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Variance Risk Premiums. (2009). Wu, Liuren ; Carr, Peter.
In: Review of Financial Studies.
RePEc:oup:rfinst:v:22:y:2009:i:3:p:1311-1341..

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  2. Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option. (2024). Zhou, Xin ; Jiang, Zhengyun.
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  3. Extrapolation and option-implied kurtosis in volatility forecasting. (2024). Wu, Tu-Cheng ; Shiu, Yung-Ming ; Pan, Ging-Ginq.
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  4. Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Kilic, Mete ; Ghaderi, Mohammad.
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  10. Joint calibration to SPX and VIX Derivative Markets with Composite Change of Time Models. (2024). Peng, Xianhua ; Cheng, Xue.
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  12. How should the long-term investor harvest variance risk premiums?. (2023). Korn, Olaf ; Dorries, Julian ; Power, Gabriel J.
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  13. Unspanned macro risks in VIX futures. (2023). Yang, Xinglin.
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  14. Term spreads of implied volatility smirk and variance risk premium. (2023). Zhang, Jin E ; Gehricke, Sebastian A ; Ruan, Xinfeng ; Guo, Wei.
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  21. Belief Dispersion and Convex Cost of Adjustment in the Stock Market and in the Real Economy. (2023). Jouini, Elyes.
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  22. The Price of Macroeconomic Uncertainty: Evidence from Daily Options. (2023). Samadi, Mehrdad ; Londono, Juan M.
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  24. Biased risk perceptions: Evidence from the laboratory and financial markets. (2023). Putni, Tlis J ; Pradier, Lionnel ; Payzan-Lenestour, Elise.
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  25. GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan.
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  26. Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris.
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  27. Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers. (2023). Foglia, Matteo ; Xie, Chi ; Zhu, You ; Zhou, Yang ; Wang, Gang-Jin ; Gong, Jue.
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  28. A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew.
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  29. Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding.
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  30. Variance risk premiums and aging firms. (2023). Neururer, Thaddeus.
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  33. Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing.
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  34. A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia.
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  35. What drives the TIPS–Treasury bond mispricing?. (2023). Ahn, Yongkil.
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  36. Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. (2023). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Chang, Li-Han ; Cheng, Hung-Wen.
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  37. A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej.
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  38. Market Volatility, Monetary Policy and the Term Premium. (2023). Zampolli, Fabrizio ; Mohanty, Madhusudan ; Mallick, Sushanta ; Kumar, Abhishek.
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  39. The cumulant risk premium. (2023). Todorov, Karamfil.
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  44. Forecasting variance swap payoffs. (2022). van der Heijden, Thijs ; Nardari, Federico ; Dark, Jonathan ; Gao, Xin.
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  50. Are Equity Option Returns Abnormal? IPCA Says No. (2022). Saretto, Alessio ; Goyal, Amit.
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  56. The Correlation Risk Premium: International Evidence. (2022). Wang, Tianyu ; Kosowski, Robert ; Faria, Gonalo.
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  57. Searching the nature of uncertainty: Macroeconomic and financial risks VS geopolitical and pandemic risks. (2022). Himounet, Nicolas.
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  58. Price impact versus bid–ask spreads in the index option market. (2022). van Kervel, Vincent ; Seeger, Norman J ; Kaeck, Andreas.
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  59. Oil uncertainty and firms risk-taking. (2022). Lu, Man ; Yin, Libo.
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  60. Pricing of variance swap rates and investment decisions of variance swaps: Evidence from a three-factor model. (2022). Hong, YI ; Jin, Xing.
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  61. Model risk in the over-the-counter market. (2022). Qi, Shuyuan ; Lazar, Emese.
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  63. Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options. (2022). Pollet, Joshua M ; Pearson, Neil D ; Muravyev, Dmitriy.
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  65. Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market. (2021). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin.
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  74. Designing volatility indices for Austria, Finland and Spain. (2021). Campisi, Giovanni ; Muzzioli, Silvia.
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  75. Ambiguity, Long-Run Risks, and Asset Prices. (2021). Wei, Bin.
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  76. Volatility, valuation ratios, and bubbles: an empirical measure of market sentiment. (2021). Martin, Ian ; Gao, Can.
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  77. Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective. (2021). Esparcia, Carlos ; Lopez, Raquel.
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  78. Implied volatility indices – A review. (2021). Siriopoulos, Costas ; Fassas, Athanasios P.
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  79. Central bank tone and currency risk premia. (2021). Dossani, Asad.
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  80. Treasury yield implied volatility and real activity. (2021). Fleckenstein, Matthias ; Cremers, Martijn ; Gandhi, Priyank.
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  81. The cross-section of currency volatility premia. (2021). Neuberger, Anthony ; Kozhan, Roman ; Della Corte, Pasquale.
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  82. COVID-19, volatility dynamics, and sentiment trading. (2021). Li, Jingrui ; John, Kose.
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  83. Aggregate volatility risk: International evidence. (2021). Peterburgsky, Stanley.
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  84. The economics of the financial market for volatility trading. (2021). Zhang, Jin E ; Ruan, Xinfeng.
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  85. VIX and liquidity premium. (2021). Honarvar, Iman ; Bams, Dennis.
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  86. The role of oil price uncertainty shocks on oil-exporting countries. (2021). Rubaszek, Michał ; Śmiech, Sławomir ; Papie, Monika ; Snarska, Magorzata.
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  87. The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. (2021). Iori, Giulia ; Ouellette, Michelle S ; Tedeschi, Gabriele ; Recchioni, Maria Cristina.
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  88. A general property for time aggregation. (2021). Rauch, Johannes ; Alexander, Carol.
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    RePEc:eee:ejores:v:291:y:2021:i:2:p:536-548.

