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Andrea Buraschi

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

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Articles

  1. Andrea Buraschi & Fabio Trojani & Andrea Vedolin, 2014. "When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia," Journal of Finance, American Finance Association, vol. 69(1), pages 101-137, February.

    Cited by:

    1. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
    2. Wang, Hailong & Hu, Duni & Ma, Chaoqun & Cheng, Fengchao, 2020. "Disagreements with noisy signals and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    3. Ruan, Xinfeng & Zhang, Jin E., 2021. "The economics of the financial market for volatility trading," Journal of Financial Markets, Elsevier, vol. 52(C).
    4. Wei Guo & Xinfeng Ruan & Sebastian A. Gehricke & Jin E. Zhang, 2023. "Term spreads of implied volatility smirk and variance risk premium," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 829-857, July.
    5. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015. "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 231-253.
    6. Chen, Rongda & Yu, Jingjing & Jin, Chenglu & Bao, Weiwei, 2019. "Internet finance investor sentiment and return comovement," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 151-161.
    7. Lee A. Smales & Zhangxin (Frank) Liu & Cameron D. Robertson, 2022. "One session options: Playing the announcement lottery?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 192-211, February.
    8. Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia, 2015. "Volatility co-movements: A time-scale decomposition analysis," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 34-44.
    9. Segal, Gill & Shaliastovich, Ivan, 2023. "Uncertainty, risk, and capital growth," SAFE Working Paper Series 388, Leibniz Institute for Financial Research SAFE.
    10. Dan Richards & Heng Yuan & Marcelo Bianconi, 2015. "Equity Prices and Cartel Activity," Discussion Papers Series, Department of Economics, Tufts University 0813, Department of Economics, Tufts University.
    11. Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
    12. Branger, Nicole & Schlag, Christian & Wu, Lue, 2015. "‘Nobody is perfect’: Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 303-333.
    13. Apergis, Nicholas & Lau, Chi Keung & Xu, Bing, 2023. "The impact of COVID-19 on stock market liquidity: Fresh evidence on listed Chinese firms," International Review of Financial Analysis, Elsevier, vol. 90(C).
    14. Wang, Hailong & Hu, Duni, 2021. "Heterogeneous beliefs with herding behaviors and asset pricing in two goods world," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    15. Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017. "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 312-330.
    16. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    17. Calvet, Laurent-Emmanuel & Grandmont, Jean-Michel & Lemaire, Isabelle, 2018. "Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets," Research in Economics, Elsevier, vol. 72(1), pages 117-146.
    18. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2019. "The leverage effect and the basket-index put spread," Journal of Financial Economics, Elsevier, vol. 131(1), pages 186-205.
    19. Bruno Feunou & Ernest Tafolong, 2015. "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers 15-11, Bank of Canada.
    20. Ma, Chaoqun & Wang, Hailong & Cheng, Fengchao & Hu, Duni, 2017. "Asset pricing and institutional investors with disagreements," Economic Modelling, Elsevier, vol. 64(C), pages 231-248.
    21. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2023. "Industry regulation and the comovement of stock returns," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 206-219.
    22. González-Urteaga, Ana & Rubio, Gonzalo, 2016. "The cross-sectional variation of volatility risk premia," Journal of Financial Economics, Elsevier, vol. 119(2), pages 353-370.
    23. Bams, Dennis & Blanchard, Gildas & Honarvar, Iman & Lehnert, Thorsten, 2017. "Does oil and gold price uncertainty matter for the stock market?," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 270-285.
    24. Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015. "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0058, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    25. Hollstein, Fabian & Wese Simen, Chardin, 2020. "Variance risk: A bird’s eye view," Journal of Econometrics, Elsevier, vol. 215(2), pages 517-535.
    26. Gao, Feng & Li, Yubin & Wang, Xinjie & Zhong, Zhaodong (Ken), 2021. "Corporate social responsibility and the term structure of CDS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    27. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    28. Paul Ehling & Christian Heyerdahl-Larsen, 2014. "Correlations," Working Papers 1413, Banco de España.
    29. Pollastri, Alessandro & Rodrigues, Paulo & Schlag, Christian & Seeger, Norman J., 2023. "A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 322-341.
    30. Yin, Libo & Feng, Jiabao & Liu, Li & Wang, Yudong, 2019. "It's not that important: The negligible effect of oil market uncertainty," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 62-84.
    31. Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
    32. Barras, Laurent & Malkhozov, Aytek, 2016. "Does variance risk have two prices? Evidence from the equity and option markets," Journal of Financial Economics, Elsevier, vol. 121(1), pages 79-92.
