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Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach
Chen, Bin; Song, Zhaogang - In: Journal of econometrics 173 (2013) 1, pp. 83-107
Persistent link: https://www.econbiz.de/10010069896
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A martingale approach for testing diffusion models based on infinitesimal operator
Song, Zhaogang - In: Journal of econometrics 162 (2011) 2, pp. 189-213
Persistent link: https://www.econbiz.de/10008997627
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Variance bounds on the permanent and transitory components of stochastic discount factors
Bakshi, Gurdip; Chabi-Yo, Fousseni - In: Journal of financial economics 105 (2012) 1, pp. 191-209
Persistent link: https://www.econbiz.de/10009979029
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State Dependence Can Explain the Risk Aversion Puzzle
Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - In: The review of financial studies 21 (2013) 2, pp. 973-972
Persistent link: https://www.econbiz.de/10010113669
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Conditioning Information and Variance Bounds on Pricing Kernels with Higher- Order Moments: Theory and Evidence
Chabi-Yo, Fousseni - In: The review of financial studies 21 (2013) 1, pp. 181-180
Persistent link: https://www.econbiz.de/10010113678
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Conditioning Information and Variance Bounds on Pricing Kernels with Higher- Order Moments: Theory and Evidence
Chabi-Yo, Fousseni - In: The review of financial studies 21 (2008) 1, pp. 181-232
Persistent link: https://www.econbiz.de/10007917713
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State Dependence Can Explain the Risk Aversion Puzzle
Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - In: The review of financial studies 21 (2008) 2, pp. 973-1012
Persistent link: https://www.econbiz.de/10007984217
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Pricing Kernels with Stochastic Skewness and Volatility Risk
Chabi-Yo, Fousseni - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 624-641
Persistent link: https://www.econbiz.de/10009842796
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Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors
Chabi-Yo, Fousseni - In: Journal of banking & finance 35 (2011) 8, pp. 1971-1984
Persistent link: https://www.econbiz.de/10009030540
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A Generalized Measure of Riskiness
Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - In: Management science : journal of the Institute for … 57 (2011) 8, pp. 1406-1424
Persistent link: https://www.econbiz.de/10009252594