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Model Specification and Risk Premia: Evidence from Futures Options
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Cited by:
- Peixuan Yuan, 2022. "Time-Varying Skew in VIX Derivatives Pricing," Management Science, INFORMS, vol. 68(10), pages 7761-7791, October.
- Audrino, Francesco & Fengler, Matthias R., 2015.
"Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data,"
Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
- Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
- Foschi, Paolo & Pascucci, Andrea, 2009. "Calibration of a path-dependent volatility model: Empirical tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2219-2235, April.
- Ravi Bansal & Ivan Shaliastovich, 2011.
"Learning and Asset-price Jumps,"
Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2738-2780.
- Ravi Bansal & Ivan Shaliastovich, 2009. "Learning and Asset-Price Jumps," NBER Working Papers 14814, National Bureau of Economic Research, Inc.
- Paola Zerilli, 2005.
"Option pricing and spikes in volatility: theoretical and empirical analysis,"
Money Macro and Finance (MMF) Research Group Conference 2005
76, Money Macro and Finance Research Group.
- Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York.
- Cheng, Hung-Wen & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2020. "Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Ng, Jason & Forbes, Catherine S. & Martin, Gael M. & McCabe, Brendan P.M., 2013.
"Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 411-430.
- Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011. "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers 11/11, Monash University, Department of Econometrics and Business Statistics.
- Yan, Jingzhou & Mu, Congming & Yan, Qianhui & Luo, Deqing, 2023. "Robust leverage choice of hedge funds with rare disasters," Finance Research Letters, Elsevier, vol. 54(C).
- Horvath, Jaroslav, 2019. "Isolating the disaster risk premium with equity options," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 138-148.
- Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008.
"Option valuation with long-run and short-run volatility components,"
Journal of Financial Economics, Elsevier, vol. 90(3), pages 272-297, December.
- Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004. "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers 2004s-56, CIRANO.
- Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, Department of Economics and Business Economics, Aarhus University.
- 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.
- David Backus & Mikhail Chernov & Ian Martin, 2011.
"Disasters Implied by Equity Index Options,"
Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
- David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters implied by equity index options," NBER Working Papers 15240, National Bureau of Economic Research, Inc.
- Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers.
- David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters Implied by Equity Index Options," Working Papers 09-14, New York University, Leonard N. Stern School of Business, Department of Economics.
- Andrew G. Atkeson & Adrien d’Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2019.
"Government Guarantees and the Valuation of American Banks,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 33(1), pages 81-145.
- Andrew G. Atkeson & Adrien d'Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," NBER Chapters, in: NBER Macroeconomics Annual 2018, volume 33, pages 81-145, National Bureau of Economic Research, Inc.
- Andrew G. Atkeson & Adrien d'Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," NBER Working Papers 24706, National Bureau of Economic Research, Inc.
- Andrew Atkeson & Adrien D'Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," Staff Report 567, Federal Reserve Bank of Minneapolis.
- Andrew Atkeson & Adrien d'Avernas & Andrea Eisfeldt & Pierre-Olivier Weill, 2018. "Government Guarantees and the Valuation of American Banks," 2018 Meeting Papers 847, Society for Economic Dynamics.
- Corradi, Valentina & Distaso, Walter & Swanson, Norman R., 2009.
"Predictive density estimators for daily volatility based on the use of realized measures,"
Journal of Econometrics, Elsevier, vol. 150(2), pages 119-138, June.
- Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures," Departmental Working Papers 200620, Rutgers University, Department of Economics.
- Borochin, Paul & Yang, Jie, 2017. "Options, equity risks, and the value of capital structure adjustments," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 150-178.
- Hurn, A.S. & Lindsay, K.A. & McClelland, A.J., 2013.
"A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions,"
Journal of Econometrics, Elsevier, vol. 172(1), pages 106-126.
- Stan Hurn & Andrew McClelland & Kenneth Lindsay, 2010. "A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions," NCER Working Paper Series 65, National Centre for Econometric Research.
- repec:qut:auncer:2012_11 is not listed on IDEAS
- 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.
- Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
- Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
- Ruan, Xinfeng & Zhang, Jin E., 2021. "The economics of the financial market for volatility trading," Journal of Financial Markets, Elsevier, vol. 52(C).
- Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
- Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019.
"Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets,"
Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2013. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series 13-40, Swiss Finance Institute, revised Dec 2016.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
- Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2009.
"What is the impact of stock market contagion on an investor's portfolio choice?,"
Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 94-112, August.