    33. Gao, George P. & Lu, Xiaomeng & Song, Zhaogang & Yan, Hongjun, 2019. "Disagreement beta," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 96-113.
    34. Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019. "Average skewness matters," Journal of Financial Economics, Elsevier, vol. 134(1), pages 29-47.
    35. Guillaume Coqueret & Bertrand Tavin, 2019. "Procedural rationality, asset heterogeneity and market selection," Post-Print hal-02312310, HAL.
    36. Wolfgang Schadner, 2021. "Feasible Implied Correlation Matrices from Factor Structures," Papers 2107.00427, arXiv.org.
    37. Wang, Hailong & Hu, Duni, 2020. "Disagreement with procyclical beliefs and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    38. Hollstein, Fabian & Prokopczuk, Marcel, 2022. "Testing Factor Models in the Cross-Section," Journal of Banking & Finance, Elsevier, vol. 145(C).
    39. Elyasiani, Elyas & Gambarelli, Luca & Muzzioli, Silvia, 2020. "Moment risk premia and the cross-section of stock returns in the European stock market," Journal of Banking & Finance, Elsevier, vol. 111(C).
    40. Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023. "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, vol. 63(C).
    41. Shi, Yukun & Stasinakis, Charalampos & Xu, Yaofei & Yan, Cheng, 2022. "Market co-movement between credit default swap curves and option volatility surfaces," International Review of Financial Analysis, Elsevier, vol. 82(C).
    42. Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
    43. Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
    44. Eraker, Bjørn & Wu, Yue, 2017. "Explaining the negative returns to volatility claims: An equilibrium approach," Journal of Financial Economics, Elsevier, vol. 125(1), pages 72-98.
    45. Cipollini, Andrea & Lo Cascio, Iolanda & Muzzioli, Silvia, 2018. "Risk aversion connectedness in five European countries," Economic Modelling, Elsevier, vol. 71(C), pages 68-79.
    46. Coqueret, Guillaume & Tavin, Bertrand, 2019. "Procedural rationality, asset heterogeneity and market selection," Journal of Mathematical Economics, Elsevier, vol. 82(C), pages 125-149.
    47. Paolo Guasoni & Kwok Chuen Wong, 2020. "Asset prices in segmented and integrated markets," Finance and Stochastics, Springer, vol. 24(4), pages 939-980, October.
    48. Oleg Sokolinskiy, 2020. "Conditional dependence in post-crisis markets: dispersion and correlation skew trades," Review of Quantitative Finance and Accounting, Springer, vol. 55(2), pages 389-426, August.
    49. Gençay, Ramazan & Pang, Hao & Tseng, Michael C. & Xue, Yi, 2020. "Contagion in a network of heterogeneous banks," Journal of Banking & Finance, Elsevier, vol. 111(C).
    50. Tang, Wenjin & Ding, Saijie & Chen, Hao, 2021. "Economic uncertainty and its spillover networks: Evidence from the Asia-Pacific countries," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    51. Naufa, Ahmad Maulin & Lantara, I Wayan Nuka & Lau, Wee-Yeap, 2019. "The impact of foreign ownership on return volatility, volume, and stock risks: Evidence from ASEAN countries," Economic Analysis and Policy, Elsevier, vol. 64(C), pages 221-235.
    52. Wang, Hailong & Hu, Duni, 2022. "Heterogenous beliefs with sentiments and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    53. Ruan, Xinfeng & Zhang, Jin E., 2021. "Time-varying uncertainty and variance risk premium," Journal of Macroeconomics, Elsevier, vol. 69(C).
    54. Huang, Wenli & Li, Shi & Qi, Zhen & Zhang, Qi, 2022. "Macro disagreement and international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    55. Wang, Hailong & Hu, Duni, 2024. "Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    56. Li, Huijing & Li, Hong & Lu, Lei & Theocharides, George & Xiong, Xiong, 2020. "Macro disagreement and international options markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    57. Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2016. "Stock Illiquidity, option prices, and option returns," CFR Working Papers 16-08, University of Cologne, Centre for Financial Research (CFR).
    58. Byounghyun Jeon & Sung Won Seo & Jun Sik Kim, 2020. "Uncertainty and the volatility forecasting power of option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1109-1126, July.
    59. Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2014. "Volatility risk premia and financial connectedness," Department of Economics 0047, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    60. Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2014. "Volatility risk premia and financial connectedness," Center for Economic Research (RECent) 109, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    61. Gong, Qiang & Jacoby, Gady & Li, Shi & Lu, Lei, 2021. "Commonality in disagreement," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    62. Wolfgang Schadner & Joshua Traut, 2022. "Estimating Forward-Looking Stock Correlations from Risk Factors," Mathematics, MDPI, vol. 10(10), pages 1-19, May.
    63. Laurent Barras & Aytek Malkhozov, 2015. "Does variance risk have two prices? Evidence from the equity and option markets," BIS Working Papers 521, Bank for International Settlements.
    64. Buss, Adrian & Vilkov, Grigory & ,, 2018. "Expected Correlation and Future Market Returns," CEPR Discussion Papers 12760, C.E.P.R. Discussion Papers.
    65. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.