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  89. Tail risk and return predictability for the Japanese equity market. (2021). Ubukata, Masato ; Todorov, Viktor ; Andersen, Torben G.
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  90. Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena.
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  91. The impact of hedging on risk-averse agents’ output decisions. (2021). Dunbar, Kwamie ; Owusu-Amoako, Johnson.
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  92. Same firm, two volatilities: How variance risk is priced in credit and equity markets. (2021). Tortorice, Daniel ; Kita, Arben.
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  93. Growth Uncertainty, Rational Learning, and Option Prices. (2021). Kozhan, Roman ; Babiak, Mykola.
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  94. Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment. (2021). Martin, Ian ; Gao, Can.
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  95. Is aggregate volatility a priced risk factor?. (2021). Peterburgsky, Stanley.
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  96. Passive funds affect prices: evidence from the most ETF-dominated asset classes. (2021). Todorov, Karamfil.
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  97. Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard.
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  98. Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Ki, Byoung ; Lee, Kyungsub.
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  99. Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. (2021). Papanicolaou, Andrew.
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  101. Volatility forecasts embedded in the prices of crude‐oil options. (2020). Tsiaras, Leonidas ; Gilder, Dudley .
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  102. Uncertainty and the volatility forecasting power of option‐implied volatility. (2020). Jeon, Byoung Hyun ; Kim, Jun Sik ; Seo, Sung Won.
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  103. Volatility as an asset class: Holding VIX in a portfolio. (2020). Doran, James S.
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  104. Earnings announcement timing, uncertainty, and volatility risk premiums. (2020). Neururer, Thaddeus ; Adams, Tom.
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  105. Modeling VXX under jump diffusion with stochastic long‐term mean. (2020). Zhang, Jin E ; Gehricke, Sebastian A.
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  106. Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data. (2020). Mancino, Maria Elvira ; Toscano, G ; Scotti, S.
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  107. The term structure of implied costs of equity capital. (2020). Lyle, Matthew R ; Callen, Jeffrey L.
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  108. Market uncertainty, risk aversion, and macroeconomic expectations. (2020). Inekwe, John.
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  109. On the pricing of overnight market risk. (2020). Wagner, Niklas ; Perras, Patrizia.
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  110. Monetary Policy, Risk Aversion and Uncertainty in an International Context. (2020). Deisting, Florent ; Sehgal, Sanjay ; Saini, Sakshi.
    In: Multinational Finance Journal.
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  111. The Effect of Reporting Streaks on Ex Ante Uncertainty. (2020). Riedl, Edward J ; Papadakis, George ; Neururer, Thaddeus .
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  112. Predictability of OTC Option Volatility for Future Stock Volatility. (2020). Park, Yuen Jung ; Kim, Jungmu.
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    RePEc:gam:jsusta:v:12:y:2020:i:12:p:5200-:d:376450.

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  113. GARCH Option Pricing Models and the Variance Risk Premium. (2020). Zhang, Jin E.
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  114. The Law of One Price in Equity Volatility Markets. (2020). Van Tassel, Peter.
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  115. On the autocorrelation of the stock market. (2020). .
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  116. Dynamics of variance risk premium: Evidence from India. (2020). Ramachandran, Shankar ; Sankar, Ganesh ; Lukose, Jijo.
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  117. CBOE VIX and Jump-GARCH option pricing models. (2020). Yoon, Sun-Joong.
    In: International Review of Economics & Finance.
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  118. Downside uncertainty shocks in the oil and gold markets. (2020). Xu, Yahua ; Byun, Suk Joon ; Roh, Tai-Yong.
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  119. Variance risk premium in a small open economy with volatile capital flows: The case of Korea. (2020). Yun, Jaeho.
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  120. How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. (2020). Boughrara, Adel ; Dahmene, Meriam ; Slim, Skander.
    In: The Quarterly Review of Economics and Finance.
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  121. Duration of Global Financial Cycles. (2020). Berument, Hakan M ; Varlik, Serdar ; Akdi, Yilmaz.
    In: Physica A: Statistical Mechanics and its Applications.
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  122. Up- and downside variance risk premia in global equity markets. (2020). Thimme, Julian ; Omachel, Marcel ; Kapraun, Julia ; Held, Matthias .
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    RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301412.

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  123. Moment risk premia and the cross-section of stock returns in the European stock market. (2020). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:111:y:2020:i:c:s037842661930305x.

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  124. Pricing individual stock options using both stock and market index information. (2020). Stentoft, Lars ; Violante, Francesco.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000.

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  125. Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate. (2020). Wang, Xunxiao.
    In: Energy Economics.
    RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302401.

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  126. Variance swap payoffs, risk premia and extreme market conditions. (2020). Violante, Francesco ; Stentoft, Lars.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:13:y:2020:i:c:p:106-124.

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  127. The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

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  128. Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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  129. Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian.
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  130. Variance disparity and market frictions. (2020). Park, Yang-Ho.
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  131. Price delay and post-earnings announcement drift anomalies: The role of option-implied betas. (2020). Tsai, Wei-Che ; Ho, Hwai-Chung.
    In: The North American Journal of Economics and Finance.
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  132. Global predictive power of the upside and downside variances of the U.S. equity market. (2020). Zhang, Liguo ; Xiao, Jun ; Xu, Yahua.
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  133. Option Profit and Loss Attribution and Pricing: A New Framework. (2020). Wu, Liuren ; Carr, Peter.
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  134. Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets. (2020). Sarris, Alexandros ; Dotsis, George ; Triantafyllou, Athanasios.
    In: Journal of Agricultural Economics.
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  135. Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun.
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  136. Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl.
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  137. Short-Run Bond Risk Premia. (2019). Zhou, Hao ; Vedolin, Andrea ; Mueller, Philippe.
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:09:y:2019:i:03:n:s2010139219500113.

