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Does interest rate exposure explain the low-volatility anomaly?
Driessen, Joost; Kuiper, Ivo Theodorus Jacqueline; … - In: Journal of banking & finance 103 (2019), pp. 51-61
Persistent link: https://www.econbiz.de/10012163771
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Individual stock-option prices and credit spreads
Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J.; … - In: Journal of banking & finance 32 (2008) 12, pp. 2706-2715
Persistent link: https://www.econbiz.de/10003796160
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The jump component of S&P 500 volatility and the VIX index
Becker, Ralf; Clements, Adam; McClelland, Andrew - In: Journal of banking & finance 33 (2009) 6, pp. 1033-1038
Persistent link: https://www.econbiz.de/10003841865
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Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
Becker, Ralf; Clements, Adam; White, Scott I. - In: Journal of banking & finance 31 (2007) 8, pp. 2535-2549
Persistent link: https://www.econbiz.de/10003522977
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The world price of jumo and volatility risk
Driessen, Joost; Maenhout, Pascal J. - In: Journal of banking & finance 37 (2013) 2, pp. 518-536
Persistent link: https://www.econbiz.de/10009705629