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Tails, fears and risk premia
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Kapitaleinkommen
Theorie
722,553
Theory
707,644
USA
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274,076
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127,443
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19,713
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19,572
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Gupta, Rangan
135
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113
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105
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92
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88
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83
Bekaert, Geert
71
Timmermann, Allan
69
Bollerslev, Tim
68
McMillan, David G.
68
Stambaugh, Robert F.
68
Harvey, Campbell R.
67
Guidolin, Massimo
59
Zhou, Guofu
59
Cakici, Nusret
56
Pierdzioch, Christian
52
Ang, Andrew
50
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50
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48
Narayan, Paresh Kumar
48
Titman, Sheridan
48
Gil-Alaña, Luis A.
47
McAleer, Michael
44
Faff, Robert W.
43
Plastun, Alex
42
Zhang, Lu
42
Subrahmanyam, Avanidhar
41
Ferson, Wayne E.
40
Ludvigson, Sydney C.
40
Pesaran, M. Hashem
40
Bouri, Elie
38
Goetzmann, William N.
38
Andersen, Torben
37
Lettau, Martin
37
Poterba, James M.
37
Guo, Hui
36
Lakonishok, Josef
36
Lux, Thomas
36
Moskowitz, Tobias J.
36
Wang, Yudong
36
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Erasmus Research Institute of Management
7
OECD
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Chambre de commerce et d'industrie de Paris
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Svenska Handelshögskolan <Helsinki>
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University of Canterbury / Dept. of Economics and Finance
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Federal Reserve System / Division of Research and Statistics
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Gottfried Wilhelm Leibniz Universität Hannover
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Institute of Finance and Accounting <London>
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University of Exeter / Department of Economics
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Center for Economic Research <Tilburg>
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Centre for Analytical Finance <Århus>
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Centre for Economic Policy Research
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Conference on Risk and the Rate of Return <1973, Vail, Colo.>
3
Ekonomiska forskningsinstitutet <Stockholm>
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Federal Reserve Bank of San Francisco
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3
Harvard Institute of Economic Research
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Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg>
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Centre for New and Emerging Markets <London>
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Econometrisch Instituut <Rotterdam>
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European University Institute / Department of Economics
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Federal Reserve Bank of Cleveland
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Frank J. Fabozzi Associates <New Hope, Pa.>
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INSEAD-Wharton Alliance Center for Global Research & Development
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Innocenzo Gasparini Institute for Economic Research <Mailand>
2
Instituto Valenciano de Investigaciones Económicas
2
International Center for Financial Asset Management and Engineering
2
Internationaler Währungsfonds / Western Hemisphere Department
2
Judge Institute of Management Studies
2
Karlsruher Institut für Technologie
2
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Working paper / National Bureau of Economic Research, Inc.
461
Finance research letters
440
Journal of banking & finance
399
Journal of financial economics
395
NBER working paper series
393
International review of financial analysis
342
The journal of finance : the journal of the American Finance Association
325
Journal of empirical finance
305
NBER Working Paper
297
International review of economics & finance : IREF
255
The review of financial studies
242
Applied financial economics
227
Applied economics
221
Pacific-Basin finance journal
214
Applied economics letters
205
Journal of financial and quantitative analysis : JFQA
201
Review of quantitative finance and accounting
185
The European journal of finance
172
The North American journal of economics and finance : a journal of financial economics studies
172
Research in international business and finance
157
Management science : journal of the Institute for Operations Research and the Management Sciences
152
Economics letters
151
Journal of international financial markets, institutions & money
146
Economic modelling
136
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
134
The journal of real estate finance and economics
122
Research paper series / Swiss Finance Institute
114
Journal of risk and financial management : JRFM
112
Journal of financial markets
111
Discussion paper / Centre for Economic Policy Research
109
Journal of econometrics
108
Journal of international money and finance
108
International journal of economics and finance
103
Energy economics
100
Working paper
96
Investment management and financial innovations
93
The financial review : the official publication of the Eastern Finance Association
91
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
90
International journal of economics and financial issues : IJEFI
90
Finance and economics discussion series
85
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ECONIS (ZBW)
26,924
EconStor
76
OLC EcoSci
5
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1
A time-varying jump tail risk measure using high-frequency options data
Ubukata, Masato
- In:
Empirical economics : a quarterly journal of the …
63
(
2022
)
5
,
pp. 2633-2653
Persistent link: https://www.econbiz.de/10013440507
Saved in:
2
Nonparametric tail risk, stock returns and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, …
-
2016
Persistent link: https://www.econbiz.de/10011458735
Saved in:
3
Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette
- In:
Economic modelling
64
(
2017
),
pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
Saved in:
4
The skewness risk premium in equilibrium and stock return predictability
Sasaki, Hiroshi
- In:
Annals of finance
12
(
2016
)
1
,
pp. 95-133
Persistent link: https://www.econbiz.de/10011555439
Saved in:
5
Expected option returns
Coval, Joshua
;
Shumway, Tyler
- In:
The journal of finance : the journal of the American …
56
(
2001
)
3
,
pp. 983-1009
Persistent link: https://www.econbiz.de/10001593017
Saved in:
6
International crash risk premium
Chen, Steven Shu-Hsiu
- In:
Journal of international financial markets, …
94
(
2024
),
pp. 1-26
Persistent link: https://www.econbiz.de/10015063171
Saved in:
7
Uncovering the distribution of option implied risk aversion
Kyriacou, Maria
;
Olmo, Jose
;
Strittmatter, Marius
- In:
Journal of mathematical finance
9
(
2019
)
2
,
pp. 81-104
Persistent link: https://www.econbiz.de/10012116675
Saved in:
8
Option implied tail index and volatility based on heavy-tailed distributions : evidence from KOSPI 200 index options market
Kim, Joocheol
;
Kim, Hyun-Oh
- In:
Global economic review
43
(
2014
)
3
,
pp. 269-284
Persistent link: https://www.econbiz.de/10010509739
Saved in:
9
The volatility premium
Eraker, Bjørn
- In:
The quarterly journal of finance
11
(
2021
)
3
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012819501
Saved in:
10
Modeling conditional factor risk premia implied by index option returns
Fournier, Mathieu
;
Jacobs, Kris
;
Orłowski, Piotr
- In:
The journal of finance : the journal of the American …
79
(
2024
)
3
,
pp. 2289-2338
Persistent link: https://www.econbiz.de/10014535668
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