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Using four-moment tail risk to examine financial and commodity instrument diversification

You, Leyuan; Daigler, Robert T. - In: The financial review : the official publication of the … 45 (2010) 4, pp. 1101-1123

Persistent link: https://www.econbiz.de/10008698942

Global stocks and contemporaneous market risk

You, Leyuan; Chang, Chun-hao; Parhizgari, Ali M.; … - In: International journal of business 12 (2007) 3, pp. 385-397

Persistent link: https://www.econbiz.de/10003522326

Crashes, volatility, and the equity premium : lessons from S&P 500 options

Santa-Clara, Pedro; Yan, Shu - In: The review of economics and statistics 92 (2010) 2, pp. 435-451

Persistent link: https://www.econbiz.de/10008737706

Portfolio selection with mental accounts and estimation risk

Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - In: Journal of empirical finance 41 (2017), pp. 161-186

Persistent link: https://www.econbiz.de/10011746971

Jump and Volatility Risk and Risk Premia : A New Model and Lessons from S&P 500 Options

Santa-Clara, Pedro - 2005

We use a novel pricing model to filter times series of diffusive volatility and jump intensity from Samp;P 500 index options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary substantially over time, are quite persistent, and correlate...

Persistent link: https://www.econbiz.de/10012785090

Higher moments, extreme returns, and cross-section of cryptocurrency returns

Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012804999

How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?

Khalfaoui, Rabeh; Mefteh-Wali, Salma; Viviani, Jean-Laurent - In: Technological forecasting & social change : an … 185 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10014234848

Do financial volatilities mitigate the risk of cryptocurrency indexes?

Naeem, Muhammad Abubakr; Lucey, Brian M.; Karim, Sitara; … - In: Finance research letters 50 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014239936

Trade policy uncertainty and its impact on the stock market : evidence from China-US trade conflict

He, Feng; Lucey, Brian M.; Wang, Ziwei - In: Finance research letters 40 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012819945

Risk tolerance and demographic characteristics : preliminary Irish evidence

Larkin, Charles; Lucey, Brian M. - 2012

Persistent link: https://www.econbiz.de/10009666002