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Stochastic volatility
Ghysels, Eric - 1995
Persistent link: https://www.econbiz.de/10000929391
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A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
Chernov, Mikhail; Ghysels, Eric - In: Journal of financial economics 56 (2000) 3, pp. 407-458
Persistent link: https://www.econbiz.de/10001483311
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The econometrics of option pricing
Garcia, René; Ghysels, Eric; Renault, Eric - 2010
Persistent link: https://www.econbiz.de/10003900680
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Moment-implied densities : properties and applications
Ghysels, Eric; Wang, Fangfang - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
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Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
Cao, Charles; Ghysels, Eric; Hatheway, Frank - Centre Interuniversitaire de Recherche en Analyse des … - 1998
One fundamental issue in the study of market microstructures is that of price discovery. While most existing studies focus on the trading period, little is known whether and how much the non-trading period contributes to the price discovery. This paper offers a new perspective on the price...
Persistent link: https://www.econbiz.de/10005100613
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Market Beta Dynamics and Portfolio Efficiency
Ghysels, Eric - 2012
This paper introduces a new estimation for the dynamics of betas. It combines two previously separate approaches in the … show that estimation error results in systematic overshooting of the target beta. These portfolios benefit from the use of … medium to long term estimation windows of daily returns …
Persistent link: https://www.econbiz.de/10012713420
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Predicting the VIX and the volatility risk premium : what's credit and commodity volatility risk got to do with it? Elena Andreou and Eric Ghysels
Andreou, Elena; Ghysels, Eric - 2014
Persistent link: https://www.econbiz.de/10010440191
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Predicting the VIX and the volatility risk premium : the role of short-run funding spreads volatility factors
Andreou, Elena; Ghysels, Eric - 2020
Persistent link: https://www.econbiz.de/10014336139
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Predicting the VIX and the Volatility Risk Premium : What's Credit and Commodity Volatility Risk Got to Do with It?
Andreou, Elena - 2014
Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we …-type models and (2) we price equity volatility risk using factors which go beyond the equity class. These are volatility factors …
Persistent link: https://www.econbiz.de/10013045628
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Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 220 (2021) 2, pp. 366-398
Persistent link: https://www.econbiz.de/10012618520