- Nicole Branger & Holger Kraft & Christoph Meinerding, 2009. "What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?," Working Paper Series: Finance and Accounting 198, Department of Finance, Goethe University Frankfurt am Main.
- Constantinides, George M. & Lian, Lei, 2021.
"The Supply and Demand of S&P 500 Put Options,"
Critical Finance Review, now publishers, vol. 10(1), pages 1-20, April.
- George M. Constantinides & Lei Lian, 2015. "The Supply and Demand of S&P 500 Put Options," NBER Working Papers 21161, National Bureau of Economic Research, Inc.
- Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
- David Berger & Ian Dew-Becker & Stefano Giglio, 2020.
"Uncertainty Shocks as Second-Moment News Shocks,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(1), pages 40-76.
- David Berger & Ian Dew-Becker & Stefano Giglio, 2017. "Uncertainty Shocks as Second-Moment News Shocks," NBER Working Papers 23796, National Bureau of Economic Research, Inc.
- Stefano Giglio & Ian Dew-Becker & David Berger, 2017. "Uncertainty Shocks as Second-Moment News Shocks," 2017 Meeting Papers 403, Society for Economic Dynamics.
- Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022.
"The Time Variation in Risk Appetite and Uncertainty,"
Management Science, INFORMS, vol. 68(6), pages 3975-4004, June.
- Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2019. "The Time Variation in Risk Appetite and Uncertainty," NBER Working Papers 25673, National Bureau of Economic Research, Inc.
- Yu-Hua Zeng & Shou-Lei Wang & Yu-Fei Yang, 2014. "Calibration of the Volatility in Option Pricing Using the Total Variation Regularization," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-9, March.
- Carol Alexander & Andreas Kaeck, 2012.
"Does model fit matter for hedging? Evidence from FTSE 100 options,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(7), pages 609-638, July.
- Carol Alexander & Andreas Kaeck, 2010. "Does model fit matter for hedging? Evidence from FTSE 100 options," ICMA Centre Discussion Papers in Finance icma-dp2010-05, Henley Business School, University of Reading.
- Lazar, Emese & Qi, Shuyuan, 2022. "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 769-784.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2017.
"Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 504-532, April.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 28/13, Monash University, Department of Econometrics and Business Statistics.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2016. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 8/16, Monash University, Department of Econometrics and Business Statistics.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers 1401.3911, arXiv.org, revised Mar 2016.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 30/14, Monash University, Department of Econometrics and Business Statistics.
- Yun, Jaeho, 2014. "Out-of-sample density forecasts with affine jump diffusion models," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 74-87.
- Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
- George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2020.
"Mispriced index option portfolios,"
Financial Management, Financial Management Association International, vol. 49(2), pages 297-330, June.
- George M. Constantinides & Michal Czerwonko & Stylianos Perrakis, 2017. "Mispriced Index Option Portfolios," NBER Working Papers 23708, National Bureau of Economic Research, Inc.
- Lu, Junwen & Qu, Zhongjun, 2021. "Sieve estimation of option-implied state price density," Journal of Econometrics, Elsevier, vol. 224(1), pages 88-112.
- Markellos, Raphael N. & Psychoyios, Dimitris, 2018. "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 190-202.
- Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015. "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 38-56.
- Ilze Kalnina & Dacheng Xiu, 2017.
"Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
- Ilze KALNINA & Dacheng XIU, 2015. "Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency," Cahiers de recherche 09-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- KALNINA, Ilze & XIU, Dacheng, 2015. "Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency," Cahiers de recherche 2015-05, Universite de Montreal, Departement de sciences economiques.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2009.
"Demand-Based Option Pricing,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4259-4299, October.
- Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan & ,, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers 5420, C.E.P.R. Discussion Papers.
- Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman, 2005. "Demand-Based Option Pricing," NBER Working Papers 11843, National Bureau of Economic Research, Inc.
- A S Hurn & Kenenth A Lindsay & Andrew McClelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.
- Michael C. Fu & Bingqing Li & Rongwen Wu & Tianqi Zhang, 2020. "Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model," Papers 2006.15054, arXiv.org.
- Konstantinos Gkillas & Rangan Gupta & Mark E. Wohar, 2020.
"Oil shocks and volatility jumps,"
Review of Quantitative Finance and Accounting, Springer, vol. 54(1), pages 247-272, January.
- Konstantinos Gkillas & Rangan Gupta & Mark E. Wohar, 2018. "Oil Shocks and Volatility Jumps," Working Papers 201825, University of Pretoria, Department of Economics.
