers 2308.09009, arXiv.org.
    24. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
    25. Wan, Xiangwei & Yang, Nian, 2021. "Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    26. esposito, francesco paolo & cummins, mark, 2015. "Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models," MPRA Paper 64987, University Library of Munich, Germany.
    27. Jianhai Bao & Jian Wang, 2023. "Coupling methods and exponential ergodicity for two‐factor affine processes," Mathematische Nachrichten, Wiley Blackwell, vol. 296(5), pages 1716-1736, May.
    28. Damien Ackerer & Damir Filipović, 2020. "Option pricing with orthogonal polynomial expansions," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 47-84, January.
    29. Francesco Campigli & Gabriele Tedeschi & Maria Cristina Recchioni, 2021. "The talkative variables of the hybrid Heston model: Yields’ maturity and economic (in)stability," Working Papers 2021/03, Economics Department, Universitat Jaume I, Castellón (Spain).
    30. Li, Chenxu & Chen, Dachuan, 2016. "Estimating jump–diffusions using closed-form likelihood expansions," Journal of Econometrics, Elsevier, vol. 195(1), pages 51-70.
    31. Damien Ackerer & Damir Filipović & Sergio Pulido, 2018. "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, vol. 22(3), pages 667-700, July.
    32. Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2011. "Realized Laplace transforms for estimation of jump diffusive volatility models," Journal of Econometrics, Elsevier, vol. 164(2), pages 367-381, October.
    33. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.
    34. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
    35. Xiaowei Zhang & Peter W. Glynn, 2018. "Affine Jump-Diffusions: Stochastic Stability and Limit Theorems," Papers 1811.00122, arXiv.org.
    36. Damir Filipovic & Damien Ackerer & Sergio Pulido, 2018. "The Jacobi Stochastic Volatility Model," Post-Print hal-01338330, HAL.
    37. Gareth William Peters & Mark Briers & Pavel Shevchenko & Arnaud Doucet, 2013. "Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts," Methodology and Computing in Applied Probability, Springer, vol. 15(4), pages 841-874, December.
    38. Juan Arismendi, 2014. "A Multi-Asset Option Approximation for General Stochastic Processes," ICMA Centre Discussion Papers in Finance icma-dp2014-03, Henley Business School, University of Reading.
    39. Jakobsen, Nina Munkholt & Sørensen, Michael, 2019. "Estimating functions for jump–diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3282-3318.
    40. Mátyás Barczy & Zenghu Li & Gyula Pap, 2016. "Moment Formulas for Multitype Continuous State and Continuous Time Branching Process with Immigration," Journal of Theoretical Probability, Springer, vol. 29(3), pages 958-995, September.
    41. Damien Ackerer & Damir Filipovi'c & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Papers 1605.07099, arXiv.org, revised Mar 2018.
    42. J. C. Arismendi & Marcel Prokopczuk, 2016. "A moment-based analytic approximation of the risk-neutral density of American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 409-444, November.
    43. Steven L. Heston & Alberto G. Rossi, 2017. "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 7(1), pages 2-42.
    44. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    45. Martin Friesen & Peng Jin, 2022. "Volterra square-root process: Stationarity and regularity of the law," Papers 2203.08677, arXiv.org, revised Oct 2022.
    46. Choi, Seungmoon, 2015. "Explicit form of approximate transition probability density functions of diffusion processes," Journal of Econometrics, Elsevier, vol. 187(1), pages 57-73.
    47. Barczy, Mátyás & Ben Alaya, Mohamed & Kebaier, Ahmed & Pap, Gyula, 2018. "Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations," Stochastic Processes and their Applications, Elsevier, vol. 128(4), pages 1135-1164.
    48. Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.
    49. Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2016. "Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations," Papers 1609.05865, arXiv.org, revised Aug 2017.
    50. Friesen, Martin & Jin, Peng & Rüdiger, Barbara, 2020. "Existence of densities for multi-type continuous-state branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5426-5452.

  7. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.

    Cited by:

    1. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    2. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2012. "Currency momentum strategies," Journal of Financial Economics, Elsevier, vol. 106(3), pages 660-684.
    3. Mariarosaria Comunale & Davor Kunovac, 2017. "Exchange Rate Pass-Through in the Euro Area," Bank of Lithuania Working Paper Series 38, Bank of Lithuania.
    4. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.

