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A Macroeconomic Model with a Financial Sector. (2012). Brunnermeier, Markus ; Sannikov, Yuliy .
In: 2012 Meeting Papers.
RePEc:red:sed012:507.

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  2. The Effects of Macroprudential and Monetary Policy Shocks in BRICS economies. (2021). Ntwaepelo, Kaelo Mpho.
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  3. Asset Quality Dynamics. (2019). Quintin, Erwan ; Corbae, Dean .
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  4. Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel. (2019). Douady, Raphael ; Ye, Xingxing.
    In: Post-Print.
    RePEc:hal:journl:hal-02488592.

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  5. Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel. (2019). Ye, Xingxing ; Douady, Raphael.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:hal-02488592.

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  6. The quality of governance and momentum profits: International evidence. (2019). Chen, Jiaqi ; Sherif, Mohamed.
    In: The British Accounting Review.
    RePEc:eee:bracre:v:51:y:2019:i:5:s0890838919300484.

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  8. Systemic Risk Indicators Based on Nonlinear PolyModel. (2018). Douady, Raphael ; Ye, Xingxing.
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  22. Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model. (2015). Begenau, Juliane.
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  23. Intermediary Balance Sheets. (2015). Boyarchenko, Nina ; Adrian, Tobias.
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  24. Endogenous Uncertainty and Credit Crunches. (2015). Ulbricht, Robert ; Straub, Ludwig.
    In: 2015 Meeting Papers.
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  25. Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?. (2015). Ng, Serena ; Ma, Sai ; Ludvigson, Sydney.
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    RePEc:nbr:nberwo:21803.

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  26. Phasing Out the GSEs. (2015). Van Nieuwerburgh, Stijn ; Elenev, Vadim ; Landvoigt, Tim.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21626.

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  27. Intertemporal equilibrium with financial asset and physical capital. (2015). Pham, Ngoc-Sang ; LE VAN, CUONG.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
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  28. Intermediary leverage cycles and financial stability. (2015). Boyarchenko, Nina ; Adrian, Tobias.
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    RePEc:fip:fednsr:567.

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  30. Bank bias in Europe: effects on systemic risk and growth. (2015). Pagano, Marco ; Langfield, Sam.
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    RePEc:ecb:ecbwps:20151797.

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  31. Search for Yield. (2015). Repullo, Rafael ; Martinez-Miera, David.
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    RePEc:red:sed014:562.

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    In: NBER Working Papers.
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    In: IMES Discussion Paper Series.
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    In: Post-Print.
    RePEc:hal:journl:halshs-01147470.

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    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01147470.

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    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:43:y:2014:i:c:p:241-268.

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    In: Mathematical Economics Letters.
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  54. Exploring the Nexus Between Macro-Prudential Policies and Monetary Policy Measures: Evidence from an Estimated DSGE Model for the Euro Area. (2014). Kok, Christoffer ; DARRACQ PARIES, Matthieu ; Carboni, Giacomo.
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  60. Tax Avoidance, Welfare Transfers, and Asset Prices. (2013). Gorea, Denis.
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  64. Duration dependence and change-points in the likelihood of credit booms ending. (2013). Kubota, Megumi ; Castro, Vitor.
    In: GEMF Working Papers.
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  65. Duration dependence and change-points in the likelihood of credit booms ending. (2013). Kubota, Megumi ; Castro, Vitor.
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2013-17.

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  66. Intermediary balance sheets. (2013). Boyarchenko, Nina ; Adrian, Tobias.
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  67. Shadow bank monitoring. (2013). Cetorelli, Nicola ; Ashcraft, Adam ; Adrian, Tobias.
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  68. Financial stability monitoring. (2013). Adrian, Tobias ; Covitz, Daniel ; Liang, Nellie.
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  69. Booms and systemic banking crises. (2013). Smets, Frank ; Collard, Fabrice ; Boissay, Frédéric.
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  70. Desarrollo financiero, crecimiento y volatidad: Revisión de la literatura reciente. (2013). Roa García, María ; Cermeño, Rodolfo ; Cermeo, Last .
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  71. Endogenous risk in a DSGE model with capital-constrained financial intermediaries. (2012). Wouters, Raf ; Dewachter, Hans.
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  72. Endogenous financial risk : The seventh international conference of the NBB. (2012). Wouters, Raf ; de Walque, G. ; Emiris, M. ; Mitchell, J. ; Dewachter, H..
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  73. Countercyclical Capital Regulation and Bank Ownership Structure. (2012). Trani, Tommaso.
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  75. Commentary: redistributive monetary policy. (2012). Sufi, Amir.
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Cocites

Documents in RePEc which have cited the same bibliography

  1. Volatility-related exchange traded assets: an econometric investigation. (2015). Sentana, Enrique ; Mencia, Javier.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10444.

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  2. Valuation of vix derivatives. (2012). Sentana, Enrique ; Mencia, Javier.
    In: Working Papers.
    RePEc:bde:wpaper:1232.

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  3. Explaining asset pricing puzzles associated with the 1987 market crash. (2011). Benzoni, Luca ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:3:p:552-573.

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  4. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns. (2010). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Morten Ørregaard Nielsen, ; Frederiksen, Per .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:25:y:2010:i:2:p:233-261.