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  138. Ambiguity Aversion and the Variance Premium. (2019). Miao, Jianjun ; Zhou, Hao ; Wei, Bin .
    In: Quarterly Journal of Finance (QJF).
    RePEc:wsi:qjfxxx:v:09:y:2019:i:02:n:s2010139219500034.

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  139. STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS. (2019). Papanicolaou, A ; Avellaneda, M.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  140. Robust estimation of risk‐neutral moments. (2019). Feser, Alexander ; Ammann, Manuel.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1137-1166.

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  141. Jump variance risk: Evidence from option valuation and stock returns. (2019). Chang, Yencheng ; Tseng, Kevin ; Peng, Pohsiang ; Cheng, HungWen .
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    RePEc:wly:jfutmk:v:39:y:2019:i:7:p:890-915.

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  142. Variance and skew risk premiums for the volatility market: The VIX evidence. (2019). Xu, Yahua ; da Fonseca, Jose.
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    RePEc:wly:jfutmk:v:39:y:2019:i:3:p:302-321.

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  143. VIX term structure and VIX futures pricing with realized volatility. (2019). Tong, Chen ; Huang, Zhuo ; Wang, Tianyi.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:39:y:2019:i:1:p:72-93.

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  144. Correlation risk and international portfolio choice. (2019). Weisheit, Stefan ; Muck, Matthias ; Branger, Nicole.
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  145. Credit Variance Risk Premiums. (2019). Morke, Mathis ; Ammann, Manuel.
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  146. Robust Estimation of Risk-Neutral Moments. (2019). Feser, Alexander ; Ammann, Manuel.
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  147. Intra-industry information transfers: evidence from changes in implied volatility around earnings announcements. (2019). Kim, Heedong ; Hann, Rebecca N ; Zheng, Yue.
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  148. A general equilibrium approach to pricing volatility risk. (2019). Smith, Tom ; Pan, Zheyao ; Liu, Zhangxin ; Linnenluecke, Martina ; Han, Jianlei.
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  149. Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets. (2019). Chen, Hui ; Ni, Sophie X ; Joslin, Scott.
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  150. Option-implied Value-at-Risk and the cross-section of stock returns. (2019). Feser, Alexander ; Ammann, Manuel.
    In: Review of Derivatives Research.
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  151. Empirical performance of reduced-form models for emission permit prices. (2019). Uhrig-Homburg, Marliese ; Hitzemann, Steffen.
    In: Review of Derivatives Research.
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  152. On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review. (2019). Venegas-Martínez, Francisco ; Venegas-Martinez, Francisco ; Carbajal-De, Carolina.
    In: Panorama Económico.
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  153. Option Prices in a Model with Stochastic Disaster Risk. (2019). Wachter, Jessica A ; Seo, Sang Byung.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:8:p:3449-3469.

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  154. Tail Risk Concerns Everywhere. (2019). Song, Zhaogang ; Lu, Xiaomeng ; Gao, George P.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:7:p:3111-3130.

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  155. Good and Bad Variance Premia and Expected Returns. (2019). Shaliastovich, Ivan ; Kilic, Mete .
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:6:p:2522-2544.

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  156. The Pricing of Jump Propagation: Evidence from Spot and Options Markets. (2019). Luo, Dan ; Du, Du.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:5:p:2360-2387.

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  157. Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market. (2019). Jarrow, Robert ; Hsieh, Peilin.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:4:p:1833-1854.

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  158. A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion. (2019). Skiadopoulos, George ; Faccini, Renato ; Sarantopoulou-Chiourea, Sylvia ; Konstantinidi, Eirini.
    In: Management Science.
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  159. Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics. (2019). Watugala, Sumudu W ; Tran, Brigitte Roth ; Kruttli, Mathias S.
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  160. What is the expected return on a stock?. (2019). Martin, Ian ; Wagner, Christian.
    In: LSE Research Online Documents on Economics.
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  161. Its not that important: The negligible effect of oil market uncertainty. (2019). Wang, Yudong ; Liu, LI ; Feng, Jiabao ; Yin, Libo.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:60:y:2019:i:c:p:62-84.

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  162. Downside jump risk and the levels of futures-cash basis. (2019). Chen, Chin-Ho.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19300745.

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  163. The economic drivers of commodity market volatility. (2019). Symeonidis, Lazaros ; Stancu, Andrei ; Prokopczuk, Marcel.
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    RePEc:eee:jimfin:v:98:y:2019:i:c:4.

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  164. Variance risk in aggregate stock returns and time-varying return predictability. (2019). Pyun, Sungjune.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:132:y:2019:i:1:p:150-174.

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  165. A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea.
    In: Journal of Banking & Finance.
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  166. Does the volatility of volatility risk forecast future stock returns?. (2019). JAWADI, Fredj ; Fu, XI ; Bu, Ruijun.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:61:y:2019:i:c:p:16-36.