  8. Aleksandar Mijatovic & Paul Schneider, 2009. "Empirical asset pricing with nonlinear risk premia," Papers 0911.0928, arXiv.org.

    Cited by:

    1. Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017. "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 85-103.
    2. Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2018. "Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 1-29.
    3. Pollastri, Alessandro & Rodrigues, Paulo & Schlag, Christian & Seeger, Norman J., 2023. "A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 322-341.

  9. Georg Mosburger & Paul Schneider, 2005. "Modelling International Bond Markets with Affine Term Structure Models," Finance 0509003, University Library of Munich, Germany.

    Cited by:

    1. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    2. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
    3. Kimmel, Robert L., 2007. "Complex Times: Asset Pricing and Conditional Moments under Non-affine Diffusions," Working Paper Series 2007-6, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    4. Egorov, Alexei V. & Li, Haitao & Ng, David, 2011. "A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates," Journal of Econometrics, Elsevier, vol. 162(1), pages 55-70, May.
    5. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
    6. Aït-Sahalia, Yacine & Kimmel, Robert L., 2010. "Estimating affine multifactor term structure models using closed-form likelihood expansions," Journal of Financial Economics, Elsevier, vol. 98(1), pages 113-144, October.
    7. Cho, Sungjun & Hyde, Stuart & Liu, Liu, 2022. "The yen–dollar risk premium: A story of regime shifts in bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).

Articles

  1. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.

    Cited by:

    1. Bandi, Federico M. & Chaudhuri, Shomesh E. & Lo, Andrew W. & Tamoni, Andrea, 2021. "Spectral factor models," Journal of Financial Economics, Elsevier, vol. 142(1), pages 214-238.
    2. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    3. Peress, Joël & Dong, Xi & KANG, NAMHO, 2020. "Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain," CEPR Discussion Papers 15235, C.E.P.R. Discussion Papers.
    4. Shailesh Rana & William H. Bommer & G. Michael Phillips, 2020. "Predicting Returns for Growth and Value Stocks: A Forecast Assessment Approach Using Global Asset Pricing Models," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 88-106.
    5. Ebert, Sebastian & Hilpert, Christian, 2019. "Skewness preference and the popularity of technical analysis," Journal of Banking & Finance, Elsevier, vol. 109(C).
    6. Tong Wang, 2023. "Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium," Review of Finance, European Finance Association, vol. 27(1), pages 325-367.
    7. Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.

  2. Paul Schneider & Fabio Trojani, 2019. "(Almost) Model‐Free Recovery," Journal of Finance, American Finance Association, vol. 74(1), pages 323-370, February.

    Cited by:

    1. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    2. Gao, Can & Martin, Ian, 2021. "Volatility, valuation ratios, and bubbles: An empirical measure of market sentiment," SAFE Working Paper Series 312, Leibniz Institute for Financial Research SAFE.
    3. Paolo Guasoni & Eberhard Mayerhofer, 2020. "Technical Note—Options Portfolio Selection," Operations Research, INFORMS, vol. 68(3), pages 733-740, May.
    4. Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
    5. Martin, Ian, 2021. "On the autocorrelation of the stock market," LSE Research Online Documents on Economics 106215, London School of Economics and Political Science, LSE Library.
    6. Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.

  3. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016. "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 247-267.

    Cited by:

