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Irreversible investment, asset returns, and time-inconsistent preferences

Niu, Yingjie; Wu, Yaoyao; Zou, Zhentao - In: The European journal of finance 27 (2021) 7, pp. 706-720

Persistent link: https://www.econbiz.de/10012516120

Endogenous discounting, investment and asset pricing

Niu, Yingjie; Zhao, Siqi; Zou, Zhentao - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 644-650

Persistent link: https://www.econbiz.de/10014253253

Disaster learning and aggregate investment

Niu, Yingjie; Yang, Jinqiang; Zou, Zhentao - In: Journal of economic theory : JET 220 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10015071059

"Up" and "Down" Levy Jumps and Market Risk Premia Implications from S&P500 Options

Carverhill, Andrew P. - 2020

We model the S&P500 index options dynamics using the CGMY distribution, with independent "up" and "down" return jumps, and diffusive jump intensities. Allowing the up and down parts to be separately parameterised accounts for the dynamic smirk effect, without correlation between returns and...

Persistent link: https://www.econbiz.de/10012837432

Fundamental volatility and informative trading volume in a rational expectations equilibrium

Luo, Dan; Mao, Yipeng - In: Economic modelling 105 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013367169

A Bayesian analysis of time-varying jump risk in S&P 500 returns and options

Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014466112