  2. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.

    Cited by:

    1. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
    2. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
    3. Francis Breedon & Dagfinn Rime & Paolo Vital, 2010. "A Transaction Data Study of the Forward Bias Puzzle," Working Paper 2010/26, Norges Bank.
    4. Siddiqi, Hammad, 2015. "Analogy Based Valuation of Currency Options," MPRA Paper 62333, University Library of Munich, Germany.
    5. Siddiqi, Hammad, 2015. "Analogy Based Valuation of Currency Options," Risk and Sustainable Management Group Working Papers 198776, University of Queensland, School of Economics.
    6. Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
    7. Corsetti, Giancarlo & Lafarguette, Romain & Mehl, Arnaud, 2019. "Fast trading and the virtue of entropy: evidence from the foreign exchange market," Working Paper Series 2300, European Central Bank.
    8. Fong, Wai Mun, 2013. "Footprints in the market: Hedge funds and the carry trade," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 41-59.
    9. Roh, Tai-Yong & Byun, Suk Joon & Xu, Yahua, 2020. "Downside uncertainty shocks in the oil and gold markets," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 291-307.
    10. Calvet, Laurent-Emmanuel & Grandmont, Jean-Michel & Lemaire, Isabelle, 2018. "Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets," Research in Economics, Elsevier, vol. 72(1), pages 117-146.
    11. Gauvin, Ludovic & McLoughlin, Cameron & Reinhardt, Dennis, 2014. "Policy uncertainty spillovers to emerging markets – evidence from capital flows," Bank of England working papers 512, Bank of England.
    12. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    13. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
    14. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    15. Sercan Eraslan, 2019. "Asymmetric arbitrage trading on offshore and onshore renminbi markets," Empirical Economics, Springer, vol. 57(5), pages 1653-1675, November.
    16. Carl Chen & Peter Lung & F. Wang, 2013. "Where are the sources of stock market mispricing and excess volatility?," Review of Quantitative Finance and Accounting, Springer, vol. 41(4), pages 631-650, November.
    17. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," Risk and Sustainable Management Group Working Papers 187407, University of Queensland, School of Economics.
    18. Kearney, Fearghal & Murphy, Finbarr & Cummins, Mark, 2015. "An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 199-216.
    19. Seojin Lee & Young Min Kim, 2020. "Effect of foreign exchange intervention: The case of Korea," Pacific Economic Review, Wiley Blackwell, vol. 25(5), pages 641-659, December.
    20. Uppal, Raman & Bhamra, Harjoat Singh, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers 9459, C.E.P.R. Discussion Papers.
    21. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015, January-A.
    22. Kostakis, Alexandros & Mu, Liangyi & Otsubo, Yoichi, 2023. "Detecting political event risk in the option market," Journal of Banking & Finance, Elsevier, vol. 146(C).
    23. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2015. "Exchange rate forecasts and expected fundamentals," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 235-256.
    24. Gao, George P. & Lu, Xiaomeng & Song, Zhaogang & Yan, Hongjun, 2019. "Disagreement beta," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 96-113.
    25. Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," MPRA Paper 63218, University Library of Munich, Germany.
    26. Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance, revised Oct 2019.
    27. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    28. Vithessonthi, Chaiporn & Tongurai, Jittima, 2016. "Financial markets development, business cycles, and bank risk in South America," Research in International Business and Finance, Elsevier, vol. 36(C), pages 472-484.
    29. Daniel, Kent & Hodrick, Robert J. & Lu, Zhongjin, 2017. "The Carry Trade: Risks and Drawdowns," Critical Finance Review, now publishers, vol. 6(2), pages 211-262, September.
    30. Michael Funke & Julius Loermann & Richhild Moessner, 2017. "The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?," BIS Working Papers 652, Bank for International Settlements.
    31. Katarzyna Czech & Michał Wielechowski & Pavel Kotyza & Irena Benešová & Adriana Laputková, 2020. "Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets," Sustainability, MDPI, vol. 12(15), pages 1-19, August.
    32. Arthur Beddock & Elyès Jouini, 2021. "Live fast, die young: equilibrium and survival in large economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 961-996, April.
    33. Huisman, Ronald & Van der Sar, Nico L. & Zwinkels, Remco C.J., 2021. "Volatility expectations and disagreement," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 379-393.
    34. Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
    35. Han, Liyan & Liu, Yang & Yin, Libo, 2019. "Uncertainty and currency performance: A quantile-on-quantile approach," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 702-729.
    36. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
    37. Milan Nedeljkovic & Christian Saborowski, 2018. "The Relative Effectiveness of Spot and Derivatives Based Intervention," CESifo Working Paper Series 7127, CESifo.
    38. Goddard, John & Kita, Arben & Wang, Qingwei, 2015. "Investor attention and FX market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 79-96.
    39. Siddiqi, Hammad, 2015. "Explaining the Smile in Currency Options: Is it Anchoring?," MPRA Paper 63528, University Library of Munich, Germany.
    40. Riccardo Colacito & Mariano M. Croce, 2012. "International Robust Disagreement," American Economic Review, American Economic Association, vol. 102(3), pages 152-155, May.
    41. Vithessonthi, Chaiporn, 2014. "The effect of financial market development on bank risk: evidence from Southeast Asian countries," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 249-260.
    42. Li, Huijing & Li, Hong & Lu, Lei & Theocharides, George & Xiong, Xiong, 2020. "Macro disagreement and international options markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    43. Byounghyun Jeon & Sung Won Seo & Jun Sik Kim, 2020. "Uncertainty and the volatility forecasting power of option‐implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1109-1126, July.
    44. Peter C. Dawson, 2015. "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, vol. 47(6), pages 569-598, February.
    45. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
    46. Saskia ter Ellen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2016. "Agreeing on disagreement: heterogeneity or uncertainty?," Working Paper 2016/4, Norges Bank.
    47. Karim M. Abadir, 2013. "Lies, Damned Lies, and Statistics? Examples From Finance and Economics," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(4), pages 231-248, December.
    48. Eraslan, Sercan, 2017. "Asymmetric arbitrage trading on offshore and onshore renminbi markets," Discussion Papers 13/2017, Deutsche Bundesbank.

  3. Andrea Buraschi & Paolo Porchia & Fabio Trojani, 2010. "Correlation Risk and Optimal Portfolio Choice," Journal of Finance, American Finance Association, vol. 65(1), pages 393-420, February.

    Cited by:

    1. Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
    2. Leovardo Mata Mata & José Antonio Núñez Mora & Ramona Serrano Bautista, 2021. "Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China," SAGE Open, , vol. 11(2), pages 21582440211, April.
    3. Zhaoyuan Li & Maozai Tian, 2017. "A New Method For Dynamic Stock Clustering Based On Spectral Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 373-392, October.
    4. Suleyman Basak & Georgy Chabakauri, 2011. "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers dp680, Financial Markets Group.
    5. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    6. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    7. Song, Jae Wook & Ko, Bonggyun & Cho, Poongjin & Chang, Woojin, 2016. "Time-varying causal network of the Korean financial system based on firm-specific risk premiums," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 287-302.
    8. Costas Siriopoulos & Athanasios Fassas, 2013. "Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices," Review of Derivatives Research, Springer, vol. 16(3), pages 233-266, October.
    9. Jensen, Mark J. & Maheu, John M., 2013. "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
    10. Matthias Pelster, 2015. "Marketable and non-hedgeable risk in a duopoly framework with hedging," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 697-716, October.
    11. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015. "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 231-253.
    12. Johannes König & Maximilian Longmuir, 2021. "Wage Risk and Portfolio Choice: The Role of Correlated Returns," Discussion Papers of DIW Berlin 1974, DIW Berlin, German Institute for Economic Research.
    13. Mayerhofer, Eberhard & Pfaffel, Oliver & Stelzer, Robert, 2011. "On strong solutions for positive definite jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 121(9), pages 2072-2086, September.
    14. Yichen Zhu & Marcos Escobar-Anel & Matt Davison, 2023. "A Polynomial-Affine Approximation for Dynamic Portfolio Choice," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1177-1213, October.
    15. Pourkhanali, Armin & Kim, Jong-Min & Tafakori, Laleh & Fard, Farzad Alavi, 2016. "Measuring systemic risk using vine-copula," Economic Modelling, Elsevier, vol. 53(C), pages 63-74.
    16. Da Fonseca, José, 2016. "On moment non-explosions for Wishart-based stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 889-894.
    17. Robertson, Scott & Xing, Hao, 2015. "Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient," LSE Research Online Documents on Economics 60578, London School of Economics and Political Science, LSE Library.
    18. Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.
    19. Packham, Natalie & Woebbeking, Fabian, 2021. "Correlation scenarios and correlation stress testing," IRTG 1792 Discussion Papers 2021-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    20. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
    21. Immacolata Oliva & Ilaria Stefani, 2023. "Co-jumps and recursive preferences in portfolio choices," Annals of Finance, Springer, vol. 19(3), pages 291-324, September.
    22. Nicole Branger & Matthias Muck & Stefan Weisheit, 2019. "Correlation risk and international portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 128-146, January.
    23. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    24. N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
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  4. Andrea Buraschi & Alexei Jiltsov, 2007. "Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 62(6), pages 3009-3063, December.