- Qu, Yan & Dassios, Angelos & Zhao, Hongbiao, 2023. "Shot-noise cojumps: exact simulation and option pricing," LSE Research Online Documents on Economics 111537, London School of Economics and Political Science, LSE Library.
- Kaeck, Andreas, 2013. "Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1872-1888.
- Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
- Frazier, David T. & Maneesoonthorn, Worapree & Martin, Gael M. & McCabe, Brendan P.M., 2019.
"Approximate Bayesian forecasting,"
International Journal of Forecasting, Elsevier, vol. 35(2), pages 521-539.
- David T. Frazier & Worapree Maneesoonthorn & Gael M. Martin & Brendan P.M. McCabe, 2018. "Approximate Bayesian forecasting," Monash Econometrics and Business Statistics Working Papers 2/18, Monash University, Department of Econometrics and Business Statistics.
- Pacati, Claudio & Pompa, Gabriele & Renò, Roberto, 2018. "Smiling twice: The Heston++ model," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 185-206.
- Chris Brooks & Marcel Prokopczuk, 2013.
"The dynamics of commodity prices,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 527-542, March.
- Chris Brooks & Marcel Prokopczuk, 2011. "The Dynamics of Commodity Prices," ICMA Centre Discussion Papers in Finance icma-dp2011-09, Henley Business School, University of Reading.
- Branger, Nicole & Hansis, Alexandra, 2012. "Asset allocation: How much does model choice matter?," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1865-1882.
- Gkillas, Konstantinos & Gupta, Rangan & Wohar, Mark E., 2018.
"Volatility jumps: The role of geopolitical risks,"
Finance Research Letters, Elsevier, vol. 27(C), pages 247-258.
- Konstantinos Gkillas & Rangan Gupta & Mark E. Wohar, 2018. "Volatility Jumps: The Role of Geopolitical Risks," Working Papers 201805, University of Pretoria, Department of Economics.
- de Genaro, Alan & Avellaneda, Marco, 2019. "Does the Lending Rate Impact ETF's Prices?," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(2), January.
- Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
- H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022.
"Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation,"
Papers
2210.06217, arXiv.org.
- H. Peter Boswijk & Roger J. A. Laeven & Evgenii Vladimirov, 2022. "Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation," Tinbergen Institute Discussion Papers 22-000/III, Tinbergen Institute.
- Larsson, Karl & Nossman, Marcus, 2011. "Jumps and stochastic volatility in oil prices: Time series evidence," Energy Economics, Elsevier, vol. 33(3), pages 504-514, May.
- Bingxin Li, 2020. "Option-implied filtering: evidence from the GARCH option pricing model," Review of Quantitative Finance and Accounting, Springer, vol. 54(3), pages 1037-1057, April.
- Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin, 2015. "Time-variations in commodity price jumps," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 72-84.
- Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012.
"Probabilistic forecasts of volatility and its risk premia,"
Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose, 2010. "Probabilistic Forecasts of Volatility and its Risk Premia," Monash Econometrics and Business Statistics Working Papers 22/10, Monash University, Department of Econometrics and Business Statistics.
- Leonidas S. Rompolis & Elias Tzavalis, 2017. "Pricing and hedging contingent claims using variance and higher order moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 531-550, April.
- Majewski, A. A. & Bormetti, G. & Corsi, F., 2013. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Working Papers 13/11, Department of Economics, City University London.
- Atilgan, Yigit, 2014. "Volatility spreads and earnings announcement returns," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 205-215.
- Schwarz, Claudia, 2014. "Investor fears and risk premia for rare events," Discussion Papers 03/2014, Deutsche Bundesbank.
- Shaliastovich, Ivan & Tauchen, George, 2011.
"Pricing of the time-change risks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 843-858, June.
- Ivan Shaliastovich & George Tauchen, 2009. "Pricing of the Time-Change Risks," Working Papers 10-71, Duke University, Department of Economics.
- Ivan Shaliastovich & George Tauchen, 2010. "Pricing of the Time-Change Risks," Working Papers 10-10, Duke University, Department of Economics.
- Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2020. "Is the credit spread puzzle a myth?," Journal of Financial Economics, Elsevier, vol. 137(2), pages 297-319.
- Cortazar, Gonzalo & Lopez, Matias & Naranjo, Lorenzo, 2017. "A multifactor stochastic volatility model of commodity prices," Energy Economics, Elsevier, vol. 67(C), pages 182-201.
- Zhiyuan Pan & Yudong Wang & Li Liu & Qing Wang, 2019. "Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 744-776, June.
- Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin, 2017. "Variance risk in commodity markets," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 136-149.