    1. Timmermann, Allan & Pettenuzzo, Davide & Gargano, Antonio, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," CEPR Discussion Papers 10104, C.E.P.R. Discussion Papers.
    2. Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, C.E.P.R. Discussion Papers.
    3. Biao Guo & Qian Han & Hai Lin, 2018. "Are there gains from using information over the surface of implied volatilities?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 645-672, June.
    4. Rui Liu, 2019. "Forecasting Bond Risk Premia with Unspanned Macroeconomic Information," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-62, March.
    5. John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023. "Commodity futures return predictability and intertemporal asset pricing," Post-Print hal-04192933, HAL.
    6. Hitesh Doshi & Kris Jacobs & Rui Liu, 2021. "Information in the Term Structure: A Forecasting Perspective," Management Science, INFORMS, vol. 67(8), pages 5255-5277, August.
    7. Realdon, Marco & Boonyanet, Wachira, 2017. "Linear–quadratic term structure models for negative euro area yields," Economics Letters, Elsevier, vol. 155(C), pages 149-153.
    8. Abraham Lioui & Andrea Tarelli, 2023. "Money Illusion and TIPS Demand," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 171-214, February.
    9. Faria, Gonçalo & Verona, Fabio, 2020. "Frequency-domain information for active portfolio management," Bank of Finland Research Discussion Papers 2/2020, Bank of Finland.
    10. Ren‐Raw Chen & Pei‐Lin Hsieh & Jeffrey Huang & Xiaowei Li, 2023. "Predictive power of the implied volatility term structure in the fixed‐income market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 349-383, March.
    11. Wan, Runqing & Fulop, Andras & Li, Junye, 2022. "Real-time Bayesian learning and bond return predictability," Journal of Econometrics, Elsevier, vol. 230(1), pages 114-130.
    12. Fong, Tom Pak Wing & Wu, Shui Tang, 2020. "Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    13. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2021. "Bond return predictability: Evidence from 25 OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    14. Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana, 2023. "Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries," LIDAM Discussion Papers LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    15. Biao Guo & Hai Lin, 2020. "Volatility and jump risk in option returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1767-1792, November.
    16. Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev, 2021. "The incremental information in the yield curve about future interest rate risk," CREATES Research Papers 2021-11, Department of Economics and Business Economics, Aarhus University.
    17. Hai Lin & Chunchi Wu & Guofu Zhou, 2018. "Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach," Management Science, INFORMS, vol. 64(9), pages 4218-4238, September.
    18. João F. Caldeira, 2020. "Investigating the expectation hypothesis and the risk premium dynamics: new evidence for Brazil," Empirical Economics, Springer, vol. 59(1), pages 395-412, July.
    19. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2016. "Demographics and the Behavior of Interest Rates," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(4), pages 732-776, November.
    20. Su, Hao & Ying, Chengwei & Zhu, Xiaoneng, 2022. "Disaster risk matters in the bond market," Finance Research Letters, Elsevier, vol. 47(PA).
    21. Allan Timmermann, 2018. "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 449-479, November.
    22. Hai Lin & Xinyuan Tao & Junbo Wang & Chunchi Wu, 2020. "Credit Spreads, Business Conditions, and Expected Corporate Bond Returns," JRFM, MDPI, vol. 13(2), pages 1-34, January.
    23. Tom Engsted & Stig V. Møller & Magnus Sander, 2013. "Bond return predictability in expansions and recessions," CREATES Research Papers 2013-13, Department of Economics and Business Economics, Aarhus University.
    24. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
    25. Zhang, Han & Fan, Xiaoyun & Guo, Bin & Zhang, Wei, 2019. "Reexamining time-varying bond risk premia in the post-financial crisis era," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).

  4. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
    See citations under working paper version above.
  5. Aleksandar Mijatović & Paul Schneider, 2014. "Empirical Asset Pricing with Nonlinear Risk Premia," Journal of Financial Econometrics, Oxford University Press, vol. 12(3), pages 479-506.
    See citations under working paper version above.
  6. Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013. "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, vol. 176(2), pages 93-111.
    See citations under working paper version above.
  7. Roman Kozhan & Anthony Neuberger & Paul Schneider, 2013. "The Skew Risk Premium in the Equity Index Market," The Review of Financial Studies, Society for Financial Studies, vol. 26(9), pages 2174-2203.

    Cited by:

    1. Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
    2. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, vol. 217(2), pages 312-334.
    3. Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018. "The Risk-Asymmetry Index as a new Measure of Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 22(3-4), pages 173-210, September.
    4. Wenli Zhu & Xinfeng Ruan, 2019. "Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 507-532, February.
    5. Wong, Patrick, 2023. "Explaining intraday crude oil returns with higher order risk-neutral moments," Journal of Commodity Markets, Elsevier, vol. 31(C).
    6. Hain, Martin & Uhrig-Homburg, Marliese & Unger, Nils, 2018. "Risk factors and their associated risk premia: An empirical analysis of the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 44-63.
    7. Aşty Al-Jaaf, 2022. "Dividend predictability and higher moment risk premia," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 83-99, March.
    8. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
    9. Shi, Yun & Cui, Xiangyu & Zhou, Xunyu, 2020. "Beta and Coskewness Pricing: Perspective from Probability Weighting," SocArXiv 5rqhv, Center for Open Science.
    10. Alexander Arimond & Damian Borth & Andreas Hoepner & Michael Klawunn & Stefan Weisheit, 2020. "Neural Networks and Value at Risk," Papers 2005.01686, arXiv.org, revised May 2020.
    11. Bruno Spilak & Wolfgang Karl Hardle, 2020. "Tail-risk protection: Machine Learning meets modern Econometrics," Papers 2010.03315, arXiv.org, revised Aug 2021.
    12. Chen, Ren-Raw & Hsieh, Pei-lin & Huang, Jeffrey, 2018. "Crash risk and risk neutral densities," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 162-189.
    13. Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
    14. Ho, Tuan & Kim, Kirak & Li, Yang & Xu, Fangming, 2023. "Can Real Options Explain the Skewness of Stock Returns?," Journal of Banking & Finance, Elsevier, vol. 148(C).
    15. Christian Wolff & Thorsten Lehnert & Yuehao Lin, 2014. "Skewness Risk Premium: Theory and Empirical Evidence," LSF Research Working Paper Series 14-05, Luxembourg School of Finance, University of Luxembourg.
    16. Sangwon Suh & Eungyu Yoo & Sun‐Joong Yoon, 2021. "Stock market tail risk, tail risk premia, and return predictability," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1569-1596, October.
    17. Ebert, Sebastian, 2015. "On skewed risks in economic models and experiments," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 85-97.
    18. José P. Dapena & Juan A. Serur & Julián R. Siri, 2018. "Measuring and trading volatility on the US stock market: A regime switching approach," CEMA Working Papers: Serie Documentos de Trabajo. 659, Universidad del CEMA.
    19. Manuel Ammann & Alexander Feser, 2019. "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance 1902, University of St. Gallen, School of Finance.
    20. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
    21. Lu, Xinjie & Ma, Feng & Wang, Jianqiong & Dong, Dayong, 2022. "Singlehanded or joint race? Stock market volatility prediction," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 734-754.
    22. Elyasiani, Elyas & Gambarelli, Luca & Muzzioli, Silvia, 2020. "Moment risk premia and the cross-section of stock returns in the European stock market," Journal of Banking & Finance, Elsevier, vol. 111(C).
    23. Broll, Michael, 2016. "The skewness risk premium in currency markets," Economic Modelling, Elsevier, vol. 58(C), pages 494-511.
    24. Elyas Elyasani & Luca Gambarelli & Silvia Muzzioli, 2016. "The risk asymmetry index," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0061, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    25. Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2015. "Towards a skewness index for the Italian stock market," Department of Economics 0064, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    26. Peter H. Gruber & Claudio Tebaldi & Fabio Trojani, 2021. "The Price of the Smile and Variance Risk Premia," Management Science, INFORMS, vol. 67(7), pages 4056-4074, July.
    27. Carol Alexander & Johannes Rauch, 2017. "The Aggregation Property and its Applications to Realised Higher Moments," Papers 1709.08188, arXiv.org.
    28. Geon Ho Choe & Kyungsub Lee, 2013. "High moment variations and their application," Papers 1311.4973, arXiv.org.
    29. Manuel Ammann & Alexander Feser, 2019. "Option-implied Value-at-Risk and the cross-section of stock returns," Review of Derivatives Research, Springer, vol. 22(3), pages 449-474, October.
    30. Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    31. Corte, Pasquale Della & Kozhan, Roman & Neuberger, Anthony, 2021. "The cross-section of currency volatility premia," Journal of Financial Economics, Elsevier, vol. 139(3), pages 950-970.
    32. Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).
    33. Trung H. Le & Apostolos Kourtis & Raphael Markellos, 2023. "Modeling skewness in portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 734-770, June.
    34. Ni, Zhongxin & Wang, Linyu, 2023. "The predictability of skewness risk premium on stock returns: Evidence from Chinese market," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 576-594.
    35. Finta, Marinela Adriana & Aboura, Sofiane, 2020. "Risk premium spillovers among stock markets: Evidence from higher-order moments," Journal of Financial Markets, Elsevier, vol. 49(C).
    36. Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018. "The use of option prices in order to evaluate the skewness risk premium," Department of Economics 0132, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    37. Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou, 2018. "Downside Variance Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 341-383.
    38. Roh, Tai-Yong & Byun, Suk Joon & Xu, Yahua, 2020. "Downside uncertainty shocks in the oil and gold markets," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 291-307.
    39. Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2016. "Fear or greed? What does a skewness index measure?," Department of Economics 0102, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    40. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019. "The information content of forward moments," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 527-541.
    41. Lee Kyungsub, 2016. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 19-36, February.
    42. Carol Alexander & Johannes Rauch, 2014. "Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia," Papers 1404.1351, arXiv.org, revised Feb 2016.
    43. Da Fonseca, José & Xu, Yahua, 2017. "Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition," Energy Economics, Elsevier, vol. 67(C), pages 410-422.
