66 research outputs found
Is Tail Risk Priced in Credit Default Swap Premia?
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2013
- Field of study
Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash
- Author
- Alexander David
- Alexander David
- Alexander David
- Allan W Kleidon
- Andrea Buraschi
- Andrei Shleifer
- Bing Han
- Bj�rn Eraker
- Bj�rn Eraker
- Bj�rn Eraker
- Chabi-Yo
- Christopher S Jones
- Collin-Dufresne
- Costis Skiadas
- Darrell Duffie
- Darrell Duffie
- Darrell Duffie
- Darrell Duffie
- Darrell Duffie
- David M Kreps
- David P Brown
- David S Bates
- David S Bates
- David S Bates
- Eugene F Fama
- Fatih Guvenen
- Francis A Longstaff
- George Chacko
- George M Constantinides
- Giovanni Barone-Adesi
- Gurdip Bakshi
- Gurdip Bakshi
- Gurdip Bakshi
- Itamar Drechsler
- Jacob Boudoukh
- Jason Beeler
- Jens C Jackwerth
- Jens C Jackwerth
- Jing-Zhi Huang
- John Y Campbell
- John Y Campbell
- Joost Driessen
- Joshua D Coval
- Joshua V Rosenberg
- Julien Hugonnier
- Jun Liu
- Jun Liu
- Kenneth L Judd
- Larry G Epstein
- Lars Hansen
- Lars P Hansen
- Liu
- Luca Benzoni
- Luca Benzoni
- Mark Broadie
- Mark Fisher
- Mark Rubinstein
- Mark Schroder
- Mark Schroder
- Mikhail Chernov
- Neil G Shephard
- Nicolae B G�rleanu
- Nicolas P B Bollen
- Oleg Bondarenko
- Orazio P Attanasio
- Patrick Dennis
- Pedro Santa-Clara
- Pierre Collin-Dufresne
- Pietro Veronesi
- Pietro Veronesi
- Rajnish Mehra
- Ravi Bansal
- Ravi Bansal
- Ravi Bansal
- Ren� Garcia
- Ren� Garcia
- Robert E Hall
- Robert J Barro
- Robert S. Goldstein
- Stephen Figlewski
- Steven L Heston
- T Green
- Tim Bollerslev
- Yacine A�?ta�?t-Sahalia
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2010
- Field of study
Expected Returns and Volatility of Fama-French Factors
- Author
- Andrew Ang
- C Kirby
- E F Fama
- E F Fama
- Eugene Fama
- Fousseni Chabi-Yo
- Fousseni Chabi-Yo
- Gurdip Bakshi
- Hao Zhou
- J V Rosenberg
- Jacob Boudoukh
- John Y Campbell
- John Y Campbell
- Jonathan Lewellen
- K C Chan
- Larry G Epstein
- Larry G Epstein
- M M Carhart
- M W Brandt
- Martin Lettau
- Ole Barndorff-Nielsen
- Philippe Weil
- R J Hodrick
- Robert Shiller
- Tim Bollerslev
- Tim Bollerslev
- Torben G Andersen
- Torben G Andersen
- Whitney K Newey
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2009
- Field of study
Behavioral in the Short-run and Rational in the Long-run? Evidence from S&P 500 Options
- Author
- A Tversky
- C Bernard
- C Bernard
- D B Nelson
- D Breeden
- D Kahneman
- F Chabi-Yo
- F Chabi-Yo
- G Bakshi
- H Cuesdeanu
- H Cuesdeanu
- I Dew-Becker
- I Drechsler
- J Campbell
- J Jackwerth
- J Rosenberg
- J Van Binsbergen
- J Wachter
- Joost Driessen
- Joren Koëter
- L Baele
- L Epstein
- M Britten-Jones
- M Linn
- N Barberis
- N C Barberis
- Ole Wilms
- P Christoffersen
- R Bansal
- T Bollerslev
- T Sichert
- V Polkovnichenko
- W Pohl
- X Gabaix
- Y A�?ta�?t-Sahalia
- Z Song
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2019
- Field of study
Rom Simulation with Exact Means, Covariances, and Multivariate Skewness
- Author
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study
Multivariate Crash Risk
- Author
- ? Garch-Normal
- ? Gjr-Garch Models
- A D Roy
- Andrew Ang
- Andrew Ang
- Andrew Ang
- Chabi-Yo
- Clifford S Asness
- Elena Asparouhova
- Florian Weigert
- Fousseni Chabi-Yo
- Francisco Barillas
- Friedrich Schmid
- Jan Beirlant
- John W Pratt
- Lu Zhang
- Mark M Carhart
- Paul Schneider
- Pedro Barroso
- Poon
- Ralitsa Petkova
- Robert F Stambaugh
- Rolf W Banz
- Sanjoy Basu
- Stefan Ruenzi
- Tim Bollerslev
- Tim Bollerslev
- Turan G Bali
- Turan G Bali
- Tyler Shumway
- Van Oordt
- Vikas Agarwal
- Yakov Amihud
- Yigit Atilgan
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2019
- Field of study
The Information Content of Option Implied Moments and Co-Moments: Extended Abstract
- Author
- A Kraus
- B Y Chang
- C A Walter
- C Krishnan
- C Markopoulou
- C R Harvey
- C R Harvey
- C R Harvey
- De Jong
- E F Fama
- E F Fama
- E F Fama
- E F Fama
- E F Fama
- F A Longstaff
- F Chabi-Yo
- F Chabi-Yo
- F D Arditti
- F Longin
- G Bakshi
- H Fang
- H Zhou
- I Friend
- J Conrad
- J Driessen
- J Driessen
- J Ingersoll
- J Lintner
- J M Campa
- J Mossin
- J N Bodurtha
- J T Williams
- Julian M. Williams
- L Pastor
- M M Carhart
- Note
- P Carr
- P Mueller
- R F Dittmar
- R S Sears
- R S Sears
- S A Ross
- S Hwang
- T G Bali
- V D Skintzi
- Von Furstenberg
- Yang Zhang
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2017
- Field of study
Proportional Small Sample Bias in Pricing Kernel Estimations
- Author
- A M Malz
- A Ziegler
- B K Beare
- B Silverman
- D Breeden
- D P Brown
- D Shimko
- Dietmar Leisen
- F Chabi-Yo
- F Chabi-Yo
- G Bakshi
- G Barone-Adesi
- G Barone-Adesi
- J C Jackwerth
- J D Jobson
- J D Jobson
- J Fan
- J V Rosenberg
- J.-C Jackwerth
- K Detlefsen
- L Glosten
- M Benko
- M Grith
- M Linn
- O Linton
- P Christoffersen
- R F Engle
- R F Engle
- S A Ross
- S Heston
- T Bollerslev
- T Hens
- W H�rdle
- W H�rdle
- W H�rdle
- Y Ait-Sahalia
- Y Ait-Sahalia
- Y Golubev
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2014
- Field of study
The pricing kernel puzzle in forward looking data
- Author
- B Beare
- B Beare
- BK Beare
- C Boor de
- DP Brown
- DT Breeden
- DWK Andrews
- F Chabi-Yo
- F Chabi-Yo
- G Bakshi
- G Bakshi
- G Barone-Adesi
- G Barone-Adesi
- H Cramer
- Horatio Cuesdeanu
- J Berkowitz
- J Mitchell
- JC Jackwerth
- JC Jackwerth
- Jens Carsten Jackwerth
- JH Cochrane
- JV Rosenberg
- L Benzoni
- M Knüppel
- MB Shackleton
- P Christoffersen
- P Christoffersen
- PH Dybvig
- R Chaudhuri
- RR Bliss
- S Ross
- SL Heston
- T Gneiting
- V Polkovnichenko
- Y Ait-Sahalia
- Y Golubev
- Publication venue
- 'Springer Science and Business Media LLC'
- Publication date
- Field of study
A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem
- Author
- B Flesaker
- C Almeida
- C Almeida
- C Jensen
- D Huang
- E Fama
- F Alvarez
- F Audrino
- F Black
- F Chabi-Yo
- F Liu
- F Massacci
- Fousseni Chabi-Yo
- G Bakshi
- G Bakshi
- G Bakshi
- Gurdip Bakshi
- I Martin
- J Borovi?ka
- J Borwein
- J Cochrane
- J Cox
- J Huang
- J Jackwerth
- J Jackwerth
- K Amin
- L Hansen
- L Hansen
- L Hansen
- L Qin
- L Qin
- N Gospodinov
- P Carr
- P Carr
- P Carr
- P Christoffersen
- P Mueller
- R Chaudhuri
- R Hodrick
- R Kozhan
- S Boyd
- S Dubynskiy
- T Andersen
- T Bollerslev
- T Christensen
- W Newey
- W Newey
- Xiaohui Gao Bakshi
- Y A�?ta�?t-Sahalia
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2016
- Field of study
- …