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On the nature of (jump) skewness risk premia
Orłowski, Piotr; Schneider, Paul; Trojani, Fabio - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 1154-1174
Persistent link: https://www.econbiz.de/10014513916
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Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness
Massacci, Daniele - In: Management science : journal of the Institute for … 63 (2017) 9, pp. 3072-3089
Persistent link: https://www.econbiz.de/10011749024
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Cross-sectional variation of option-implied volatility skew
Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580
Persistent link: https://www.econbiz.de/10014551903
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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900
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Good and bad variance premia and expected returns
Kilic, Mete; Shaliastovich, Ivan - In: Management science : journal of the Institute for … 65 (2019) 6, pp. 2522-2544
Persistent link: https://www.econbiz.de/10012039812
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Illiquidity and price informativeness
Kerr, Jon; Sadka, Gil; Sadka, Ronnie - In: Management science : journal of the Institute for … 66 (2020) 1, pp. 334-351
Persistent link: https://www.econbiz.de/10012156621
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Firm-specific risk-neutral distributions with options and CDS
Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - In: Management science : journal of the Institute for … 68 (2022) 9, pp. 7018-7033
Persistent link: https://www.econbiz.de/10013373168
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Differences in trading and pricing between stock and index options
Lemmon, Michael L.; Ni, Sophie Xiaoyan - In: Management science : journal of the Institute for … 60 (2014) 8, pp. 1985-2001
Persistent link: https://www.econbiz.de/10010403590
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Correlated cashflow shocks, asset prices, and the term structure of equity
Hasler, Michael; Khapko, Mariana - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5560-5577
Persistent link: https://www.econbiz.de/10014392946
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On estimating skewness in stock returns
Lau, Hon-shiang - In: Management science : journal of the Institute for … 35 (1989) 9, pp. 1139-1142
Persistent link: https://www.econbiz.de/10001074223