    44. Spilak, Bruno & Härdle, Wolfgang Karl, 2020. "Tail-risk protection: Machine Learning meets modern Econometrics," IRTG 1792 Discussion Papers 2020-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    45. Carol Alexander & Johannes Rauch, 2016. "Model-Free Discretisation-Invariant Swap Contracts," Papers 1602.00235, arXiv.org, revised Apr 2016.
    46. Manuel Ammann & Mathis Moerke & Marcel Prokopczuk & Christoph Matthias Würsig, 2023. "Commodity tail risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 168-197, February.
    47. Kyungsub Lee & Byoung Ki Seo, 2017. "Performance of Tail Hedged Portfolio with Third Moment Variation Swap," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 447-471, October.
    48. Zhang, Xinxin & Bouri, Elie & Xu, Yahua & Zhang, Gongqiu, 2022. "The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 109(C).
    49. Ana‐Maria Fuertes & Zhenya Liu & Weiqing Tang, 2022. "Risk‐neutral skewness and commodity futures pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 751-785, April.
    50. Jin E. Zhang & Eric C. Chang & Huimin Zhao, 2020. "Market Excess Returns, Variance and the Third Cumulant," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 605-637, September.
    51. Jungah Yoon & Xinfeng Ruan & Jin E. Zhang, 2022. "VIX option‐implied volatility slope and VIX futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1002-1038, June.
    52. Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018. "The properties of a skewness index and its relation with volatility and returns," Department of Economics 0133, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    53. Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2016. "Time-Varying Crash Risk: The Role of Stock Market Liquidity," Staff Working Papers 16-35, Bank of Canada.
    54. Johannes Rauch & Carol Alexander, 2016. "Tail Risk Premia for Long-Term Equity Investors," Papers 1602.00865, arXiv.org.
    55. Koëter, Joren, 2021. "Essays on asset pricing, investor preferences, and derivative markets," Other publications TiSEM 9e88a66e-b972-4af3-91d6-0, Tilburg University, School of Economics and Management.
    56. Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
    57. Mete Kilic & Ivan Shaliastovich, 2019. "Good and Bad Variance Premia and Expected Returns," Management Science, INFORMS, vol. 67(6), pages 2522-2544, June.
    58. Dias, Alexandra, 2016. "The economic value of controlling for large losses in portfolio selection," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 81-91.
    59. Le, Trung H., 2021. "International portfolio allocation: The role of conditional higher moments," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 33-57.
    60. Yuta Koike & Zhi Liu, 2019. "Asymptotic properties of the realized skewness and related statistics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(4), pages 703-741, August.
    61. Aretz, Kevin & Eser Arisoy, Y., 2023. "The Pricing of Skewness Over Different Return Horizons," Journal of Banking & Finance, Elsevier, vol. 148(C).
    62. Liu, Yiye & Han, Liyan & Wu, You, 2022. "Can skewness predict CNY-CNH spread?," Finance Research Letters, Elsevier, vol. 46(PB).
    63. George Chalamandaris & Leonidas S. Rompolis, 2021. "Recovering the market risk premium from higher‐order moment risks," European Financial Management, European Financial Management Association, vol. 27(1), pages 147-186, January.
    64. Manuel Ammann & Alexander Feser, 2019. "Robust estimation of risk‐neutral moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1137-1166, September.
    65. Ruan, Xinfeng & Zhu, Wenli & Huang, Jiexiang & Zhang, Jin E., 2016. "Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums," Economic Modelling, Elsevier, vol. 54(C), pages 326-338.
    66. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
    67. José Da Fonseca & Edem Dawui, 2021. "Semivariance and semiskew risk premiums in currency markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 290-324, March.
    68. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
    69. Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2016. "Moment Risk Premia and the Cross-Section of Stock Returns," Department of Economics 0103, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    70. Zhen Fang & Zhang Jin E., 2020. "Dissecting skewness under affine jump-diffusions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-19, September.
    71. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
    72. Jian, Zhihong & Li, Xupei, 2021. "Skewness-based market integration: A systemic risk measure across international equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
    73. Y. Lempérière & C. Deremble & T. T. Nguyen & P. Seager & M. Potters & J. P. Bouchaud, 2017. "Risk premia: asymmetric tail risks and excess returns," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 1-14, January.
    74. Yaw‐Huei Wang & Kuang‐Chieh Yen, 2019. "The information content of the implied volatility term structure on future returns," European Financial Management, European Financial Management Association, vol. 25(2), pages 380-406, March.
    75. Alexander, Carol & Rauch, Johannes, 2021. "A general property for time aggregation," European Journal of Operational Research, Elsevier, vol. 291(2), pages 536-548.
    76. Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
    77. Brinkmann, Felix & Korn, Olaf, 2014. "Risk-adjusted option-implied moments," CFR Working Papers 14-07, University of Cologne, Centre for Financial Research (CFR).
    78. José Da Fonseca & Yahua Xu, 2019. "Variance and skew risk premiums for the volatility market: The VIX evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 302-321, March.
    79. Dörries, Julian & Korn, Olaf & Power, Gabriel J., 2023. "How should the long-term investor harvest variance risk premiums?," CFR Working Papers 23-06, University of Cologne, Centre for Financial Research (CFR).
    80. Felix Brinkmann & Olaf Korn, 2018. "Risk-adjusted option-implied moments," Review of Derivatives Research, Springer, vol. 21(2), pages 149-173, July.
    81. Nadler, Philip & Guo, Yike, 2020. "The fair value of a token: How do markets price cryptocurrencies?," Research in International Business and Finance, Elsevier, vol. 52(C).
    82. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).
    83. Y. Lemp'eri`ere & C. Deremble & T. T. Nguyen & P. Seager & M. Potters & J. P. Bouchaud, 2014. "Risk Premia: Asymmetric Tail Risks and Excess Returns," Papers 1409.7720, arXiv.org, revised Oct 2015.
    84. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
    85. Kyungsub Lee, 2013. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Papers 1311.5036, arXiv.org, revised Jul 2015.
    86. Ruan, Xinfeng & Zhang, Jin E., 2019. "Moment spreads in the energy market," Energy Economics, Elsevier, vol. 81(C), pages 598-609.
    87. Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.
    88. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.

