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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)

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The influence of investor identity and contract terms on firm value : evidence from PIPEs

Billett, Matthew T.; Elkamhi, Redouane; Floros, Ioannis V. - In: Journal of financial intermediation 24 (2015) 4, pp. 564-589

Persistent link: https://www.econbiz.de/10011526276

Reputation and loan contract terms : the role of principal customers

Cen, Ling; Dasgupta, Sudipto; Elkamhi, Redouane; … - In: Review of finance : journal of the European Finance … 20 (2016) 2, pp. 501-533

Persistent link: https://www.econbiz.de/10011559741

Managerial activeness and mutual fund performance

Doshi, Hitesh; Elkamhi, Redouane; Simutin, Mikhail - In: Review of asset pricing studies 5 (2015) 2, pp. 156-184

Persistent link: https://www.econbiz.de/10011413726