    Cited by:

    1. Hördahl, Peter & Tristani, Oreste & Vestin, David, 2007. "The yield curve and macroeconomic dynamics," Working Paper Series 832, European Central Bank.
    2. Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
    3. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
    4. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
    5. Daniel Paravisini & Veronica Rappoport & Enrichetta Ravina, 2017. "Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios," Management Science, INFORMS, vol. 63(2), pages 279-297, February.
    6. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
    7. Manuel A. Gómez, 2010. "The welfare cost of external habits: a quantitative assessment," Estudios de Economia, University of Chile, Department of Economics, vol. 37(1 Year 20), pages 5-26, June.
    8. Kaszab, Lorant & Marsal, Ales, 2013. "Fiscal Policy and the Nominal Term Premium," Cardiff Economics Working Papers E2013/13, Cardiff University, Cardiff Business School, Economics Section.
    9. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc.
    10. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, Department of Economics and Business Economics, Aarhus University.
    11. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    12. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
    13. Robert Östling & Erik Lindqvist & David Cesarini & Joseph Briggs, 2016. "Wealth, Portfolio Allocations, and Risk Preference," 2016 Meeting Papers 1089, Society for Economic Dynamics.
    14. Vayanos, Dimitri & Vila, Jean-Luc, 2021. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 106509, London School of Economics and Political Science, LSE Library.
    15. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models," Review of Finance, European Finance Association, vol. 21(2), pages 511-553.
    16. Johdo, Wataru, 2009. "Habit persistence and stagnation," Economic Modelling, Elsevier, vol. 26(5), pages 1110-1114, September.
    17. Adrien Verdelhan, 2006. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Computing in Economics and Finance 2006 217, Society for Computational Economics.
    18. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
    19. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
    20. Luis Viceira & Carolin Pflueger & John Campbell, 2014. "Monetary Policy Drivers of Bond and Equity Risks," 2014 Meeting Papers 137, Society for Economic Dynamics.
    21. Campbell, John Y. & Sunderam, Adi & Viceira, Luis M., 2017. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," Critical Finance Review, now publishers, vol. 6(2), pages 263-301, September.
    22. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.
    23. Zhu, Xiaoneng & Rahman, Shahidur, 2015. "A regime-switching Nelson–Siegel term structure model of the macroeconomy," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 1-17.
    24. Maio, Paulo & Zeng, Ming, 2023. "On the driving forces of real exchange rates: Is the Japanese Yen different?," Journal of Empirical Finance, Elsevier, vol. 74(C).
    25. Constantin Anghelache & Marius Popovici & Alina – Georgiana Solomon & Emilia Stanciu, 2017. "Aggregates in Real Expression and Price Indices by Deflation," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(6), pages 1053-1060, June.
    26. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2024. "Predicting Bond Return Predictability," Management Science, INFORMS, vol. 70(2), pages 931-951, February.
    27. Hassan Shareef & Santhakumar Shijin, 2016. "Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(2), pages 137-152, June.
    28. Markus Leippold & Felix Matthys, 2022. "Economic Policy Uncertainty and the Yield Curve [Pricing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(4), pages 751-797.
    29. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
    30. Curatola, Giuliano, 2015. "Loss aversion, habit formation and the term structures of equity and interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 103-122.
    31. Wang, Hailong & Hu, Duni, 2020. "Disagreement with procyclical beliefs and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    32. Gómez Manuel A., 2010. "Endogenous Growth, Habit Formation and Convergence Speed," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-32, January.
    33. Roman Horvath & Lorant Kaszab & Ales Marsal, 2022. "Interest rate rules and inflation risks in a macro‐finance model," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(4), pages 416-440, September.
    34. Zhao, Yang & Yao, Yuan & Wang, Mingtao, 2024. "Risk-free rate puzzle: An explanation of the heterogeneity of consumer risk attitudes under China's income gap," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 940-960.
    35. Roberto Marfè, 2016. "Labor Rigidity, In ation Risk and Bond Returns," Carlo Alberto Notebooks 461, Collegio Carlo Alberto.
    36. Frederik Lundtofte, 2006. "The Quality of Public Information and The Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series 06-24, Swiss Finance Institute, revised Sep 2006.
    37. Du, Du, 2011. "General equilibrium pricing of options with habit formation and event risks," Journal of Financial Economics, Elsevier, vol. 99(2), pages 400-426, February.
    38. Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," CERGE-EI Working Papers wp677, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    39. Hyde, Stuart & Sherif, Mohamed, 2010. "Consumption asset pricing and the term structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(1), pages 99-109, February.
    40. Morita, Hiroshi & Okimoto, Tatsuyoshi, 2021. "The interest rate determination when economic variables are partially observable," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    41. Qiang Dai & Olesya V. Grishchenko, 2011. "An empirical investigation of consumption-based asset pricing models with stochastic habit formation," Finance and Economics Discussion Series 2011-47, Board of Governors of the Federal Reserve System (U.S.).
    42. Maio, Paulo & Silva, André C., 2020. "Asset pricing implications of money: New evidence," Journal of Banking & Finance, Elsevier, vol. 120(C).
    43. Lou, Jun & Wong, Tat Wing & Fung, Ka Wai Terence & Shaende, Jonas J. Nazimoff, 2021. "Stock and bond joint pricing, consumption surplus, and inflation news," Research in International Business and Finance, Elsevier, vol. 58(C).
    44. Dahlquist, Magnus & Hasseltoft, Henrik, 2013. "International Bond Risk Premia," Journal of International Economics, Elsevier, vol. 90(1), pages 17-32.
    45. Zhu, Xiaoneng, 2015. "Out-of-sample bond risk premium predictions: A global common factor," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 155-173.
    46. Engsted, Tom & Hyde, Stuart & Møller, Stig V., 2010. "Habit formation, surplus consumption and return predictability: International evidence," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1237-1255, November.

