Conditioning Information and Variance Bounds on Pricing Kernels with Higher- Order Moments: Theory and Evidence
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- Peñaranda, Francisco & Sentana, Enrique, 2016.
"Duality in mean-variance frontiers with conditioning information,"
Journal of Empirical Finance,
Elsevier, vol. 38(PB), pages 762-785.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra.
- Peñaranda, Francisco & Sentana, Enrique, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
- 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.
- repec:oup:jfinec:v:16:y:2018:i:3:p:341-383. is not listed on IDEAS
- Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou, 2018.
"Downside Variance Risk Premium,"
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Society for Financial Econometrics, vol. 16(3), pages 341-383.
- Feunou, Bruno & Jahan-Parvar, Mohammad & Okou, Cedric, 2015. "Downside Variance Risk Premium," Finance and Economics Discussion Series 2015-20, Board of Governors of the Federal Reserve System (U.S.).
- Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015. "Downside Variance Risk Premium," Staff Working Papers 15-36, Bank of Canada.
- repec:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0627-z is not listed on IDEAS
- repec:eee:ecosys:v:41:y:2017:i:1:p:151-162 is not listed on IDEAS
- Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013. "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(1), pages 46-68.
- Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2011. "Variance Swaps and Intertemporal Asset Pricing," Documentos de Trabajo del ICAE 2011-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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