  8. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2012. "Properties of foreign exchange risk premiums," Journal of Financial Economics, Elsevier, vol. 105(2), pages 279-310.
    See citations under working paper version above.
  9. Gregor Dorfleitner & Paul Schneider & Tanja Veža, 2011. "Flexing the default barrier," Quantitative Finance, Taylor & Francis Journals, vol. 11(12), pages 1729-1743.

    Cited by:

    1. Feldhütter, Peter & Schaefer, Stephen, 2023. "Debt dynamics and credit risk," Journal of Financial Economics, Elsevier, vol. 149(3), pages 497-535.
    2. Bougias, Alexandros & Episcopos, Athanasios & Leledakis, George N., 2022. "The role of asset payouts in the estimation of default barriers," International Review of Financial Analysis, Elsevier, vol. 81(C).

  10. Manfred Frühwirth & Paul Schneider & Leopold Sögner, 2010. "The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market," European Financial Management, European Financial Management Association, vol. 16(4), pages 658-685, September.

    Cited by:

    1. Gündüz, Yalin & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2021. "Lighting up the dark: Liquidity in the German corporate bond market," Discussion Papers 21/2021, Deutsche Bundesbank.
    2. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Asia Aman, 2019. "Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions," JRFM, MDPI, vol. 12(4), pages 1-13, September.

  11. Osnat Stramer & Matthew Bognar & Paul Schneider, 2010. "Bayesian Inference for Discretely Sampled Markov Processes with Closed-Form Likelihood Expansions," Journal of Financial Econometrics, Oxford University Press, vol. 8(4), pages 450-480, Fall.

