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COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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Cross-sectional variation of option-implied volatility skew
Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580
Persistent link: https://www.econbiz.de/10014551903
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Option augmented density forecasts of market returns with monotone pricing kernel
Beare, Brendan K.; Dossani, Asad - In: Quantitative finance 18 (2018) 4, pp. 623-635
Persistent link: https://www.econbiz.de/10011906445
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Comments on "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices"
Carnero, M. Angeles - In: International journal of forecasting 28 (2012) 1, pp. 36-38
Persistent link: https://www.econbiz.de/10009580803
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Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels
Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - In: Review of asset pricing studies 8 (2018) 2, pp. 183-231
Persistent link: https://www.econbiz.de/10012002169
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Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015
Persistent link: https://www.econbiz.de/10011398641
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Too good to be true? : an analysis of the options market's reactions to earnings releases
Lu, Yan; Ray, Sugata - In: Journal of business finance & accounting : JBFA 43 (2016) 7/8, pp. 830-848
Persistent link: https://www.econbiz.de/10011627641
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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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Lead-lag relationship between returns and implied moments : evidence from KOSPI 200 intraday options data
Kim, Sol; Lee, Geul - In: Review of Pacific Basin financial markets and policies 20 (2017) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10011752436
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468