- Diego Amaya & Jean-François Bégin & Geneviève Gauthier, 2022. "The Informational Content of High-Frequency Option Prices," Management Science, INFORMS, vol. 68(3), pages 2166-2201, March.
- A. S. Hurn & K. A. Lindsay & A. J. McClelland, 2015. "Estimating the Parameters of Stochastic Volatility Models Using Option Price Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 579-594, October.
- Ioannis Kyriakou & Nikos K. Nomikos & Nikos C. Papapostolou & Panos K. Pouliasis, 2016. "Affine†Structure Models and the Pricing of Energy Commodity Derivatives," European Financial Management, European Financial Management Association, vol. 22(5), pages 853-881, November.
- Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, vol. 106(3), pages 447-472.
- Castañeda, Pablo & Reus, Lorenzo, 2019. "Suboptimal investment behavior and welfare costs: A simulation based approach," Finance Research Letters, Elsevier, vol. 30(C), pages 170-180.
- Geon Ho Choe & Kyungsub Lee, 2013. "Conditional correlation in asset return and GARCH intensity model," Papers 1311.4977, arXiv.org.
- Steven Heston & Kris Jacobs & Hyung Joo Kim, 2023. "The Pricing Kernel in Options," Finance and Economics Discussion Series 2023-053, Board of Governors of the Federal Reserve System (U.S.).
- Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2021.
"Cross-stock market spillovers through variance risk premiums and equity flows,"
Journal of International Money and Finance, Elsevier, vol. 119(C).
- Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," CIS Discussion paper series 667, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
- Masazumi Hattori & Ilhyock Shim & Yoshihiko Sugihara, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," BIS Working Papers 702, Bank for International Settlements.
- Bandi, F.M. & Renò, R., 2016. "Price and volatility co-jumps," Journal of Financial Economics, Elsevier, vol. 119(1), pages 107-146.
- Jimmy E. Hilliard & Jitka Hilliard, 2012. "Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 49-60, September.
- Xinglin Yang, 2018. "Good jump, bad jump, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1097-1125, September.
- Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018.
"Detecting money market bubbles,"
Journal of Banking & Finance, Elsevier, vol. 87(C), pages 369-379.
- Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
- Gang Li & Chu Zhang, 2010. "On the Number of State Variables in Options Pricing," Management Science, INFORMS, vol. 56(11), pages 2058-2075, November.
- Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
- Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010.
"Option Valuation with Conditional Heteroskedasticity and Nonnormality,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CREATES Research Papers 2009-33, Department of Economics and Business Economics, Aarhus University.
- Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CIRANO Working Papers 2009s-32, CIRANO.
- Du Du & Dan Luo, 2019. "The Pricing of Jump Propagation: Evidence from Spot and Options Markets," Management Science, INFORMS, vol. 67(5), pages 2360-2387, May.
- Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers 1404.3555, arXiv.org.
- Sirio Aramonte & Mohammad R. Jahan-Parvar & Samuel Rosen & John W. Schindler, 2022.
"Firm-Specific Risk-Neutral Distributions with Options and CDS,"
Management Science, INFORMS, vol. 68(9), pages 7018-7033, September.
- Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021. "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers 921, Bank for International Settlements.
- Eraker, Bjørn & Wu, Yue, 2017. "Explaining the negative returns to volatility claims: An equilibrium approach," Journal of Financial Economics, Elsevier, vol. 125(1), pages 72-98.
- Arismendi, Juan C. & Back, Janis & Prokopczuk, Marcel & Paschke, Raphael & Rudolf, Markus, 2016.
"Seasonal Stochastic Volatility: Implications for the pricing of commodity options,"
Journal of Banking & Finance, Elsevier, vol. 66(C), pages 53-65.
- Janis Back & Marcel Prokopczuk & Markus Rudolf, 2011. "Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options," ICMA Centre Discussion Papers in Finance icma-dp2011-16, Henley Business School, University of Reading.
- Ravi Bansal & Ivan Shaliastovich, 2010.
"Confidence Risk and Asset Prices,"
American Economic Review, American Economic Association, vol. 100(2), pages 537-541, May.
- Ravi Bansal & Ivan Shaliastovich, 2009. "Confidence Risk and Asset Prices," NBER Working Papers 14815, National Bureau of Economic Research, Inc.
- Song, Zhaogang & Xiu, Dacheng, 2016.
"A tale of two option markets: Pricing kernels and volatility risk,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 176-196.
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- repec:qut:auncer:2013_02 is not listed on IDEAS
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