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Tails, fears and risk premia
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1
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
-
2011
Persistent link: https://www.econbiz.de/10009559410
Saved in:
2
Tails, fears, and risk premia
Bollerslev, Tim
;
Todorov, Viktor
- In:
The journal of finance : the journal of the American …
66
(
2011
)
6
,
pp. 2165-2211
Persistent link: https://www.econbiz.de/10009514108
Saved in:
3
Tails, Fears and Risk Premia
Bollerslev, Tim
-
2009
probability measure from "medium" size jumps in high-frequency intraday prices and an extreme value
theory
approximation for the …
Persistent link: https://www.econbiz.de/10013158966
Saved in:
4
Tails, Fears and Risk Premia
Bollerslev, Tim
-
2011
investigations are essentially model-free, involving new extreme value
theory
approximations and high-frequency intraday data for …
Persistent link: https://www.econbiz.de/10013133667
Saved in:
5
Skewness risk premium :
theory
and empirical evidence
Lehnert, Thorsten
;
Lin, Yuehao
;
Wolff, Christiaan …
-
2013
Persistent link: https://www.econbiz.de/10009723118
Saved in:
6
Pricing and hedging S&P 500 index options with Hermite polynomial approximation : empirical tests of Madan and Milne's model
Ané, Thierry
- In:
The journal of futures markets
19
(
1999
)
7
,
pp. 735-758
Persistent link: https://www.econbiz.de/10001443345
Saved in:
7
The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun
- In:
Journal of financial economics
63
(
2002
)
1
,
pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
Saved in:
8
On the nature of (jump) skewness risk premia
Orłowski, Piotr
;
Schneider, Paul
;
Trojani, Fabio
- In:
Management science : journal of the Institute for …
70
(
2024
)
2
,
pp. 1154-1174
Persistent link: https://www.econbiz.de/10014513916
Saved in:
9
Extraction of market expectations from risk-neutral density
Arnerić, Josip
;
Aljinović, Zdravka
;
Poklepović, Tea
- In:
Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis …
33
(
2015
)
2
,
pp. 235-256
Persistent link: https://www.econbiz.de/10011429565
Saved in:
10
Tail risk aversion and backwardation of index futures
Liang, Jufang
;
Yang, Dan
;
Han, Qian
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 387-407
Persistent link: https://www.econbiz.de/10014552026
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