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Volatility and public news announcements
Bollerslev, Tim; Li, Jia; Xue, Yuan - 2016
Persistent link: https://www.econbiz.de/10011524097
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Short-term market risks implied by weekly options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018
Persistent link: https://www.econbiz.de/10011797670
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Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015
Persistent link: https://www.econbiz.de/10011398641
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Dynamics of variance risk premia, investors' sentiment and return predictability
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2017
Persistent link: https://www.econbiz.de/10011624137
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Tail risk premia and return predictability
Bollerslev, Tim; Todorov, Viktor; Xu, Lai - 2014
Persistent link: https://www.econbiz.de/10010442441
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Roughing up beta : continuous vs. discontinuous betas, and the cross-section of expected stock returns
Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor - 2014
Persistent link: https://www.econbiz.de/10010442477
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Long- and short-run components of factor betas : implications for equity pricing
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - 2017
Persistent link: https://www.econbiz.de/10011750336
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Economic policy uncertainty and long-run stock market volatility and correlation
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - 2018
Persistent link: https://www.econbiz.de/10011864884
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Nonlinear dynamic interrelationships between real activity and stock returns
Lanne, Markku; Nyberg, Henri - 2015
Persistent link: https://www.econbiz.de/10011327712
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Idiosyncratic volatility puzzle : influence of macro-finance factors
Aslanidis, Nektarios; Christiansen, Charlotte; … - 2014
Persistent link: https://www.econbiz.de/10010433247