    Cited by:

    1. Jesus Fernandez-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2013. "Estimating Dynamic Equilibrium Models with Stochastic Volatility," PIER Working Paper Archive 13-036, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    2. Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013. "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, vol. 176(2), pages 93-111.
    3. Isambi Mbalawata & Simo Särkkä & Heikki Haario, 2013. "Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering," Computational Statistics, Springer, vol. 28(3), pages 1195-1223, June.
    4. Cerrato, Mario & Lo, Chia Chun & Skindilias, Konstantinos, 2011. "Adaptive Continuous time Markov Chain Approximation Model to General Jump-Diusions," SIRE Discussion Papers 2011-53, Scottish Institute for Research in Economics (SIRE).
    5. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
    6. Choi, Seungmoon, 2018. "Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 40(4), pages 1-22.
    7. Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J., 2014. "Maximum likelihood estimation of partially observed diffusion models," Journal of Econometrics, Elsevier, vol. 180(1), pages 73-80.
    8. Li, Chenxu & Chen, Dachuan, 2016. "Estimating jump–diffusions using closed-form likelihood expansions," Journal of Econometrics, Elsevier, vol. 195(1), pages 51-70.
    9. Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias, 2011. "Adaptive continuous time Markov chain approximation model to general jump-diffusions," Working Papers 2011_16, Business School - Economics, University of Glasgow.
    10. Varughese, Melvin M., 2013. "Parameter estimation for multivariate diffusion systems," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 417-428.
    11. Jakobsen, Nina Munkholt & Sørensen, Michael, 2019. "Estimating functions for jump–diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3282-3318.
    12. Lee, Yoon Dong & Song, Seongjoo & Lee, Eun-Kyung, 2014. "The delta expansion for the transition density of diffusion models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 694-705.
    13. Choi, Seungmoon, 2015. "Explicit form of approximate transition probability density functions of diffusion processes," Journal of Econometrics, Elsevier, vol. 187(1), pages 57-73.

  12. Schneider, Paul & Sögner, Leopold & Veža, Tanja, 2010. "The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(6), pages 1517-1547, December.

    Cited by:

    1. Lily Y. Liu, 2017. "Estimating Loss Given Default from CDS under Weak Identification," Supervisory Research and Analysis Working Papers RPA 17-1, Federal Reserve Bank of Boston.
    2. Jan Mutl & Leopold Sögner, 2019. "Parameter estimation and inference with spatial lags and cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 597-635, July.
    3. Bedendo, Mascia & Colla, Paolo, 2015. "Sovereign and corporate credit risk: Evidence from the Eurozone," Journal of Corporate Finance, Elsevier, vol. 33(C), pages 34-52.
    4. Brunella Bruno & Giacomo Nocera & Andrea Resti, 2015. "The credibility of European banks’ risk-weighted capital: structural differences or national segmentations?," BAFFI CAREFIN Working Papers 1509, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    5. Trapp, Monika & Wewel, Claudio, 2012. "Transatlantic systemic risk," CFR Working Papers 12-10, University of Cologne, Centre for Financial Research (CFR).
    6. Garcia-Appendini, Emilia & Gatti, Stefano & Nocera, Giacomo, 2023. "Does asset encumbrance affect bank risk? Evidence from covered bonds," Journal of Banking & Finance, Elsevier, vol. 146(C).
    7. Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 15-35.
    8. Marcin Jaskowski & Michael McAleer, 2013. "Estimating Implied Recovery Rates from the Term Structure of CDS Spreads," Tinbergen Institute Discussion Papers 13-005/III, Tinbergen Institute.
    9. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    10. Trapp, Monika & Wewel, Claudio, 2013. "Transatlantic systemic risk," CFR Working Papers 12-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
    11. Arakelyan, Armen & Rubio, Gonzalo & Serrano, Pedro, 2015. "The reward for trading illiquid maturities in credit default swap markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 376-389.
    12. Jobst, Rainer & Kellner, Ralf & Rösch, Daniel, 2020. "Bayesian loss given default estimation for European sovereign bonds," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1073-1091.
    13. Narayanan, Rajesh & Uzmanoglu, Cihan, 2018. "How do firms respond to empty creditor holdout in distressed exchanges?," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 251-266.
    14. Ratner, Mitchell & Chiu, Chih-Chieh (Jason), 2013. "Hedging stock sector risk with credit default swaps," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 18-25.
    15. Miller, Patrick & Töws, Eugen, 2018. "Loss given default adjusted workout processes for leases," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 189-201.
    16. Kamga, Merlin Kuate & Wilde, Christian, 2017. "Liquidity premia in CDS markets," SAFE Working Paper Series 173, Leibniz Institute for Financial Research SAFE.
    17. Trapp, Monika & Wewel, Claudio, 2013. "Transatlantic systemic risk," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4241-4255.
    18. Schläfer, Timo & Uhrig-Homburg, Marliese, 2014. "Is recovery risk priced?," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 257-270.
    19. Natalie Packham & Lutz Schloegl & Wolfgang M. Schmidt, 2013. "Credit gap risk in a first passage time model with jumps," Quantitative Finance, Taylor & Francis Journals, vol. 13(12), pages 1871-1889, December.
    20. Kato, Kensuke & Nakamura, Nobuhiro, 2023. "Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 612(C).
    21. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
    22. Zhou, Haigang & Zhu, John Qi, 2019. "Firm characteristics and jump dynamics in stock prices around earnings announcements," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    23. Enrico Laghi & Michele Di Marcantonio & Eugenio D'Amico, 2014. "Estimating credit default swap spreads using accounting data, market quotes and credit ratings: the European Banks Case," FINANCIAL REPORTING, FrancoAngeli Editore, vol. 2014(2-3-4), pages 59-81.
    24. Patrycja Chodnicka & Katarzyna Niewinska, 2015. "Financial Risk in Polish Companies During the Global Economic Crisis of 2007–2008 with Particular Emphasis on Evaluation of the Use of Reserve Debt Capacity (Ryzyko finansowania polskich przedsiebiors," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 13(55), pages 197-219.
    25. Kallberg, Jarl & Liu, Crocker H. & Villupuram, Sriram, 2013. "Preferred stock: Some insights into capital structure," Journal of Corporate Finance, Elsevier, vol. 21(C), pages 77-86.
    26. Díaz, Antonio & Groba, Jonatan & Serrano, Pedro, 2013. "What drives corporate default risk premia? Evidence from the CDS market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 529-563.