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  167. The information content of short-term options. (2019). Simen, Chardin Wese ; Symeonidis, Lazaros ; Stancu, Andrei ; Oikonomou, Ioannis.
    In: Journal of Financial Markets.
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  168. Consumption volatility ambiguity and risk premium’s time-variation. (2019). Posch, Peter N ; Muller, Janis.
    In: Finance Research Letters.
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  169. Skewness risk premium: Theory and empirical evidence. (2019). Wolff, Christian ; Lin, Yuehao ; Lehnert, Thorsten.
    In: International Review of Financial Analysis.
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  170. Moment spreads in the energy market. (2019). Zhang, Jin E ; Ruan, Xinfeng.
    In: Energy Economics.
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  171. Functional Ross recovery: Theoretical results and empirical tests. (2019). Maurer, Raimond ; Dillschneider, Yannick.
    In: Journal of Economic Dynamics and Control.
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  172. A profitable modification to global quadratic hedging. (2019). Godin, Frederic ; Augustyniak, Maciej ; Simard, Clarence.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:104:y:2019:i:c:p:111-131.

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  173. The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei.
    In: European Financial Management.
    RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

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  174. Model-Free Implied Volatility under Jump-Diffusion Models. (2019). YANG, HONGTAO ; Choi, Seungmook .
    In: Review of Economics & Finance.
    RePEc:bap:journl:190201.

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  175. Model risk of contingent claims. (2018). Packham, Natalie ; Detering, Nils.
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  176. Systemic Risk in Global Volatility Spillover Networks: Evidence from Option-implied Volatility Indices. (2018). Zhou, Yinggang ; Yang, Zihui .
    In: IRTG 1792 Discussion Papers.
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  177. OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS. (2018). Faias, Jose Afonso ; Castel-Branco, Tiago.
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  178. Modeling VXX. (2018). Zhang, Jin E ; Gehricke, Sebastian A.
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  179. Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices. (2018). Taylor, Stephen J ; Fan, Rui ; Sandri, Matteo .
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  180. Jump risk and option liquidity in an incomplete market. (2018). Zhang, Qinqin ; Hsieh, Peilin ; Wang, Yajun.
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  181. Information about price and volatility jumps inferred from options prices. (2018). Tzeng, Chifeng ; Taylor, Stephen J ; Widdicks, Martin.
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  182. The variance risk premium and capital structure. (2018). Lotfaliei, Babak.
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  183. Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models. (2018). Fu, Chengbo.
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  184. Relative pricing and risk premia in equity volatility markets. (2018). Van Tassel, Peter.
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  185. Variance risk premium and equity returns. (2018). Papadamou, Stephanos ; Fassas, Athanasios P.
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  186. Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris.
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  187. The impact of uncertainty shocks on the volatility of commodity prices. (2018). Bakas, Dimitrios ; Triantafyllou, Athanasios.
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    RePEc:eee:jimfin:v:87:y:2018:i:c:p:96-111.

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  188. Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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  189. Risk factors and their associated risk premia: An empirical analysis of the crude oil market. (2018). Hain, Martin ; Unger, Nils ; Uhrig-Homburg, Marliese.
    In: Journal of Banking & Finance.
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  190. Estimating risk-return relations with analysts price targets. (2018). Wu, Liuren.
    In: Journal of Banking & Finance.
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  191. Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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  192. Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng.
    In: Journal of Econometrics.
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  193. Equilibrium variance risk premium in a cost-free production economy. (2018). Ruan, Xinfeng ; Zhang, Jin E.
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  194. Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo.
    In: Journal of Economic Dynamics and Control.
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  195. Expected Stock Returns and the Correlation Risk Premium. (2018). Vilkov, Grigory ; Schonleber, Lorenzo ; Buss, Adrian.
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  196. Medida de aversión al Riesgo Mediante Volatilidades Implícitas Realizadas. (2018). Sagner, Andres ; Fernandois, Antonio ; Alvarez, Nicolas.
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  197. Level and slope of volatility smiles in Long-Run Risk Models. (2017). Schlag, Christian ; Rodrigues, Paulo ; Branger, Nicole.
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  198. Seasonality in Perceived Risk: A Sentiment Effect. (2017). Kaplanski, Guy ; Levy, Haim.
    In: Quarterly Journal of Finance (QJF).
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  199. The effect of volatility persistence on excess returns. (2017). Strobl, Sascha ; Jain, Ajeet.
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  200. Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk. (2017). Augustyniak, Maciej ; Boudreault, Mathieu.
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  201. Dynamics of Co-movements among Implied Volatility, Policy Uncertainty and Market Performance. (2017). .
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  202. Uncertainty Shocks as Second-Moment News Shocks. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Berger, David.
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  203. The Term Structure of the Price of Variance Risk. (2017). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne ; Wang, Yichuan.
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  204. Global Variance Term Premia and Intermediary Risk Appetite. (2017). van Tassel, Peter.
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  205. What Is the Expected Return on a Stock?. (2017). Martin, Ian ; Wagner, Christian.
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  206. Variance Risk Premia on Stocks and Bonds. (2017). Mueller, Philippe ; Vedolin, Andrea ; Whelan, Paul ; Sabtchevsky, Petar.
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  207. A note on contracts on quadratic variation. (2017). Lindberg, Carl.
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  208. Uncertainty Shocks as Second-Moment News Shocks. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Berger, David.
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  209. Retrieving risk neutral moments and expected quadratic variation from option prices. (2017). Tzavalis, Elias ; Rompolis, Leonidas.
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  210. Implied volatility and skewness surface. (2017). Fontaine, Jean-Sebastien ; Feunou, Bruno ; Tedongap, Romeo.
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  211. Superreplication of Financial Derivatives via Convex Programming. (2017). Kahale, Nabil.
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  212. Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes. (2017). Yang, Zihui ; Zhou, Yinggang .
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  213. Horizon-dependent risk aversion and the timing and pricing of uncertainty. (2017). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne.
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  214. Variance Premium and Implied Volatility in a Low-Liquidity Option Market. (2017). Giovannetti, Bruno ; Chague, Fernando ; da Silva, Marcos Eugenio ; Astorino, Eduardo .
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  215. Time-varying risk aversion and return predictability. (2017). Yoon, Sun-Joong .
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  216. Option-implied expectations in commodity markets and monetary policy. (2017). Triantafyllou, Athanasios ; Dotsis, George.
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  217. The price of variance risk. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Rodriguez, Marius ; Le, Anh .
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  218. The market price of risk of the variance term structure. (2017). Dotsis, George.
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  219. Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo.
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  220. Variance risk in commodity markets. (2017). Symeonidis, Lazaros ; Prokopczuk, Marcel ; Simen, Chardin Wese .
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  221. Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten.
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  222. Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). DA FONSECA, José ; Xu, Yahua.
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  223. Does oil and gold price uncertainty matter for the stock market?. (2017). Bams, Dennis ; Lehnert, Thorsten ; Honarvar, Iman ; Blanchard, Gildas.
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  224. A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J.
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  225. The risk premium that never was: A fair value explanation of the volatility spread. (2017). McGee, Richard J ; McGroarty, Frank.
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    RePEc:eee:ejores:v:262:y:2017:i:1:p:370-380.

