We apply univariate GARCH models to construct a computationally simple filter for estimating the conditional correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result that links the correlation between two standardized...

We propose a novel model-free approach for extracting the risk-neutral quantile function of an asset using options written on this asset. We develop two applications. First, we show how for a given stochastic asset model our approach makes it possible to simulate the underlying terminal asset...

This paper investigates how individual investor trading can cause stock prices to move for reasons unrelated to fundamentals. We use a sample of dual-listed stocks to identify the sources of their price movements. The results show that excess price comovement driven by the market-specific shock...