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The stochastic discount factor : extending the volatility bound and a new approach to portfolio selection with higher-order moments

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002655756

Aggregation of preferences for skewed asset returns

Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - In: Journal of economic theory 154 (2014), pp. 453-489

Persistent link: https://www.econbiz.de/10010481322

A note on hedging in ARCH and stochastic volatility option pricing models

Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161

Persistent link: https://www.econbiz.de/10001242838

Asymmetic smiles, leverage effects and structural parameters

Garcia, René; Luger, Richard; Renault, Eric - 2000

Persistent link: https://www.econbiz.de/10001549285

Asymmetric smiles, leverage effects and structural parameters

Garcia, René; Luger, Richard; Renault, Eric - 2001

Persistent link: https://www.econbiz.de/10001614502

The econometrics of option pricing

Garcia, René; Ghysels, Eric; Renault, Eric - 2010

Persistent link: https://www.econbiz.de/10003900680

Estimation of objective and risk-neutral distributions based on moments of integrated volatility

Garcia, René; Lewis, Marc-André; Pastorello, Sergio; … - In: Journal of econometrics 160 (2011) 1, pp. 22-32

Persistent link: https://www.econbiz.de/10009242563

Pricing kernels with stochastic skewness and volatility risk

Chabi-yo, Fousseni - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 624-640

Persistent link: https://www.econbiz.de/10009525254

Moment-based estimation of stochastic volatility models

Renault, Eric - In: Handbook of financial time series, (pp. 269-311). 2009

Persistent link: https://www.econbiz.de/10003833955

Real-Time Distribution of Stochastic Discount Factors

Chabi-Yo, Fousseni - 2019

I use option prices to infer real-time moments of stochastic discount factors (SDFs). The moments are estimated, from daily SP 500 index option data, in real time, without relying on past observations. These moments are forward-looking and significantly predict the market excess return. The...

Persistent link: https://www.econbiz.de/10012900063