  5. Andrea Buraschi & Alexei Jiltsov, 2006. "Model Uncertainty and Option Markets with Heterogeneous Beliefs," Journal of Finance, American Finance Association, vol. 61(6), pages 2841-2897, December.

    Cited by:

    1. Wang, Hailong & Hu, Duni & Ma, Chaoqun & Cheng, Fengchao, 2020. "Disagreements with noisy signals and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    2. François Legrand & Xavier Ragot, 2015. "Incomplete markets and derivative assets," PSE-Ecole d'économie de Paris (Postprint) halshs-01513312, HAL.
    3. Białkowski, Jędrzej & Dang, Huong Dieu & Wei, Xiaopeng, 2022. "High policy uncertainty and low implied market volatility: An academic puzzle?," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1185-1208.
    4. Liu, Qing & Wang, Shouyang & Sui, Cong, 2023. "Risk appetite and option prices: Evidence from the Chinese SSE50 options market," International Review of Financial Analysis, Elsevier, vol. 86(C).
    5. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
    6. Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022. "Asymmetric network connectedness of fears," LSE Research Online Documents on Economics 108199, London School of Economics and Political Science, LSE Library.
    7. Nicolas S. Magner & Nicolás Hardy & Tiago Ferreira & Jaime F. Lavin, 2023. "“Agree to Disagree”: Forecasting Stock Market Implied Volatility Using Financial Report Tone Disagreement Analysis," Mathematics, MDPI, vol. 11(7), pages 1-16, March.
    8. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
    9. Bernstein, Asaf & Billings, Stephen B. & Gustafson, Matthew T. & Lewis, Ryan, 2022. "Partisan residential sorting on climate change risk," Journal of Financial Economics, Elsevier, vol. 146(3), pages 989-1015.
    10. ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
    11. Arben Kita & Daniel L. Tortorice, 2021. "Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation‐Protected Securities of Six Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1417-1448, September.
    12. Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option pricing revisited: The role of price volatility and dynamics," Journal of Commodity Markets, Elsevier, vol. 33(C).
    13. Xue-Zhong He & Lei Shi, 2012. "Disagreement in a Multi-Asset Market," International Review of Finance, International Review of Finance Ltd., vol. 12(3), pages 357-373, September.
    14. Nikolaus Hautsch & Dieter Hess & Christoph Müller, 2008. "Price Adjustment to News with Uncertain Precision," FRU Working Papers 2008/01, University of Copenhagen. Department of Economics. Finance Research Unit.
    15. Lee A. Smales & Zhangxin (Frank) Liu & Cameron D. Robertson, 2022. "One session options: Playing the announcement lottery?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 192-211, February.
    16. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
    17. Xue-Zhong He & Lei Shi & Min Zheng, 2012. "Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs," Research Paper Series 302, Quantitative Finance Research Centre, University of Technology, Sydney.
    18. Nappo, Giovanna & Marchetti, Fabio Massimo & Vagnani, Gianluca, 2023. "Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets," Finance Research Letters, Elsevier, vol. 53(C).
    19. Shih-Ping Feng & Bi-Juan Chang, 2020. "Limits Of Arbitrage, Risk-Neutral Skewness, And Investor Sentiment," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 14(2), pages 61-71.
    20. Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010. "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," NBER Working Papers 16035, National Bureau of Economic Research, Inc.
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  6. Buraschi, Andrea & Corielli, Francesco, 2005. "Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2883-2907, November.

    Cited by:

    1. A. Falco & LL. Navarro & J. Nave, 2010. "On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 495-504.
    2. Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev, 2021. "The incremental information in the yield curve about future interest rate risk," CREATES Research Papers 2021-11, Department of Economics and Business Economics, Aarhus University.
    3. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, August.
    4. Lioui, Abraham, 2013. "Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1066-1096.
    5. Tao L. Wu & Shengqiang Xu, 2014. "A Random Field LIBOR Market Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(6), pages 580-606, June.

  7. Buraschi, Andrea & Jiltsov, Alexei, 2005. "Inflation risk premia and the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 75(2), pages 429-490, February.

