Option-Implied Measures of Equity Risk
Year of publication: |
2009-08-01
|
---|---|
Authors: | Chang, Bo-Young ; Christoffersen, Peter ; Jacobs, Kris ; Vainberg, Gregory |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | market beta | CAPM | historical | capital budgeting | model-free moments | bêta du marché | MEDAF (modèle d'équilibre des actifs financiers) | historique | budgétisation des investissements | moments non paramétriques |
-
Christoffersen, Peter, (2007)
-
On empirical challenges in forecasting market betas in crypto markets
Šíla, Jan, (2022)
-
A Concave Security Market Line
De Giorgi, Enrico G., (2018)
- More ...
-
Option-Implied Measures of Equity Risk
Chang, Bo-Young, (2011)
-
Option Valuation with Conditional Heteroskedasticity and Non-Normality
Christoffersen, Peter, (2009)
-
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
Christoffersen, Peter, (2009)
- More ...