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A diagnostic tool for yield curve models

Ahn, Dong-Hyun - In: Journal of economic research 14 (2009) 1, pp. 69-92

Persistent link: https://www.econbiz.de/10003869758

Ahn, Dong-Hyun; Conrad, Jennifer S.; Dittmar, Robert F. - In: The review of financial studies 22 (2009) 12, pp. 5133-5174

Persistent link: https://www.econbiz.de/10003916318

Risk adjustment and trading strategies

Ahn, Dong-Hyun; Conrad, Jennifer S.; Dittmar, Robert F. - In: The review of financial studies 16 (2003) 2, pp. 459-485

Persistent link: https://www.econbiz.de/10001764236

Assessing the incremental value of option pricing theory relative to an "informationally passive" benchmark

Figlewski, Stephen - 2002

Persistent link: https://www.econbiz.de/10001701082

Assessing the incremental value of option pricing theory relative to an informationally passive benchmark

Figlewski, Stephen - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 80-96

Persistent link: https://www.econbiz.de/10001718716

A futures pricing model with long-term and short-term traders

Gao, Bin; Xie, Jun; Jia, Yun - In: International review of economics & finance : IREF 64 (2019), pp. 9-28

Persistent link: https://www.econbiz.de/10012322219

Absolute Delta Beta and Cross-Sectional Stock Returns

Xie, Jun; Zhang, Baohua; Gao, Bin; Tan, Chunzhi - 2022

This paper explores the predictive power of the absolute delta beta (ADB) on future cross-sectional stock returns. By univariate portfolio analysis, bivariate portfolio analysis, and decomposition of predictive power, we find that the ADB can produce an excess return in the next month. The...

Persistent link: https://www.econbiz.de/10013406522

The pricing of convexity risk and time decay in options markets

Figlewski, Stephen - In: Journal of banking & finance 18 (1994) 1, pp. 73-91

Persistent link: https://www.econbiz.de/10001156045

Financial options : from theory to practice

Figlewski, Stephen (ed.) - 1990

Persistent link: https://www.econbiz.de/10013548295