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    1. Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020. "The term structure and inflation uncertainty," Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
    2. Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019. "Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1053-1096, August.
    3. Hördahl, Peter & Tristani, Oreste & Vestin, David, 2007. "The yield curve and macroeconomic dynamics," Working Paper Series 832, European Central Bank.
    4. Ed Westerhout & Ona Ciocyte, 2017. "The role of inflation-linked bonds," CPB Discussion Paper 344, CPB Netherlands Bureau for Economic Policy Analysis.
    5. Chen, Ren-Raw & Liu, Bo & Cheng, Xiaolin, 2010. "Pricing the term structure of inflation risk premia: Theory and evidence from TIPS," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 702-721, September.
    6. Kliem, Martin & Meyer-Gohde, Alexander, 2017. "(Un)expected Monetary Policy Shocks and Term Premia," SFB 649 Discussion Papers 2017-015, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
    8. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
    9. Casper de Vries & Xuedong Wang, 2015. "Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 15-066/VI, Tinbergen Institute.
    10. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    11. Peter Hördahl, 2008. "The inflation risk premium in the term structure of interest rates," BIS Quarterly Review, Bank for International Settlements, September.
    12. Duarte, Diogo & Saporito, Yuri F., 2019. "Endogenous asymmetric money illusion," Journal of Banking & Finance, Elsevier, vol. 109(C).
    13. Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Bank of Finland Research Discussion Papers 25/2006, Bank of Finland.
    14. Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
    15. Peter Tillmann, 2018. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," GRU Working Paper Series GRU_2018_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    16. Grishchenko, Olesya V., 2011. "Asset pricing in the production economy subject to monetary shocks," Journal of Economics and Business, Elsevier, vol. 63(3), pages 187-216, May.
    17. Bruno Feunou & Zabi Tarshi, 2024. "Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada," Discussion Papers 2024-09, Bank of Canada.
    18. Buraschi, Andrea & Corielli, Francesco, 2005. "Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2883-2907, November.
    19. Koziol, Philipp, 2014. "Inflation and interest rate derivatives for FX risk management: Implications for exporting firms under real wealth," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 459-472.
    20. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc.
    21. Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
    22. Christensen, Jens H. E. & Zhang, Xin, 2024. "Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy," Working Paper Series 434, Sveriges Riksbank (Central Bank of Sweden).
    23. Olesya V. Grishchenko & Jing-zhi Huang, 2012. "Inflation risk premium: evidence from the TIPS market," Finance and Economics Discussion Series 2012-06, Board of Governors of the Federal Reserve System (U.S.).
    24. Marie Briere & Ombretta Signori, 2013. "Hedging inflation risk in a developing economy: The case of Brazil," ULB Institutional Repository 2013/167772, ULB -- Universite Libre de Bruxelles.
    25. Juha Seppala & Federico Ravenna, 2007. "Monetary Policy, Expected Inflation, and Inflation Risk Premium," 2007 Meeting Papers 513, Society for Economic Dynamics.
    26. Andrea Berardi, 2013. "Inflation Risk Premia, Yield Volatility and Macro Factors," Working Papers 27/2013, University of Verona, Department of Economics.
    27. Carolin E. Pflueger & Luis M. Viceira, 2011. "Inflation-Indexed Bonds and the Expectations Hypothesis," NBER Working Papers 16903, National Bureau of Economic Research, Inc.
    28. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
    29. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Staff Working Papers 12-37, Bank of Canada.
    30. Leo Krippner, 2005. "A New Framework for Yield Curve, Output and Inflation Relationships," Working Papers in Economics 05/07, University of Waikato.
    31. Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche 0907, CIRPEE.
    32. Basse, Tobias & Wegener, Christoph, 2022. "Inflation expectations: Australian consumer survey data versus the bond market," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 416-430.
    33. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers 07/29, Department of Economics, University of York.
    34. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
    35. Hatcher, Michael, 2013. "The Inflation Risk Premium on Government Debt in an Overlapping Generations Model," SIRE Discussion Papers 2013-81, Scottish Institute for Research in Economics (SIRE).
    36. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
    37. Haensly, Paul J., 2016. "Is a pure TIPS strategy truly risk free?," Review of Financial Economics, Elsevier, vol. 28(C), pages 1-20.
    38. Konchitchki, Yaniv & Xie, Jin, 2023. "Undisclosed material inflation risk," Journal of Monetary Economics, Elsevier, vol. 140(S), pages 82-100.
    39. Andreas Reschreiter, 2010. "Indexed bonds and revisions of inflation expectations," Annals of Finance, Springer, vol. 6(4), pages 537-554, October.
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    41. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
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    43. Christopher Bowdler & Adeel Malik, 2005. "Openness and inflation volatility: cross-country evidence," CSAE Working Paper Series 2005-08, Centre for the Study of African Economies, University of Oxford.
    44. Jylhä, Petri & Suominen, Matti, 2011. "Speculative capital and currency carry trades," Journal of Financial Economics, Elsevier, vol. 99(1), pages 60-75, January.
    45. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, January.
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    60. Ralph S.J. Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007. "Mortgage Timing," NBER Working Papers 13361, National Bureau of Economic Research, Inc.
    61. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
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    66. Joseph G. Haubrich & George Pennacchi & Peter H. Ritchken, 2008. "Estimating real and nominal term structures using Treasury yields, inflation, inflation forecasts, and inflation swap rates," Working Papers (Old Series) 0810, Federal Reserve Bank of Cleveland.
    67. Mr. Prakash Kannan, 2008. "Perspectives on High Real Interest Rates in Turkey," IMF Working Papers 2008/251, International Monetary Fund.
    68. Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar, 2024. "Sovereign Risk and Economic Complexity," IDB Publications (Working Papers) 13393, Inter-American Development Bank.
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    72. Ho, Hsiao-Wei & Huang, Henry H. & Yildirim, Yildiray, 2014. "Affine model of inflation-indexed derivatives and inflation risk premium," European Journal of Operational Research, Elsevier, vol. 235(1), pages 159-169.
    73. Lioui, Abraham & Poncet, Patrice, 2005. "General equilibrium pricing of CPI derivatives," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1265-1294, May.
    74. Federico Ravenna & University of California & Juha Seppala & University of Illinois, 2006. "Monetary Policy and the Term Structure of Interest Rates," Computing in Economics and Finance 2006 197, Society for Computational Economics.
    75. Ono, Sadayuki, 2019. "Term structure dynamics in a monetary economy with learning," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 730-745.
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    81. Westerhout, Ed & Ciocyte, Ona, 2017. "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Discussion Paper 2017-027, Tilburg University, Center for Economic Research.
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    85. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Discussion Paper 2006-78, Tilburg University, Center for Economic Research.
    86. Olesya V. Grishchenko & Joel M. Vanden & Jianing Zhang, 2011. "The information content of the embedded deflation pption in TIPS," Finance and Economics Discussion Series 2011-58, Board of Governors of the Federal Reserve System (U.S.).
    87. Westerhout, Ed & Ciocyte, Ona, 2017. "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Other publications TiSEM 08878bbd-e76e-4216-bee9-b, Tilburg University, School of Economics and Management.
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    96. Argyropoulos, Efthymios & Tzavalis, Elias, 2021. "The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 785-796.

  8. Buraschi, Andrea & Menini, Davide, 2002. "Liquidity risk and specialness," Journal of Financial Economics, Elsevier, vol. 64(2), pages 243-284, May.

