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When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

BURASCHI, ANDREA; TROJANI, FABIO; VEDOLIN, ANDREA - In: Journal of Finance 69 (2014) 1, pp. 101-137

type="main" <title type="main">ABSTRACT</title> <p>We provide novel evidence for an equilibrium link between investors' disagreement, the market price of volatility and correlation, and the differential pricing of index and individual equity options. We show that belief disagreement is positively related to (i) the wedge...</p>

Persistent link: https://www.econbiz.de/10011032201

Model‐Free International Stochastic Discount Factors

SANDULESCU, MIRELA; TROJANI, FABIO; VEDOLIN, ANDREA - In: The Journal of Finance 76 (2020) 2, pp. 935-976

Persistent link: https://www.econbiz.de/10012282943

Model-free international stochastic discount factors

Sandulescu, Paula Mirela; Trojani, Fabio; Vedolin, Andrea - 2018

Persistent link: https://www.econbiz.de/10011933876

The global factor structure of exchange rates

Korsaye, Sofonias Alemu; Trojani, Fabio; Vedolin, Andrea - 2020

Persistent link: https://www.econbiz.de/10012307402

The global factor structure of exchange rates

Korsaye, Sofonias Alemu; Trojani, Fabio; Vedolin, Andrea - In: Journal of financial economics 148 (2023) 1, pp. 21-46

Persistent link: https://www.econbiz.de/10014282382

Central bank communication and the yield curve

Leombroni, Matteo; Vedolin, Andrea; Venter, Gyuri; … - 2018

Persistent link: https://www.econbiz.de/10011933843

Interest rate risk management in uncertain times

Bretscher, Lorenzo; Schmid, Lukas; Vedolin, Andrea - In: The review of financial studies 31 (2018) 8, pp. 3019-3060

Persistent link: https://www.econbiz.de/10012002008

Exchange rates and monetary policy uncertainty

Mueller, Philippe; Tahbaz-Salehi, Alireza; Vedolin, Andrea - In: The journal of finance : the journal of the American … 72 (2017) 3, pp. 1213-1252

Persistent link: https://www.econbiz.de/10011738690

International illiquidity

Malkhozov, Aytek; Mueller, Philippe; Vedolin, Andrea; … - 2017

Persistent link: https://www.econbiz.de/10011634164

Mortgage risk and the yield curve

Malkhozov, Aytek; Mueller, Philippe; Vedolin, Andrea; … - In: The review of financial studies 29 (2016) 5, pp. 1220-1253

Persistent link: https://www.econbiz.de/10011530026

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