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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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Tail risk premia and return predictability
Bollerslev, Tim; Todorov, Viktor; Xu, Lai - In: Journal of financial economics 118 (2015) 1, pp. 113-134
Persistent link: https://www.econbiz.de/10011480379
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Carry
Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225
Persistent link: https://www.econbiz.de/10011968803
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Variance risk in aggregate stock returns and time-varying return predictability
Pyun, Sungjune - In: Journal of financial economics 132 (2019) 1, pp. 150-174
Persistent link: https://www.econbiz.de/10012134795
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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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Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns
Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor - In: Journal of financial economics 120 (2016) 3, pp. 464-490
Persistent link: https://www.econbiz.de/10011590229
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Factors and risk premia in individual international stock returns
Chaieb, Ines; Langlois, Hugues; Scaillet, Olivier - In: Journal of financial economics 141 (2021) 2, pp. 669-692
Persistent link: https://www.econbiz.de/10013259849
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The cross-section of currency volatility premia
Della Corte, Pasquale; Kozhan, Roman; Neuberger, Anthony - In: Journal of financial economics 139 (2021) 3, pp. 950-970
Persistent link: https://www.econbiz.de/10012693854
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Oil volatility risk
Gao, Lin; Hitzemann, Steffen; Shaliastovich, Ivan; Xu, Lai - In: Journal of financial economics 144 (2022) 2, pp. 456-491
Persistent link: https://www.econbiz.de/10013413135
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Systemic co-jumps
Caporin, Massimiliano; Kolokolov, Aleksey; Renò, Roberto - In: Journal of financial economics 126 (2017) 3, pp. 563-591
Persistent link: https://www.econbiz.de/10011818207