    Cited by:

    1. Stefania D'Amico & Roger Fan & Yuriy Kitsul, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
    2. Schulz, Alexander & Stapf, Jelena, 2009. "Price discovery on traded inflation expectations: does the financial crisis matter?," Discussion Paper Series 1: Economic Studies 2009,25, Deutsche Bundesbank.
    3. Ewerhart, Christian & Tapking, Jens, 2008. "Repo markets, counterparty risk and the 2007/2008 liquidity crisis," Working Paper Series 909, European Central Bank.
    4. Benedikt Ballensiefen & Angelo Ranaldo, 2019. "Safe Asset Carry Trade," Working Papers on Finance 1909, University of St. Gallen, School of Finance, revised Oct 2019.
    5. Maria Ludovica Drudi & Giulio Carlo Venturi, 2023. "Assessing the liquidity premium in the Italian bond market," Questioni di Economia e Finanza (Occasional Papers) 795, Bank of Italy, Economic Research and International Relations Area.
    6. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 204-228, April.
    7. Yuriy Kitsul & Marcelo Ochoa, 2016. "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series 2016-052, Board of Governors of the Federal Reserve System (U.S.).
    8. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers 16892, National Bureau of Economic Research, Inc.
    9. Graveline, Jeremy J. & McBrady, Matthew R., 2011. "Who makes on-the-run Treasuries special?," Journal of Financial Intermediation, Elsevier, vol. 20(4), pages 620-632, October.
    10. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2002. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," NBER Working Papers 8990, National Bureau of Economic Research, Inc.
    11. Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B., 2010. "Banking and sovereign risk in the euro area," Discussion Paper Series 1: Economic Studies 2010,09, Deutsche Bundesbank.
    12. Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2016. "The Euro Interbank Repo Market," The Review of Financial Studies, Society for Financial Studies, vol. 29(7), pages 1747-1779.
    13. Nyborg, Kjell, 2015. "Central Bank Collateral Frameworks," CEPR Discussion Papers 10663, C.E.P.R. Discussion Papers.
    14. Longstaff, Francis A. & Mithal, Sanjay & Neis, Eric, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, previously titled: "The Credit-Default Swap Market: Is Credit Protection Priced Correctly?&qu," University of California at Los Angeles, Anderson Graduate School of Management qt8gn7h03k, Anderson Graduate School of Management, UCLA.
    15. W. Arrata & B. Nguyen & I. Rahmouni-Rousseau & M. Vari, 2017. "Eurosystem’s asset purchases and money market rates," Working papers 652, Banque de France.
    16. Corradin, Stefano & Maddaloni, Angela, 2017. "The importance of being special: repo markets during the crisis," Working Paper Series 2065, European Central Bank.
    17. Marcello Pericoli & Marco Taboga, 2015. "Decomposing euro area sovereign spreads: credit, liquidity and convenience," Temi di discussione (Economic working papers) 1021, Bank of Italy, Economic Research and International Relations Area.
    18. Vayanos, Dimitri & Weill, Pierre-Olivier, 2006. "A Search-Based Theory of the On-the-Run Phenomenon," CEPR Discussion Papers 5965, C.E.P.R. Discussion Papers.
    19. Eisenschmidt, Jens & Ma, Yiming & Zhang, Anthony Lee, 2024. "Monetary policy transmission in segmented markets," Journal of Financial Economics, Elsevier, vol. 151(C).
    20. Justus Inhoffen & Iman van Lelyveld, 2023. "Safe Asset Scarcity and Re-use in the European Repo Market," Working Papers 787, DNB.
    21. Brand, Claus & Ferrante, Lorenzo & Hubert, Antoine, 2019. "From cash- to securities-driven euro area repo markets: the role of financial stress and safe asset scarcity," Working Paper Series 2232, European Central Bank.
    22. Narayan Bulusu & Sermin Gungor, 2018. "Government of Canada Securities in the Cash, Repo and Securities Lending Markets," Discussion Papers 18-4, Bank of Canada.
    23. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers 10418, National Bureau of Economic Research, Inc.
    24. Greppmair, Stefan & Jank, Stephan, 2023. "Collateral scarcity and market functioning: Insights from the eurosystem securities lending facilities," Discussion Papers 31/2023, Deutsche Bundesbank.
    25. Baba, Naohiko & Inamura, Yasunari, 2004. "The Japanese Repo Market: Theory and Evidence," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(1), pages 65-90, March.
    26. Groh, Alexander P., 2004. "Risikoadjustierte Performance von Private Equity-Investitionen," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 21382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    27. Guagliano, Claudia & Mazzacurati, Julien, 2017. "Collateral scarcity premia in euro area repo markets," ESRB Working Paper Series 55, European Systemic Risk Board.
    28. Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003. "The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market," CEPR Discussion Papers 3900, C.E.P.R. Discussion Papers.
    29. Arianna Miglietta & Cristina Picillo & Mario Pietrunti, 2015. "The impact of CCPs� margin policies on Repo markets," Temi di discussione (Economic working papers) 1028, Bank of Italy, Economic Research and International Relations Area.
    30. Nyborg, Kjell G., 2017. "Reprint of: Central bank collateral frameworks," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 232-248.
    31. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2006. "The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2337-2360, September.
    32. Fan, Longzhen & Zhang, Chu, 2007. "Beyond segmentation: The case of China's repo markets," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 939-954, March.
    33. Tobe, Reiko & Uno, Jun, 2024. "Central bank asset purchases and lending: Impact on search frictions," Journal of Financial Intermediation, Elsevier, vol. 58(C).
    34. Alexander Schulz & Jelena Stapf, 2011. "Price discovery on traded inflation expectations: does the financial crisis matter?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 202-231, Bank for International Settlements.
    35. Suresh Sundaresan & Zhenyu Wang, 2006. "Y2K options and the liquidity premium in Treasury bond markets," Staff Reports 266, Federal Reserve Bank of New York.
    36. William Arrata & Benoit Nguyen & Imene Rahmouni-Rousseau & Miklos Vari, 2018. "The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area," IMF Working Papers 2018/258, International Monetary Fund.
    37. Amara, Tijani & Mabrouki, Mohamed, 2019. "Impact de risque de crédit et de liquidité sur la stabilité bancaire [Impact of liquidity and credit risks on the bank stability]," MPRA Paper 95453, University Library of Munich, Germany.
    38. Stefania D’Amico & N Aaron Pancost, 2022. "Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium [Pr icing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(1), pages 117-162.
    39. Jean-Sébastien Fontaine & René Garcia & Sermin Gungor, 2016. "Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns," CIRANO Working Papers 2016s-21, CIRANO.
    40. Tomás Carrera de Souza & Tom Hudepohl, 2022. "The Eurosystem’s bond market share at an all-time high: what does it mean for repo markets?," Working Papers 745, DNB.
    41. Arrata, William & Nguyen, Benoît & Rahmouni-Rousseau, Imène & Vari, Miklos, 2020. "The scarcity effect of QE on repo rates: Evidence from the euro area," Journal of Financial Economics, Elsevier, vol. 137(3), pages 837-856.
    42. Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 217-242.
    43. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
    44. Ranaldo, Angelo & Rupprecht, Matthias, 2016. "The Forward Premium in Short-Term Rates," Working Papers on Finance 1619, University of St. Gallen, School of Finance, revised Sep 2019.
    45. David Goldreich & Bernd Hanke & Purnendu Nath, 2005. "The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market," Review of Finance, Springer, vol. 9(1), pages 1-32, March.
    46. Viktoria Baklanova & Cecilia Caglio & Marco Cipriani & Adam Copeland, 2019. "The Use of Collateral in Bilateral Repurchase and Securities Lending Agreements," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 228-249, July.
    47. Neily, Oussama & Neily, Mohamed, 2022. "Liquidity and credit problems and the effect on the soundness of Tunisian groups (GDA )," MPRA Paper 114180, University Library of Munich, Germany.
    48. Carrera de Souza, Tomás & Hudepohl, Tom, 2024. "Frictions in scaling up central bank balance sheet policies: How Eurosystem asset purchases impact the repo market," Journal of Banking & Finance, Elsevier, vol. 158(C).
    49. Jappelli, Ruggero & Pelizzon, Loriana & Subrahmanyam, Marti G., 2023. "Quantitative easing, the repo market, and the term structure of interest rates," SAFE Working Paper Series 395, Leibniz Institute for Financial Research SAFE.

