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The state price density implied by crude oil futures and option prices

Christoffersen, Peter F.; Jacobs, Kris; Pan, Xuhui - In: The review of financial studies 35 (2022) 2, pp. 1064-1103

Persistent link: https://www.econbiz.de/10012878983

Option Valuation with Conditional Heteroskedasticity and Nonnormality

Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - In: Review of Financial Studies 23 (2010) 5, pp. 2139-2183

We provide results for the valuation of European-style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state space setup using the no-arbitrage principle and an equivalent martingale measure (EMM)....

Persistent link: https://www.econbiz.de/10008458898

Oil volatility risk and expected stock returns

Christoffersen, Peter F.; Pan, Xuhui - In: Journal of banking & finance 95 (2018), pp. 5-26

Persistent link: https://www.econbiz.de/10011966688

The cross section of the monetary policy announcement premium

Ai, Hengjie; Han, Leyla Jianyu; Pan, Xuhui; Xu, Lai - In: Journal of financial economics 143 (2022) 1, pp. 247-276

Persistent link: https://www.econbiz.de/10013350644

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Jacobs, Kris - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 410-412

Persistent link: https://www.econbiz.de/10011987533

Time‐Varying Asset Volatility and the Credit Spread Puzzle

DU, DU; ELKAMHI, REDOUANE; ERICSSON, JAN - In: The Journal of Finance 74 (2019) 4, pp. 1841-1885

Persistent link: https://www.econbiz.de/10012094272

The Best of Both Worlds: Accessing Emerging Economies via Developed Markets

BAE, JOON WOO; ELKAMHI, REDOUANE; SIMUTIN, MIKHAIL - In: The Journal of Finance (2019)

Persistent link: https://www.econbiz.de/10012094294

Factor investing using capital market assumptions

Elkamhi, Redouane; Lee, Jacky S. H.; Salerno, Marco - In: The journal of portfolio management : JPM 48 (2022) 2, pp. 119-143

Persistent link: https://www.econbiz.de/10012802488

Global equity correlation in international markets

Bae, Joon Woo; Elkamhi, Redouane - In: Management science : journal of the Institute for … 67 (2021) 11, pp. 7262-7289

Persistent link: https://www.econbiz.de/10012703827

Bridging the gap between strategic allocation and investment risk

Elkamhi, Redouane; Lee, Jacky S. H.; Sadik, Sheikh - In: The journal of portfolio management : JPM 47 (2021) 6, pp. 89-100

Persistent link: https://www.econbiz.de/10012517345