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What's vol got to do with it
Drechsler, Itamar (contributor); Yaron, Amir (contributor) - 2008 - Current draft: May 2008
Persistent link: https://www.econbiz.de/10003727636
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What's vol got to do with it
Drechsler, Itamar; Yaron, Amir - 2010 - Current draft: December 2009
Persistent link: https://www.econbiz.de/10003971762
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What's Vol got to do with it
Drechsler, Itamar; Yaron, Amir - In: The review of financial studies 24 (2011) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10008909458
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Financial innovation and information: the role of derivatives when a market for information exists
Massa, Massimo - In: The review of financial studies 15 (2002) 3, pp. 927-957
Persistent link: https://www.econbiz.de/10001688879
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Market risk and the concepts of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial mar...
Hwang, Soosung; Satchell, Stephen - In: Journal of banking & finance 24 (2000) 5, pp. 759-785
Persistent link: https://www.econbiz.de/10001467848
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Asset pricing with disagreement and uncertainty about the length of business cycles
Andrei, Daniel; Carlin, Bruce Ian; Hasler, Michael - In: Management science : journal of the Institute for … 65 (2019) 6, pp. 2900-2923
Persistent link: https://www.econbiz.de/10012039878
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House prices, expectations, and time-varying fundamentals
Gelain, Paolo; Lansing, Kevin J. - In: Journal of empirical finance 29 (2014), pp. 3-25
Persistent link: https://www.econbiz.de/10011300508
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Conditional equity risk premia and realized variance jump risk
Wang, Zhanglong; Wang, Kent; Pan, Zheyao - In: Australian journal of management 40 (2015) 2, pp. 295-317
Persistent link: https://www.econbiz.de/10011342801
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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Jin, Jianjian - 2013
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...
Persistent link: https://www.econbiz.de/10009734341
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Country-specific idiosyncratic risk and global equity index returns
Hueng, C. James; Yau, Ruey - In: International review of economics & finance : IREF 25 (2013), pp. 326-337
Persistent link: https://www.econbiz.de/10009693293