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Time-varying crash risk embedded in index options : the role of stock market liquidity
Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae; … - In: Review of finance : journal of the European Finance … 25 (2021) 4, pp. 1261-1298
Persistent link: https://www.econbiz.de/10012594641
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Option-implied measures of equity risk
Chang, Bo Young; Christoffersen, Peter F.; Jacobs, Kris; … - In: Review of finance : journal of the European Finance … 16 (2012) 2, pp. 385-428
Persistent link: https://www.econbiz.de/10009533372
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Dynamic dependence and diversification in corporate credit
Christoffersen, Peter F.; Jacobs, Kris; Jin, Xisong; … - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 521-560
Persistent link: https://www.econbiz.de/10011990811
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Non-Markov Gaussian term structure models : the case of inflation
Feunou, Bruno; Fontaine, Jean-Sébastien - In: Review of finance : journal of the European Finance … 18 (2014) 5, pp. 1953-2001
Persistent link: https://www.econbiz.de/10010510310
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Modeling market downside volatility
Feunou, Bruno; Jahan-Parvar, Mohammad R.; Tédongap, Roméo - In: Review of finance : journal of the European Finance … 17 (2013) 1, pp. 443-481
Persistent link: https://www.econbiz.de/10009715214
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Risk premium, variance premium, and the maturity structure of uncertainty
Feunou, Bruno; Fontaine, Jean-Sébastien; Taamouti, … - In: Review of finance : journal of the European Finance … 18 (2014) 1, pp. 219-269
Persistent link: https://www.econbiz.de/10010405208