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  226. Hitting SKEW for SIX. (2017). faff, robert ; Liu, Zhangxin.
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  227. Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias.
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  228. Learning and forecasts about option returns through the volatility risk premium. (2017). Bernales, Alejandro ; Valenzuela, Marcela ; Chen, Louisa.
    In: Journal of Economic Dynamics and Control.
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  229. Entropy-based implied moments. (2017). Zhou, Chen ; Xiao, Xiao.
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  230. State-preference pricing and volatility indices. (2017). Liu, Zhangxin ; Smith, Tom ; O'Neill, Michael J.
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  231. Market volatility, monetary policy and the term premium. (2017). Mohanty, Madhusudan ; Mallick, Sushanta ; Zampolli, Fabrizio .
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  232. Variance Premium, Downside Risk and Expected Stock Returns. (2017). Feunou, Bruno ; Tedongap, Romeo ; Aliouchkin, Ricardo Lopez.
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  233. The Aggregation Property and its Applications to Realised Higher Moments. (2017). Alexander, Carol ; Rauch, Johannes.
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  234. Variance swap payoffs, risk premia and extreme market conditions. (2017). Violante, Francesco ; Stentoft, Lars.
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  235. A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea.
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  236. Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars.
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  237. Systemic co-jumps. (2016). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Alexey .
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  238. Stock Illiquidity, option prices, and option returns. (2016). Kanne, Stefan ; Uhrig-Homburg, Marliese ; Korn, Olaf .
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  239. Analysis of VIX Markets with a Time-Spread Portfolio. (2016). Papanicolaou, A.
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  240. Tests of investor learning models using earnings innovations and implied volatilities. (2016). Papadakis, George ; Neururer, Thaddeus ; Riedl, Edward J.
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  241. Financial uncertainty, risk aversion and monetary policy. (2016). Inekwe, John.
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  242. Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies. (2016). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi.
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  243. Contractionary Volatility or Volatile Contractions?. (2016). Giglio, Stefano ; Dew-Becker, Ian ; Berger, David.
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  244. Entwicklungslinien in der Portfoliotheorie und im Asset Management. (2016). , Wallmeier.
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  245. Volatility Managed Portfolios. (2016). Moreira, Alan ; Muir, Tyler.
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  246. Moment Risk Premia and the Cross-Section of Stock Returns. (2016). Gambarelli, Luca ; Elyasiani, Elyas ; Muzzioli, Silvia.
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  247. Global variance term premia and intermediary risk appetite. (2016). Vogt, Erik ; Van Tassel, Peter.
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  248. Option-implied term structures. (2016). Vogt, Erik.
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  249. What is the expected return on a stock?. (2016). Martin, Ian ; Wagner, Christian.
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  250. On the source of stochastic volatility: Evidence from CAC40 index options during the subprime crisis. (2016). Slim, Skander.
    In: Physica A: Statistical Mechanics and its Applications.
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  251. Momentum crashes. (2016). Daniel, Kent ; Moskowitz, Tobias J.
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  252. The volatility of a firms assets and the leverage effect. (2016). Choi, Jae Won ; Richardson, Matthew.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:121:y:2016:i:2:p:254-277.

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  253. Does variance risk have two prices? Evidence from the equity and option markets. (2016). Malkhozov, Aytek.
    In: Journal of Financial Economics.
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  254. Volatility risk premia and exchange rate predictability. (2016). Sarno, Lucio ; Ramadorai, Tarun ; Della Corte, Pasquale.
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  255. Analyzing volatility risk and risk premium in option contracts: A new theory. (2016). Carr, Peter ; Wu, Liuren.
    In: Journal of Financial Economics.
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  256. The cross-sectional variation of volatility risk premia. (2016). Rubio, Gonzalo ; Gonzalez-Urteaga, Ana .
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  257. Quadratic variance swap models. (2016). Filipovi, Damir ; Mancini, Loriano ; Gourier, Elise .
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  258. Jump and variance risk premia in the S&P 500. (2016). Prokopczuk, Marcel ; Simen, Chardin Wese .
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  259. What do asset prices have to say about risk appetite and uncertainty?. (2016). Hoerova, Marie ; Bekaert, Geert.
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  260. A test of efficiency for the S&P 500 index option market using the generalized spectrum method. (2016). Huang, Henry ; Wang, Zhanglong .
    In: Journal of Banking & Finance.
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  261. How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns. (2016). Skiadopoulos, George ; Konstantinidi, Eirini.
    In: Journal of Banking & Finance.
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  262. Variance risk premia in CO2 markets: A political perspective. (2016). Reckling, Dennis .
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  263. An investigation of model risk in a market with jumps and stochastic volatility. (2016). Coqueret, Guillaume ; Tavin, Bertrand.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:253:y:2016:i:3:p:648-658.

