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Dynamics between crude oil and equity markets under the risk-neutral measure

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Applied economics letters 22 (2015) 4/6, pp. 370-377

Persistent link: https://www.econbiz.de/10010506728

Forecasting international index returns using option-implied variables

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - 2018

Persistent link: https://www.econbiz.de/10011897857

International stock market cointegration under the risk-neutral measure

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: International review of financial analysis 47 (2016), pp. 243-255

Persistent link: https://www.econbiz.de/10011624161

They're back! Post-financialization diversification benefits of commodities

Gagnon, Marie-Hélène; Manseau, Guillaume; Power, … - In: International review of financial analysis 71 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012436269

International oil market risk anticipations and the cushing bottleneck : option-implied evidence

Gagnon, Marie-Hélène; Power, Gabriel J. - In: The energy journal 41 (2020) 6, pp. 255-280

Persistent link: https://www.econbiz.de/10012547136

The sum of all fears : forecasting international returns using option-implied risk measures

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Journal of banking & finance 146 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014248207

Forecasting market index volatility using Ross-recovered distributions

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Quantitative finance 22 (2022) 2, pp. 255-271

Persistent link: https://www.econbiz.de/10013167736

Quantitative finance for agricultural commodities : discussion and extension

Power, Gabriel J. - In: Agricultural finance review 76 (2016) 1, pp. 27-41

Persistent link: https://www.econbiz.de/10011695493

Forecasting International Index Returns Using Option-Implied Variables

Gagnon, Marie-Hélène; Power, Gabriel; Toupin, Dominique - 2018

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...

Persistent link: https://www.econbiz.de/10014112697

International Stock Market Cointegration Under the Risk-Neutral Measure

Gagnon, Marie-Hélène - 2016

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...

Persistent link: https://www.econbiz.de/10012986081