Roman Kozhan
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
- Foucault, Thierry & Tham, Wing Wah & Kozhan, Roman, 2014.
"Toxic Arbitrage,"
CEPR Discussion Papers
9925, C.E.P.R. Discussion Papers.
- Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2017. "Toxic Arbitrage," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1053-1094.
- Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2014. "Toxic Arbitrage," Working Papers hal-02058262, HAL.
- Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," HEC Research Papers Series 1040, HEC Paris.
Cited by:
- Gunther Capelle-Blancard, 2018.
"What is the Point of (the Hundreds of Thousands of Billions of) Stock Transactions?,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-03029284, HAL.
- Gunther Capelle-Blancard, 2018. "What is the Point of (the Hundreds of Thousands of Billions of) Stock Transactions?," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(1), pages 15-33, March.
- Gunther Capelle-Blancard, 2018. "What is the Point of (the Hundreds of Thousands of Billions of) Stock Transactions?," Post-Print hal-03029284, HAL.
- Songzi Du & Haoxiang Zhu, 2014. "Welfare and Optimal Trading Frequency in Dynamic Double Auctions," NBER Working Papers 20588, National Bureau of Economic Research, Inc.
- Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
- Oliver Linton & Soheil Mahmoodzadeh, 2018.
"Implications of High-Frequency Trading for Security Markets,"
Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
- Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, O. & Mahmoodzadeh, S., 2018. "Implications of High-Frequency Trading for Security Markets," Cambridge Working Papers in Economics 1802, Faculty of Economics, University of Cambridge.
- Breckenfelder, Johannes, 2019.
"Competition among high-frequency traders, and market quality,"
Working Paper Series
2290, European Central Bank.
- Breckenfelder, Johannes, 2024. "Competition among high-frequency traders and market quality," Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
- Foucault, T., 2016. "Where are the risks in high frequency trading?," Financial Stability Review, Banque de France, issue 20, pages 53-67, April.
- Lescourret, Laurence & Moinas, Sophie, 2014.
"Liquidity Supply across Multiple Trading Venues,"
TSE Working Papers
14-533, Toulouse School of Economics (TSE), revised Mar 2015.
- Lescourret, Laurence & Moinas, Sophie, 2015. "Liquidity Supply across Multiple Trading Venues," ESSEC Working Papers WP1505, ESSEC Research Center, ESSEC Business School.
- Laurence Lescourret & Sophie Moinas, 2015. "Liquidity Supply across Multiple Trading Venues," Working Papers hal-01137813, HAL.
- Lisa Anderson & Emad Andrews & Baiju Devani & Michael Mueller & Adrian Walton, 2018.
"Speed Segmentation on Exchanges: Competition for Slow Flow,"
Staff Working Papers
18-3, Bank of Canada.
- Anderson, Lisa & Andrews, Emad & Devani, Baiju & Mueller, Michael & Walton, Adrian, 2022. "Speed segmentation on exchanges: Competition for slow flow," Journal of Financial Markets, Elsevier, vol. 58(C).
- Miriam Marra, 2017. "Explaining co-movements between equity and CDS bid-ask spreads," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 811-853, October.
- Hautsch, Nikolaus & Scheuch, Christoph & Voigt, Stefan, 2018. "Limits to arbitrage in markets with stochastic settlement latency," CFS Working Paper Series 616, Center for Financial Studies (CFS).
- Gunther Capelle-Blancard, 2017.
"À quoi servent les (centaines de milliers de milliards de) transactions boursières ?,"
Revue d'économie financière, Association d'économie financière, vol. 0(3), pages 37-58.
- Gunther Capelle-Blancard, 2017. "À quoi servent les (centaines de milliers de milliards de) transactions boursières ?," Post-Print hal-03029280, HAL.
- Gunther Capelle-Blancard, 2017. "À quoi servent les (centaines de milliers de milliards de) transactions boursières ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03029280, HAL.
- Bernales, Alejandro & Garrido, Nicolás & Sagade, Satchit & Valenzuela, Marcela & Westheide, Christian, 2020. "Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk," SAFE Working Paper Series 234, Leibniz Institute for Financial Research SAFE, revised 2020.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2016.
"Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows,"
Post-Print
hal-04590596, HAL.
- Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, vol. 201(2), pages 367-383.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2014. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print hal-04582298, HAL.
- Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2017. "Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print hal-01593402, HAL.
- Zhou, Hao & Kalev, Petko S., 2019. "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 186-207.
- Viktor Manahov, 2018. "The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming," Annals of Operations Research, Springer, vol. 260(1), pages 321-352, January.
- Gulten Mero & Serge Darolles & Gaëlle Le Fol, 2015. "Financial Market Liquidity: Who Is Acting Strategically?," THEMA Working Papers 2015-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Foucault, Thierry & Moinas, Sophie, 2018. "Is Trading Fast Dangerous?," TSE Working Papers 18-881, Toulouse School of Economics (TSE).
- Cartea, Álvaro & Payne, Richard & Penalva, José & Tapia, Mikel, 2019. "Ultra-fast activity and intraday market quality," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 157-181.
- Jun Aoyagi, 2019. "Strategic Speed Choice by High-Frequency Traders under Speed Bumps," ISER Discussion Paper 1050, Institute of Social and Economic Research, Osaka University.
