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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...
Persistent link: https://www.econbiz.de/10011412294
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Equilibrium impact of value-at-risk regulation
Leippold, Markus; Trojani, Fabio; Vanini, Paolo - In: Journal of economic dynamics & control 30 (2006) 8, pp. 1277-1313
Persistent link: https://www.econbiz.de/10003349914
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Infinitesimal robustness for diffusions
Vecchia, Davide la; Trojani, Fabio - 2008
Persistent link: https://www.econbiz.de/10003723955
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Robust GMM tests for structural breaks
Gagliardini, Patrick; Trojani, Fabio; Urga, Giovanni - In: Journal of econometrics 129 (2005) 1/2, pp. 139-182
Persistent link: https://www.econbiz.de/10003172760
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Robust efficient method of moments
Ortelli, Claudio; Trojani, Fabio - In: Journal of econometrics 128 (2005) 1, pp. 69-97
Persistent link: https://www.econbiz.de/10003002292
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Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models
Mancini, Loriano; Ronchetti, Elvezio; Trojani, Fabio - 2005
Persistent link: https://www.econbiz.de/10002841646
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Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models
Mancini, Loriano; Ronchetti, Elvezio; Trojani, Fabio - In: Journal of the American Statistical Association : JASA 100 (2005) 470, pp. 628-641
Persistent link: https://www.econbiz.de/10002929809
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General analytical solutions for Mertons's-type consumption-investment problems
Trojani, Fabio; Ferretti, Roberto G. - 2005
Persistent link: https://www.econbiz.de/10002771716
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Learning and asset prices under ambiguous information
Trojani, Fabio; Leippold, Markus; Vanini, Paolo - 2005
Persistent link: https://www.econbiz.de/10002771748
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A general multivariate threshold GARCH model with dynamic conditional correlations
Trojani, Fabio; Audrino, Francesco - 2005
Persistent link: https://www.econbiz.de/10002771808