Stock Return Autocorrelations and Expected Option Returns
Year of publication: |
2020
|
---|---|
Authors: | Jeon, Yoontae |
Other Persons: | Kan, Raymond (contributor) ; Li, Gang (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Kapitaleinkommen | Capital income | Autokorrelation | Autocorrelation | Börsenkurs | Share price | Schätzung | Estimation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (51 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 31, 2019 erstellt |
Other identifiers: | 10.2139/ssrn.3363331 [DOI] |
Classification: | G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Volatility and Expected Option Returns : A Note
Chaudhury, Mo, (2017)
-
The Shape of the Pricing Kernel and Expected Option Returns
Schlag, Christian, (2021)
-
Pollastri, Alessandro, (2022)
- More ...
-
Option Valuation with Observable Volatility and Jump Dynamics
Christoffersen, Peter, (2015)
-
Time-varying window length for correlation forecasts
Jeon, Yoontae, (2017)
-
Time-varying crash risk: The role of stock market liquidity
Christoffersen, Peter F., (2016)
- More ...