  9. Buraschi, Andrea & Jackwerth, Jens, 2001. "The Price of a Smile: Hedging and Spanning in Option Markets," The Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 495-527.

    Cited by:

    1. Todd Feldman & Shuming Liu, 2018. "A New Predictive Measure Using Agent-Based Behavioral Finance," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 941-959, April.
    2. Cremers, Martijn & Driessen, Joost & Maenhout, Pascal & Weinbaum, David, 2008. "Individual stock-option prices and credit spreads," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2706-2715, December.
    3. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
    4. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
    5. Constantinides, George M. & Lian, Lei, 2021. "The Supply and Demand of S&P 500 Put Options," Critical Finance Review, now publishers, vol. 10(1), pages 1-20, April.
    6. Shackleton, Mark B. & Voukelatos, Nikolaos, 2013. "Hedging efficiency in the Greek options market before and after the financial crisis of 2008," Journal of Multinational Financial Management, Elsevier, vol. 23(1), pages 1-18.
    7. René Garcia & Richard Luger & Éric Renault, 2005. "Viewpoint: Option prices, preferences, and state variables," Canadian Journal of Economics, Canadian Economics Association, vol. 38(1), pages 1-27, February.
    8. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
    9. Brennan, Michael J & LIU, XIAOQUAN & Xia, Yihong, 2005. "Option Pricing Kernels and the ICAPM," University of California at Los Angeles, Anderson Graduate School of Management qt4d90p8ss, Anderson Graduate School of Management, UCLA.
    10. Carol Alexander & Leonardo Nogueira, 2007. "Model-free price hedge ratios for homogeneous claims on tradable assets," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 473-479.
    11. Hui Guo & Jason Higbee & Christopher J. Neely, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis.
    12. Yanhui Chen & Kin Lai & Jiangze Du, 2014. "Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 113-132, December.
    13. Delisle, R. Jared & Lee, Bong Soo & Mauck, Nathan, 2012. "The dynamic relation between short sellers, option traders, and aggregate returns," MPRA Paper 42566, University Library of Munich, Germany.
    14. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2011. "Can standard preferences explain the prices of out-of-the-money S&P 500 put options?," Working Paper Series WP-2011-11, Federal Reserve Bank of Chicago.
    15. Charles Cao & Jing-Zhi Huang, 2007. "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, vol. 10(1), pages 1-38, January.
    16. Alfredo Ibáñez, 2008. "The cross-section of average delta-hedge option returns under stochastic volatility," Review of Derivatives Research, Springer, vol. 11(3), pages 205-244, October.
    17. Pierre Collin‐Dufresne & Robert S. Goldstein, 2002. "Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility," Journal of Finance, American Finance Association, vol. 57(4), pages 1685-1730, August.
    18. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
    19. K.J. Martijn Cremers & Joost Driessen & Pascal Maenhout, 2008. "Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model," The Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2209-2242, September.
    20. George M. Constantinides & Jens Carsten Jackwerth & Alexi Savov, 2012. "The Puzzle of Index Option Returns," Working Paper Series of the Department of Economics, University of Konstanz 2012-35, Department of Economics, University of Konstanz.
    21. Massimo Caccia & Bruno R'emillard, 2017. "Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model," Papers 1707.02019, arXiv.org.
    22. Meng Tian & Liuren Wu & Zhiguo He, 2023. "Limits of Arbitrage and Primary Risk-Taking in Derivative Securities," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(3), pages 405-439.
    23. Arisoy, Yakup Eser, 2010. "Volatility risk and the value premium: Evidence from the French stock market," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 975-983, May.
    24. Ahoniemi, Katja & Lanne, Markku, 2007. "Joint Modeling of Call and Put Implied Volatility," MPRA Paper 6318, University Library of Munich, Germany.
    25. Driessen, Joost & Maenhout, Pascal, 2013. "The world price of jump and volatility risk," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 518-536.
    26. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
    27. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
    28. Andrew Carverhill & Terry Cheuk & Sigurd Dyrting, 2009. "The smirk in the S&P500 futures options prices: a linearized factor analysis," Review of Derivatives Research, Springer, vol. 12(2), pages 109-139, July.
    29. Lockwood, Jimmy & Lockwood, Larry & Miao, Hong & Ramchander, Sanjay & Yang, Dongxiao, 2022. "The information content of ETF options," Global Finance Journal, Elsevier, vol. 53(C).
    30. Soniya Mohil & Reena Nayyar & Archana Patro, 2020. "When is informed trading more prevalent?—An examination of options trading around Indian M&A announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 1011-1029, June.
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