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  264. Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring. (2016). Ormos, Mihály ; Timotity, Dusan .
    In: Economic Systems.
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  265. The effects of asymmetric volatility and jumps on the pricing of VIX derivatives. (2016). Park, Yang-Ho .
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  266. A tale of two option markets: Pricing kernels and volatility risk. (2016). SONG, ZHAOGANG ; Xiu, Dacheng.
    In: Journal of Econometrics.
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  267. Volatility risk premium implications of GARCH option pricing models. (2016). Papantonis, Ioannis .
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  268. Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef.
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  269. Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums. (2016). Ruan, Xinfeng ; Zhang, Jin E ; Huang, Jiexiang ; Zhu, Wenli .
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  270. What is the Expected Return on a Stock?. (2016). Wagner, Christian ; Martin, Ian.
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  271. Implied basket correlation dynamics. (2016). Härdle, Wolfgang ; Karl, Hardle Wolfgang ; Elena, Silyakova .
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  272. Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring. (2016). Ormos, Mihály ; Timotity, Dusan .
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  273. Tail Risk Premia for Long-Term Equity Investors. (2016). Rauch, Johannes ; Alexander, Carol.
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  274. Model-Free Discretisation-Invariant Swap Contracts. (2016). Alexander, Carol ; Rauch, Johannes.
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  275. Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia. (2016). Alexander, Carol ; Rauch, Johannes.
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  276. THE RELEVANCE OF CBOE VOLATILITY INDEX TO STOCK MARKETS IN EMERGING ECONOMIES. (2015). Mariniaevaita, Tamara ; Raauskaita, Jovita .
    In: Organizations and Markets in Emerging Economies.
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  277. Asset Pricing with Horizon-Dependent Risk Aversion. (2015). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne.
    In: 2015 Meeting Papers.
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  278. Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?. (2015). Ng, Serena ; Ma, Sai ; Ludvigson, Sydney.
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  279. The Price of Variance Risk. (2015). Rodriguez, Marius ; Giglio, Stefano ; Dew-Becker, Ian ; Le, Anh .
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  280. Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency. (2015). Kalnina, Ilze ; Xiu, Dacheng.
    In: Cahiers de recherche.
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  281. Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency. (2015). Kalnina, Ilze ; Xiu, Dacheng.
    In: Cahiers de recherche.
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  282. Understanding Delta-Hedged Option Returns in Stochastic Volatility Environments. (2015). Sasaki, Hiroshi.
    In: Asia-Pacific Financial Markets.
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  283. The term structure of the price of variance risk. (2015). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne ; Wang, Yichuan.
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  284. Term Structure of Interest Rates with Short-run and Long-run Risks. (2015). SONG, ZHAOGANG ; Grishchenko, Olesya ; Zhou, Hao.
    In: Finance and Economics Discussion Series.
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  285. Joint pricing of VIX and SPX options with stochastic volatility and jump models. (2015). Stisen, Martin ; Kokholm, Thomas.
    In: Journal of Risk Finance.
    RePEc:eme:jrfpps:v:16:y:2015:i:1:p:27-48.

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  286. Joint pricing of VIX and SPX options with stochastic volatility and jump models. (2015). Stisen, Martin ; Kokholm, Thomas.
    In: Journal of Risk Finance.
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  287. Volatility returns with vengeance: Financial markets vs. commodities. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:33:y:2015:i:c:p:334-354.

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  288. Tail risk premia and return predictability. (2015). Bollerslev, Tim ; Xu, Lai ; Todorov, Viktor.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:1:p:113-134.

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  289. Generalized risk premia. (2015). Schneider, Paul.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:116:y:2015:i:3:p:487-504.

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  290. The optimal corridor for implied volatility: From periods of calm to turmoil. (2015). Muzzioli, Silvia.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:81:y:2015:i:c:p:77-94.

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  291. Riding the swaption curve. (2015). Duyvesteyn, Johan ; de Zwart, Gerben .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:57-75.

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  292. Rate fears gauges and the dynamics of fixed income and equity volatilities. (2015). Mele, Antonio ; Obayashi, Yoshiki ; Shalen, Catherine .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:52:y:2015:i:c:p:256-265.

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  293. Volatility-of-volatility and tail risk hedging returns. (2015). Park, Yang-Ho .
    In: Journal of Financial Markets.
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  294. Volatility co-movements: A time-scale decomposition analysis. (2015). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda.
    In: Journal of Empirical Finance.
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  295. Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices. (2015). Wang, Zhiguang ; Wu, Feng ; Guan, Zhengfei ; Myers, Robert J.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:34:y:2015:i:c:p:260-274.

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  296. Market sentiment in commodity futures returns. (2015). Gao, Lin ; Suss, Stephan .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:84-103.

