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Detecting jumps from Lévy jump diffusion processes
Lee, Suzanne S.; Hannig, Jan - In: Journal of financial economics 96 (2010) 2, pp. 271-290
Persistent link: https://www.econbiz.de/10003979181
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Adding and subtracting Black-Scholes : a new approach to approximating derivative prices in continuous-time models
Kristensen, Dennis; Mele, Antonio - In: Journal of financial economics 102 (2011) 2, pp. 390-415
Persistent link: https://www.econbiz.de/10009310761
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Does ambiguity matter? : estimating asset pricing models with a multiple-priors recursive utility
Jeong, Daehee; Kim, Hwagyun; Park, Joon Y. - In: Journal of financial economics 115 (2015) 2, pp. 361-382
Persistent link: https://www.econbiz.de/10011347485
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Variance bounds on the permanent and transitory components of stochastic discount factors
Bakshi, Gurdip S.; Chabi-Yo, Fousseni - In: Journal of financial economics 105 (2012) 1, pp. 191-208
Persistent link: https://www.econbiz.de/10009622426
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The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
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GMM tests of stochastic doscount factor models with useless factors
Kan, Raymond; Zhang, Chu - In: Journal of financial economics 54 (1999) 1, pp. 103-127
Persistent link: https://www.econbiz.de/10001407070
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Price and volatility co-jumps
Bandi, F. M.; Renò, Roberto - In: Journal of financial economics 119 (2016) 1, pp. 107-146
Persistent link: https://www.econbiz.de/10011589735
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An intertemporal CAPM with stochastic volatility
Campbell, John Y.; Giglio, Stefano; Polk, Christopher; … - In: Journal of financial economics 128 (2018) 2, pp. 207-233
Persistent link: https://www.econbiz.de/10011971041
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Empirical evaluation of overspecified asset pricing models
Manresa, Elena; Peñaranda, Francisco; Sentana, Enrique - In: Journal of financial economics 147 (2023) 2, pp. 338-351
Persistent link: https://www.econbiz.de/10013546675
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An econometric model of serial correlation and illiquidity in hedge fund returns
Getmansky, Mila; Lo, Andrew W.; Makarov, Igor - In: Journal of financial economics 74 (2004) 3, pp. 529-609
Persistent link: https://www.econbiz.de/10002439293