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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) 5, pp. 370-377

This article investigates the time series relationship between equity and crude oil markets using option-implied risk-neutral moments. We recover daily time series of constant-maturity risk-neutral volatility (RNV), skewness and kurtosis using options data for the S&P 500 and WTI oil futures...

Persistent link: https://www.econbiz.de/10011104885

The performance of jump models to price commodity options

Aka, Constant; Gagnon, Marie-Hélène; Power, Gabriel J. - In: The journal of derivatives : JOD 31 (2023) 2, pp. 101-127

Persistent link: https://www.econbiz.de/10015198764

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