- Andriy Shkilko & Konstantin Sokolov, 2020. "Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs," Journal of Finance, American Finance Association, vol. 75(6), pages 2899-2927, December.
- Koufopoulos, Kostos & Kozhan, Roman & Trigilia, Giulio, 2014.
"Optimal Security Design under Asymmetric Information and Profit Manipulation,"
The Warwick Economics Research Paper Series (TWERPS)
1050, University of Warwick, Department of Economics.
Cited by:
- Liu, Bo & Liu, Yang & Peng, Juan & Yang, Jinqiang, 2017. "Optimal capital structure and credit spread under incomplete information," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 596-611.
- Kozhan, Roman, 2006.
"Multiple Priors And No-Transaction Region,"
Working Paper Series
2006,4, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
Cited by:
- Badunenko, Oleg & Fritsch, Michael & Stephan, Andreas, 2006.
"Allocative efficiency measurement revisited: do we really need input prices?,"
Freiberg Working Papers
2006/04, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
- Badunenko, Oleg & Fritsch, Michael & Stephan, Andreas, 2006. "Allocative efficiency measurement revisited: Do we really need input prices?," Working Paper Series 2006,7, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
- Badunenko, Oleg & Fritsch, Michael & Stephan, Andreas, 2008. "Allocative efficiency measurement revisited--Do we really need input prices?," Economic Modelling, Elsevier, vol. 25(5), pages 1093-1109, September.
- Oleg Badunenko & Michael Fritsch & Andreas Stephan, 2006. "Allocative Efficiency Measurement Revisited: Do We Really Need Input Prices?," Discussion Papers of DIW Berlin 591, DIW Berlin, German Institute for Economic Research.
- Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2006.
"Political Orientation of Government and Stock Market Returns,"
Working Paper Series
2006,9, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
- Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz, 2006. "Political orientation of government and stock market returns," MPRA Paper 307, University Library of Munich, Germany, revised Nov 2006.
- Badunenko, Oleg & Fritsch, Michael & Stephan, Andreas, 2006.
"Allocative efficiency measurement revisited: do we really need input prices?,"
Freiberg Working Papers
2006/04, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
Articles
- Roman Kozhan & Anthony Neuberger & Paul Schneider, 2013.
"The Skew Risk Premium in the Equity Index Market,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(9), pages 2174-2203.
Cited by:
- Wenli Zhu & Xinfeng Ruan, 2019. "Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 507-532, February.
- Shi, Yun & Cui, Xiangyu & Zhou, Xunyu, 2020. "Beta and Coskewness Pricing: Perspective from Probability Weighting," SocArXiv 5rqhv, Center for Open Science.
- Christian Wolff & Thorsten Lehnert & Yuehao Lin, 2014.
"Skewness Risk Premium: Theory and Empirical Evidence,"
LSF Research Working Paper Series
14-05, Luxembourg School of Finance, University of Luxembourg.
- Lin, Yuehao & Lehnert, Thorsten & Wolff, Christian, 2019. "Skewness risk premium: Theory and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 174-185.
- Wolff, Christian & Lehnert, Thorsten & Lin, Yuehao, 2013. "Skewness Risk Premium: Theory and Empirical Evidence," CEPR Discussion Papers 9349, C.E.P.R. Discussion Papers.
- Philip Nadler & Alessio Sancetta, 2023. "Empirical Asset Pricing with Functional Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1258-1281.
- Manuel Ammann & Alexander Feser, 2019. "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance 1902, University of St. Gallen, School of Finance.
- Broll, Michael, 2016. "The skewness risk premium in currency markets," Economic Modelling, Elsevier, vol. 58(C), pages 494-511.
- Geon Ho Choe & Kyungsub Lee, 2013. "High moment variations and their application," Papers 1311.4973, arXiv.org.
- Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Lee Kyungsub, 2016. "Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 19-36, February.
- Sarac, Burak, 2021. "Varianzrisikoprämien auf deutsche Staatsanleihen [Variance Risk Premiums on German Government Bonds]," Junior Management Science (JUMS), Junior Management Science e. V., vol. 6(2), pages 370-392.
- Ian Dew-Becker, 2022.
"Real-Time Forward-Looking Skewness over the Business Cycle,"
NBER Working Papers
30478, National Bureau of Economic Research, Inc.
- Ian Dew-Becker, 2024. "Real-time forward-looking skewness over the business cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 54, October.
- Koëter, Joren, 2021. "Essays on asset pricing, investor preferences, and derivative markets," Other publications TiSEM 9e88a66e-b972-4af3-91d6-0, Tilburg University, School of Economics and Management.
- Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
- Manuel Ammann & Alexander Feser, 2019. "Robust estimation of risk‐neutral moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1137-1166, September.
- José Da Fonseca & Edem Dawui, 2021. "Semivariance and semiskew risk premiums in currency markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 290-324, March.
- Zhen Fang & Zhang Jin E., 2020. "Dissecting skewness under affine jump-diffusions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-19, September.
- Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
- Jian, Zhihong & Li, Xupei, 2021. "Skewness-based market integration: A systemic risk measure across international equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Y. Lempérière & C. Deremble & T. T. Nguyen & P. Seager & M. