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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris; Gourier, Elise; Leippold, Markus - In: Journal of financial economics 131 (2019) 3, pp. 593-618
Persistent link: https://www.econbiz.de/10012133017
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The volatility of a firm's assets and the leverage effect
Choi, Jaewon; Richardson, Matthew - In: Journal of financial economics 121 (2016) 2, pp. 254-277
Persistent link: https://www.econbiz.de/10011590720
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Idiosyncratic risk and the cross-section of expected stock returns
Fu, Fangjian - In: Journal of financial economics 91 (2009) 1, pp. 24-37
Persistent link: https://www.econbiz.de/10003813177
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"Déjà vol" : predictive regressions for aggregate stock market volatility using macroeconomic variables
Paye, Bradley S. - In: Journal of financial economics 106 (2012) 3, pp. 527-546
Persistent link: https://www.econbiz.de/10009710165
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Volatility in an era of reduced uncertainty: Lessons from Pax Britannica
Brown, William O.; Burdekin, Richard C. K.; Weidenmier, … - In: Journal of financial economics 79 (2006) 3, pp. 693-707
Persistent link: https://www.econbiz.de/10003289305
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A direct test of Rock's model of the pricing of unseasoned issues
Koh, Francis - In: Journal of financial economics 23 (1989) 2, pp. 251-272
Persistent link: https://www.econbiz.de/10001076060
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Asymmetric correlations of equity portfolios
Ang, Andrew; Chen, Joseph - In: Journal of financial economics 63 (2002) 3, pp. 443-494
Persistent link: https://www.econbiz.de/10001661703
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Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
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Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris; Karoui, Lotfi - In: Journal of financial economics 91 (2009) 3, pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
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Lévy jump risk : evidence from options and returns
Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90
Persistent link: https://www.econbiz.de/10010375952