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  297. Market-based estimation of stochastic volatility models. (2015). Amengual, Dante ; Ait-Sahalia, Yacine ; Manresa, Elena.
    In: Journal of Econometrics.
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  298. Volatility returns with vengeance: Financial markets vs. commodities. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/13359.

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  299. Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market. (2015). Laakkonen, Helinä.
    In: Research Discussion Papers.
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  300. Volatility contagion: new evidence from market pricing of volatility risk. (2015). Raczko, Marek.
    In: Bank of England working papers.
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  301. Downside Variance Risk Premium. (2015). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Okou, Cedric.
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  302. Option Pricing Accuracy for Estimated Heston Models. (2015). Azencott, Robert ; Gadhyan, Yutheeka ; Glowinski, Roland .
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  303. Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility. (2014). Baruník, Jozef ; Ike, Filip.
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  304. Risk-adjusted option-implied moments. (2014). Brinkmann, Felix ; Korn, Olaf .
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  305. Cross?market spillovers with ‘volatility surprise’. (2014). Chevallier, Julien ; Aboura, Sofiane.
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  306. Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?. (2014). Wójcik, Piotr ; Sakowski, Pawel ; Ślepaczuk, Robert ; Kokoszczyński, Ryszard ; Jabłecki, Juliusz ; Jabecki, Juliusz ; Kokoszczyski, Ryszard ; Wojcik, Piotr .
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  307. A regime-switching Heston model for VIX and S&P 500 implied volatilities. (2014). Papanicolaou, Andrew ; Sircar, Ronnie.
    In: Quantitative Finance.
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  308. Market variance risk premiums in Japan for asset predictability. (2014). Ubukata, Masato ; Watanabe, Toshiaki.
    In: Empirical Economics.
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  309. How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns. (2014). Skiadopoulos, George ; Konstantinidi, Eirini.
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  310. How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns. (2014). Skiadopoulos, George ; Konstantinidi, Eirini.
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  311. Global Variance Risk Premium and Forex Return Predictability. (2014). Aloosh, Arash.
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  312. Multi-jumps. (2014). Renò, Roberto ; Caporin, Massimiliano ; Kolokolov, Aleksey ; Reno, Roberto.
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  313. Multi-jumps. (2014). Renò, Roberto ; Caporin, Massimiliano ; Kolokolov, Aleksey.
    In: Marco Fanno Working Papers.
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  314. Momentum Crashes. (2014). Daniel, Kent ; Moskowitz, Tobias J..
    In: NBER Working Papers.
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  315. Business Cycle Variability and Growth Linkage. (2014). Inekwe, John.
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  316. Up- and Downside Variance Risk Premia in Global Equity Markets. (2014). Omachel, Marcel ; Held, Matthias .
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  317. Volatilities implied by price changes in the S&P 500 options and futures contracts. (2014). Li, Wei ; Hilliard, Jitka.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:42:y:2014:i:4:p:599-626.

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  318. Forecasting the density of oil futures. (2014). Ielpo, Florian ; Sevi, Benoit.
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  319. Cross-Market Spillovers with Volatility Surprise. (2014). Chevallier, Julien ; Aboura, Sofiane.
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  320. A fear index to predict oil futures returns. (2014). Sévi, Benoît ; Chevallier, Julien.
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  321. Cross-Market Spillovers with Volatility Surprise. (2014). Chevallier, Julien ; Aboura, Sofiane.
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  322. Cross-Market Spillovers with ‘Volatility Surprise’. (2014). Chevallier, Julien ; Aboura, Sofiane.
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  323. Simple and reliable way to compute option-based risk-neutral distributions. (2014). Malz, Allan M..
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  324. Bank Interventions and Options-based Systemic Risk: Evidence from the Global and Euro-area Crisis. (2014). Londono, Juan M. ; Tian, Mary.
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  325. Cross-market spillovers with ‘volatility surprise’. (2014). Chevallier, Julien ; Aboura, Sofiane.
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  326. Non-parametric analysis of equity arbitrage. (2014). VORTELINOS, DIMITRIOS.
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  327. Crash-neutral currency carry trades. (2014). Jurek, Jakub W..
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  328. The importance of the volatility risk premium for volatility forecasting. (2014). Prokopczuk, Marcel ; Simen, Chardin Wese .
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  329. Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities. (2014). Zhou, Yinggang .
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  330. The microstructure of fear, the Fama–French factors and the global financial crisis of 2007 and 2008. (2014). Lim, Dominic ; Durand, Robert B. ; Yang, Joey Wenling .
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  331. Crude oil moments and PNG stock returns. (2014). Chatrath, Arjun ; Ramchander, Sanjay ; Miao, Hong.
    In: Energy Economics.
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  332. The VIX, the variance premium and stock market volatility. (2014). Hoerova, Marie ; Bekaert, Geert.
    In: Journal of Econometrics.
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  333. Cross-Market Spillovers with ‘Volatility Surprise’. (2014). Chevallier, Julien ; Aboura, Sofiane.
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  334. Does historical VIX term structure contain valuable information for predicting VIX futures?. (2014). Wójcik, Piotr ; Sakowski, Pawel ; Ślepaczuk, Robert ; Kokoszczyński, Ryszard ; Jablecki, Juliusz ; Kokoszczynski, Ryszard ; SLEPACZUK, Robert ; Wojcik, Piotr .
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  335. Pricing Nikkei 225 Options Using Realized Volatility. (2014). Ubukata, Masato ; Watanabe, Toshiaki .
    In: The Japanese Economic Review.
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  336. Tail Risk Premia and Return Predictability. (2014). Bollerslev, Tim ; Todorov, Viktor ; Xu, Lai .
    In: CREATES Research Papers.
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  337. The Information Content of Option-Based Forecasts of Volatility: Evidence from the Italian Stock Market. (2013). Muzzioli, Silvia.
    In: Quarterly Journal of Finance (QJF).
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  338. Variance Risk Premiums in Foreign Exchange Markets. (2013). Buesser, Ralf ; Ammann, Manuel.
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  339. Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs. (2013). Zhao, Yang ; MacDonald, Ronald ; Huang, Huichou.
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  340. The Forecasting Performance of Corridor Implied Volatility in the Italian Market. (2013). Muzzioli, Silvia.
    In: Computational Economics.
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  341. Volatility of volatility and tail risk premiums. (2013). Park, Yang-Ho .
    In: Finance and Economics Discussion Series.
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  342. A Fear Index to Predict Oil Futures Returns. (2013). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit.
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  343. Stock price dynamics and option valuations under volatility feedback effect. (2013). Kanniainen, Juho ; Piche, Robert .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:4:p:722-740.

