Similar Search Results

How common are common return factors across the NYSE and Nasdaq?

Goyal, Amit; Pérignon, Christophe; Villa, Christophe - In: Journal of financial economics 90 (2008) 3, pp. 252-271

Persistent link: https://www.econbiz.de/10003833349

Permanent and transitory factors affecting the dynamics of the term structure of interest rates

Pérignon, Christophe; Villa, Christophe - 2002

Persistent link: https://www.econbiz.de/10001707023

Extracting information from options markets : smiles, state-price densities and risk aversion

Pérignon, Christophe; Villa, Christophe - In: European financial management : the journal of the … 8 (2002) 4, pp. 495-513

Persistent link: https://www.econbiz.de/10001861065

Sources of time variation in the covariance matrix of interest rates

Pérignon, Christophe; Villa, Christophe - In: The journal of business : B 79 (2006) 3, pp. 1535-1550

Persistent link: https://www.econbiz.de/10003337025

Why common factors in international bond returns are not so common

Pérignon, Christophe; Smith, Daniel R.; Villa, Christophe - In: Journal of international money and finance 26 (2007) 2, pp. 284-304

Persistent link: https://www.econbiz.de/10003429372

Extracting Information from Options Markets; Smiles, State-Price Densities and Risk-Aversion

Pérignon, Christophe - 2013

In this paper, recent techniques of estimating implied information from derivatives markets are presented and applied empirically to the French derivatives market. We determine nonparametric implied volatility functions, state-price densities and historical densities from a high-frequency stock...

Persistent link: https://www.econbiz.de/10012712220