  13. Gregor Dorfleitner & Paul Schneider & Kurt Hawlitschek & Arne Buch, 2008. "Pricing options with Green's functions when volatility, interest rate and barriers depend on time," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 119-133.

    Cited by:

    1. R'uben Sousa & Ana Bela Cruzeiro & Manuel Guerra, 2016. "Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model," Papers 1610.03230, arXiv.org, revised Aug 2017.
    2. Gregor Dorfleitner & Paul Schneider & Tanja Veža, 2011. "Flexing the default barrier," Quantitative Finance, Taylor & Francis Journals, vol. 11(12), pages 1729-1743.
    3. Amirhossein Sobhani & Mariyan Milev, 2017. "A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node," Papers 1712.01060, arXiv.org, revised Feb 2018.
    4. Amirhossein Sobhani & Mariyan Milev, 2017. "A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet," Papers 1703.09129, arXiv.org, revised Mar 2017.
    5. Aleksandar Mijatović, 2010. "Local time and the pricing of time-dependent barrier options," Finance and Stochastics, Springer, vol. 14(1), pages 13-48, January.
    6. Marianito R. Rodrigo, 2020. "Pricing of Barrier Options on Underlying Assets with Jump-Diffusion Dynamics: A Mellin Transform Approach," Mathematics, MDPI, vol. 8(8), pages 1-20, August.

  14. Manfred Fruhwirth & Paul Schneider & Markus S. Schwaiger, 2007. "Timing Decisions in a Multinational Context: Implementing the Amin/Bodurtha Framework," Multinational Finance Journal, Multinational Finance Journal, vol. 11(3-4), pages 157-178, September.

    Cited by:

    1. Stephen Matteo Miller, 2012. "Booms and Busts as Exchange Options," Multinational Finance Journal, Multinational Finance Journal, vol. 16(3-4), pages 189-223, September.
    2. Vishaal Baulkaran & Nathaniel C. Lupton, 2020. "U.S. FDI and Shareholder Rights Protection in Developed and Developing Economies," Multinational Finance Journal, Multinational Finance Journal, vol. 24(3-4), pages 155-182, September.

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