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Citations for "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies"

by Bakshi, Gurdip & Carr, Peter & Wu, Liuren

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  1. Farhi, Emmanuel & Fraiberger, Samuel P. & Gabaix, Xavier & Rancière, Romain & Verdelhan, Adrien, 2009. "Crash Risk in Currency Markets," CEPR Discussion Papers 7322, C.E.P.R. Discussion Papers.
  2. Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011. "Spot and forward volatility in foreign exchange," Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.
  3. Bo, Lijun, 2011. "Exponential change of measure applied to term structures of interest rates and exchange rates," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 216-225, September.
  4. Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
  5. Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014. "Nonlinear Kalman Filtering in Affine Term Structure Models," Management Science, INFORMS, vol. 60(9), pages 2248-2268, September.
  6. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 407-458, Fall.
  7. Zinna, Gabriele, 2014. "Identifying risks in emerging market sovereign and corporate bond spreads," Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22.
  8. repec:eee:jfinec:v:124:y:2017:i:2:p:415-440 is not listed on IDEAS
  9. Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 15-35.
  10. Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J., 2015. "Which continuous-time model is most appropriate for exchange rates?," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 256-268.
  11. Anders B. Trolle & Eduardo S. Schwartz, 2009. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4423-4461, November.
  12. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  13. Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
  14. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
  15. Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
  16. Jurek, Jakub W., 2014. "Crash-neutral currency carry trades," Journal of Financial Economics, Elsevier, vol. 113(3), pages 325-347.
  17. Álvaro Cartea & Dimitrios Karyampas, 2016. "The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 929-950, June.
  18. 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.
  19. Ornthanalai, Chayawat, 2014. "Lévy jump risk: Evidence from options and returns," Journal of Financial Economics, Elsevier, vol. 112(1), pages 69-90.
  20. Chen, Si & Zhou, Zhen & Li, Shenghong, 2016. "An efficient estimate and forecast of the implied volatility surface: A nonlinear Kalman filter approach," Economic Modelling, Elsevier, vol. 58(C), pages 655-664.
  21. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
  22. Kent Daniel & Robert J. Hodrick & Zhongjin Lu, 2014. "The Carry Trade: Risks and Drawdowns," NBER Working Papers 20433, National Bureau of Economic Research, Inc.
  23. Yu, Jianfeng, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization and Monetary Policy Institute Working Paper 90, Federal Reserve Bank of Dallas.
  24. Lee, Suzanne S. & Hannig, Jan, 2010. "Detecting jumps from Lévy jump diffusion processes," Journal of Financial Economics, Elsevier, vol. 96(2), pages 271-290, May.
  25. Nirei, Makoto & Sushko, Vladyslav, 2011. "Jumps in foreign exchange rates and stochastic unwinding of carry trades," International Review of Economics & Finance, Elsevier, vol. 20(1), pages 110-127, January.
  26. Gurdip Bakshi & Liuren Wu, 2010. "The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period," Management Science, INFORMS, vol. 56(12), pages 2251-2264, December.
  27. Anders B. Trolle & Eduardo S. Schwartz, 2006. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers 12744, National Bureau of Economic Research, Inc.
  28. A. Craig Burnside & Jeremy J. Graveline, 2012. "On the Asset Market View of Exchange Rates," NBER Working Papers 18646, National Bureau of Economic Research, Inc.
  29. Carmen Gloria Silva, 2010. "Forward premium puzzle and term structure of interest rates: the case of New Zealand," Working Papers Central Bank of Chile 570, Central Bank of Chile.
  30. Kiesel, Rüdiger & Rahe, Florentin, 2017. "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 120-138.
  31. Almeida, Caio & Graveline, Jeremy J. & Joslin, Scott, 2011. "Do interest rate options contain information about excess returns?," Journal of Econometrics, Elsevier, vol. 164(1), pages 35-44, September.
  32. Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015. "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 34-48.
  33. Nikolai Roussanov & Robert Ready, 2012. "Commodity Trade and the Carry Trade: a Tale of Two Countries," 2012 Meeting Papers 817, Society for Economic Dynamics.
  34. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
  35. Li, Junye, 2012. "Option-implied volatility factors and the cross-section of market risk premia," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 249-260.
  36. Park, Yang-Ho, 2016. "The effects of asymmetric volatility and jumps on the pricing of VIX derivatives," Journal of Econometrics, Elsevier, vol. 192(1), pages 313-328.
  37. Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, vol. 110(3), pages 730-751.
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