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  344. Risk, uncertainty and monetary policy. (2013). Lo Duca, Marco ; Hoerova, Marie ; Bekaert, Geert.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:7:p:771-788.

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  345. Macroeconomic determinants of stock volatility and volatility premiums. (2013). Mele, Antonio ; Corradi, Valentina ; Distaso, Walter .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:2:p:203-220.

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  346. Risk and return: Long-run relations, fractional cointegration, and return predictability. (2013). Tauchen, George ; Bollerslev, Tim ; Osterrieder, Daniela ; Sizova, Natalia .
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  347. Realizing smiles: Options pricing with realized volatility. (2013). Corsi, Fulvio ; la Vecchia, Davide ; Fusari, Nicola.
    In: Journal of Financial Economics.
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  348. Diagnosing affine models of options pricing: Evidence from VIX. (2013). Zhang, Chu ; Li, Gang.
    In: Journal of Financial Economics.
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  349. The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium. (2013). Ederington, Louis H. ; Guan, Wei.
    In: Journal of Banking & Finance.
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  350. The impact of distressed economies on the EU sovereign market. (2013). Lafuente, Juan Angel ; Groba, Jonatan ; Serrano, Pedro.
    In: Journal of Banking & Finance.
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  351. The world price of jump and volatility risk. (2013). Driessen, Joost ; Maenhout, Pascal .
    In: Journal of Banking & Finance.
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  352. Variance risk premiums in foreign exchange markets. (2013). Buesser, Ralf ; Ammann, Manuel.
    In: Journal of Empirical Finance.
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  353. The information content of risk-neutral skewness for volatility forecasting. (2013). Kim, Jun Sik ; Byun, Suk Joon.
    In: Journal of Empirical Finance.
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  354. Variance risk-premia in CO2 markets. (2013). Chevallier, Julien.
    In: Economic Modelling.
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  355. Risk, uncertainty and monetary policy. (2013). Lo Duca, Marco ; Hoerova, Marie ; Bekaert, Geert.
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  356. A Fear Index to Predict Oil Futures Returns. (2013). Sevi, Benoit ; Chevallier, Julien.
    In: Economics Papers from University Paris Dauphine.
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  357. Skewness Risk Premium: Theory and Empirical Evidence. (2013). Wolff, Christian ; Lin, Yuehao ; Lehnert, Thorsten.
    In: CEPR Discussion Papers.
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  358. The Relation between Physical and Risk-neutral Cumulants. (2013). Chang, Eric C. ; Zhang, Jin E. ; Zhao, Huimin .
    In: International Review of Finance.
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  359. High moment variations and their application. (2013). Choe, Geon Ho ; Lee, Kyungsub.
    In: Papers.
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  360. Recursive formula for arithmetic Asian option prices. (2013). Lee, Kyungsub.
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  361. Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility. (2013). Baruník, Jozef ; Zikes, Filip.
    In: Papers.
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  362. It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model. (2013). Santucci de Magistris, Paolo ; Grassi, Stefano.
    In: CREATES Research Papers.
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  363. Volatilität als Investment: Diversifikationseigenschaften von Volatilitätsstrategien. (2012). Detering, Nils ; Wystup, Uwe ; Zhou, Qixiang .
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  364. Does Ambiguity Diversification Pay?. (2012). Izhakian, Yehuda.
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  365. Fiancial Innovation, Structuring and Risk Transfer. (2012). vanini, paolo.
    In: MPRA Paper.
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  366. Variance Risk Premium Differentials and Foreign Exchange Returns. (2012). Aloosh, Arash ; Arash, Aloosh .
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  367. Implied Basket Correlation Dynamics. (2012). Silyakova, Elena ; Härdle, Wolfgang.
    In: SFB 649 Discussion Papers.
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  368. Market-based Eurobonds Without Cross-Subsidisation. (2012). Pasche, Markus.
    In: Global Financial Markets Working Paper Series.
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  369. Bond Variance Risk Premia. (2012). Mueller, Philippe ; Vedolin, Andrea ; Yen, Yu-Min .
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  374. The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium. (2012). Gospodinov, Nikolay ; Jamali, Ibrahim.
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  401. The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks. (2010). Yadav, Pradeep K. ; Zhang, Yuanyuan ; Taylor, Stephen J..
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  404. Improving Portfolio Selection Using Option-Implied Volatility and Skewness. (2010). Vilkov, Grigory ; Uppal, Raman ; Plyakha, Yuliya ; Demiguel, Victor ; de Miguel, Victor .
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