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  5. Predicting nominal exchange rate movements using skewness information from options prices. (2010). Ratcliff, Ryan .
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:15:y:2010:i:1:p:75-92.

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  6. A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing. (2010). Ortu, Fulvio ; Favero, Carlo ; Lia, Junye .
    In: Working Papers.
    RePEc:igi:igierp:370.

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  7. Does the option market produce superior forecasts of noise-corrected volatility measures?. (2009). Martin, Gael ; Reidy, Andrew ; Wright, Jill .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:24:y:2009:i:1:p:77-104.

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  8. Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern. (2008). Li, Minqiang.
    In: MPRA Paper.
    RePEc:pra:mprapa:11530.

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  9. Multifrequency Jump-Diffusions: An Equilibrium Approach. (2006). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12797.

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  10. Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility. (2006). Martin, Gael ; Reidy, Andrew ; Wright, Jill .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-10.

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  11. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

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  12. Realized jumps on financial markets and predicting credit spreads. (2006). Zhou, Hao ; Tauchen, George.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-35.

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  13. Separating microstructure noise from volatility. (2006). Bandi, Federico M. ; Russell, Jeffrey R..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:79:y:2006:i:3:p:655-692.

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  14. Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options. (2005). Benzoni, Luca ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11861.

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  15. Testing for Volatility Jumps in the Stochastic Volatility Process. (2005). Kobayashi, Masahito.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:12:y:2005:i:2:p:143-157.

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  16. A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics. (2005). Mammen, Enno ; Härdle, Wolfgang ; Fengler, Matthias ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2005-020.

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  17. Using implied volatility to measure uncertainty about interest rates. (2005). Neely, Christopher.
    In: Review.
    RePEc:fip:fedlrv:y:2005:i:may:p:407-425:n:v.87no.3.

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  18. Managing Livestock Feed Cost Risks Using Futures and Options. (2005). Roe, Brian ; Roberts, Matthew C. ; Chen, Gang.
    In: 2005 Annual meeting, July 24-27, Providence, RI.
    RePEc:ags:aaea05:19399.

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  19. Static Hedging of Standard Options. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0409016.

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  20. Variance Risk Premia. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0409015.

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  21. Stochastic Skew in Currency Options. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0409014.

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  22. Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
    In: Finance.
    RePEc:wpa:wuwpfi:0401002.

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  23. Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns. (2004). Wu, Liuren.
    In: Finance.
    RePEc:wpa:wuwpfi:0401001.

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  24. Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts. (2004). Mittnik, Stefan ; Haas, Markus.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200424.

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  25. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10912.

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  26. The Cross-Section of Volatility and Expected Returns. (2004). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10852.

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  27. Maximum Likelihood Estimation of Stochastic Volatility Models. (2004). Ait-Sahalia, Yacine ; Kimmel, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10579.

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  28. Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes. (2004). Wu, Liuren ; Huang, Jingzhi.
    In: Econometric Society 2004 North American Winter Meetings.
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  29. The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests. (2004). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-25.

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  30. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt5dv8v999.

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  31. The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market. (2003). Beber, Alessandro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9914.

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  32. Maximum Likelihood Estimation of Latent Affine Processes. (2003). Bates, David S..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9673.

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  33. Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics. (2003). Diebold, Francis ; Christoffersen, Peter.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10009.

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  34. Volatility puzzles: a unified framework for gauging return-volatility regressions. (2003). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-40.

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  35. Empirical option pricing: a retrospection. (2003). Bates, David S..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:387-404.

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  36. Alternative models for stock price dynamics. (2003). Tauchen, George ; Gallant, A. ; Chernov, Mikhail ; Ghysels, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:225-257.

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  37. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns. (2003). McCurdy, Tom ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-38.

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  38. Asset Pricing Under The Quadratic Class. (2002). Wu, Liuren ; Leippold, Markus.
    In: Finance.
    RePEc:wpa:wuwpfi:0207015.

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  39. Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?. (2002). Wu, Liuren ; Heidari, Massoud .
    In: Finance.
    RePEc:wpa:wuwpfi:0207013.

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  40. The Finite Moment Log Stable Process and Option Pricing. (2002). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0207012.

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  41. Time-Changed Levy Processes and Option Pricing. (2002). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0207011.

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  42. When Did The Smart Money in Enron Lose Its Smirk?. (2002). Mizrach, Bruce.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200224.

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  43. Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns. (2002). Martin, Vance ; Lim, Guay.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-4.

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  44. Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices.. (2002). Wright, Jonathan ; Martin, Gael ; Forbes, Catherine.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-2.

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  45. Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans. (2002). Sorensen, Carsten ; Richter, Martin .
    In: Working Papers.
    RePEc:hhs:cbsfin:2002_004.

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  46. Term Structure of Volatility and Price Jumps in Agricultural Markets - Evidence from Option Data. (2002). Koekebakker, Steen ; Lien, Gudbrand.
    In: 2002 International Congress, August 28-31, 2002, Zaragoza, Spain.
    RePEc:ags:eaae02:24874.

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  47. Determinants of the implied volatility function on the Italian Stock Market. (2001). Beber, Alessandro.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2001/05.

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  48. The Market for Crash Risk. (2001). Bates, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8557.

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  49. Nonlinear Features of Realized FX Volatility. (2001). McCurdy, Tom ; Maheu, John.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-42.

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  50. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002). (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-02.

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