This paper examines financial market integration in North-America from January 1984 to December 2003, using two basic CAPM and APT test models. We introduce a methodology valid in finite samples for the CAPM model. A pivotal statistic is introduced to correct for the so-called dimensionality...

This paper investigates international index return predictability using option-implied information. We document the significant predictive power of the variance risk premium (VRP), Foster-Hart risk (FH), and higher-order moments for horizons ranging from 1 to 250 days. Our results from...

This paper investigates international cointegration and financial integration among equity market indexes using index option data, providing an ex-ante analysis through investor anticipations. Daily time series of risk-neutral variance, skewness, and kurtosis are constructed for five major...

This paper studies crude oil market integration and spillovers between Brent and WTI oil indexes over the 2006-2019 period. In addition to prices, we estimate time series of model-free option-implied moments to capture forward-looking market views and anticipations of different risk categories....

The effect of four distinct market events on investor risk aversion is evaluated using options data on the WTI crude oil futures contract during the 2007-2011 period. The risk aversion function and the stochastic discount factor (SDF) are estimated using parametric approaches before and after...

This paper evaluates the domestic and international impacts of lowering short-term interest rates and increasing budget spending on several indicators of liquidity, volatility, credit and economic activity. Data from the 2003-2011 period in the United States, the euro zone and Canada were used...

This paper estimates, using structural VARs, the spillover effects of unconventional fiscal and monetary policies implemented in the United States and in the Eurozone during the last decade. Consumer confidence and investor sentiment indicators are introduced in the models in order to highlight...

This chapter investigates the contemporaneous pricing kernel obtained by applying the recovery theorem to options on the S&P500 index. Similarly to the literature on the pricing kernel puzzle, I find evidence that the recovered pricing kernels are U-shape, but only some of the time. The...

We revisit financial market integration and study the impact of multiple risk factors and model specification on inference. Our tests exploit a method correct in finite sample that jointly assesses coefficient significance and detects identification problems. Results on four countries show that...