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Does variance risk have two prices? Evidence from the equity and option markets
Barras, Laurent; Malkhozov, Aytek - In: Journal of financial economics 121 (2016) 1, pp. 79-92
Persistent link: https://www.econbiz.de/10011590676
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Time-changed Lévy LIBOR market model : pricing and joint estimation of the cap surface and swaption cube
Leippold, Markus; Strømberg, Jacob - In: Journal of financial economics 111 (2014) 1, pp. 224-250
Persistent link: https://www.econbiz.de/10010255531
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Quadratic variance swap models
Filipović, Damir; Gourier, Elise; Mancini, Loriano - In: Journal of financial economics 119 (2016) 1, pp. 44-68
Persistent link: https://www.econbiz.de/10011589703
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Volatility and the cross-section of corporate bond returns
Chung, Kee H.; Wang, Junbo; Wu, Chunchi - In: Journal of financial economics 133 (2019) 2, pp. 397-417
Persistent link: https://www.econbiz.de/10012165603
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The leverage effect and the basket-index put spread
Bai, Jennie; Goldstein, Robert S.; Yang, Fan - In: Journal of financial economics 131 (2019) 1, pp. 186-205
Persistent link: https://www.econbiz.de/10012130889