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Dynamics between crude oil and equity markets under the risk-neutral measure

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Applied economics letters 22 (2015) 4/6, pp. 370-377

Persistent link: https://www.econbiz.de/10010506728

Forecasting market index volatility using Ross-recovered distributions

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Quantitative finance 22 (2022) 2, pp. 255-271

Persistent link: https://www.econbiz.de/10013167736

International oil market risk anticipations and the cushing bottleneck : option-implied evidence

Gagnon, Marie-Hélène; Power, Gabriel J. - In: The energy journal 41 (2020) 6, pp. 255-280

Persistent link: https://www.econbiz.de/10012547136

Quantitative finance for agricultural commodities : discussion and extension

Power, Gabriel J. - In: Agricultural finance review 76 (2016) 1, pp. 27-41

Persistent link: https://www.econbiz.de/10011695493

Forecasting international index returns using option-implied variables

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - 2018

Persistent link: https://www.econbiz.de/10011897857

The sum of all fears : forecasting international returns using option-implied risk measures

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Journal of banking & finance 146 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014248207

Quantitative finance for agricultural commodities: discussion and extension

Power, Gabriel J. - In: Agricultural Finance Review 76 (2016) 1, pp. 27-41

Purpose – The purpose of this paper is to review three papers in this issue and contribute new results on commodity futures prices and volume using wavelet analysis. Design/methodology/approach – The paper uses time series econometrics including variance ratio tests, fractional integration...

Persistent link: https://www.econbiz.de/10014667344

Testing for changes in option-implied risk aversion

Gagnon, Marie-Hélène; Power, Gabriel J. - In: Review of Behavioral Finance 8 (2016) 1, pp. 58-79

discount factor (SDF) using options data on the West Texas Intermediate crude oil futures contract during the 2007-2011 period … levels. Oil market investors also increased their valuation of anticipated future wealth in average states of nature relative … future wealth, but less risk-averse for higher future wealth. Oil market investors increased their valuation of anticipated …

Persistent link: https://www.econbiz.de/10014990056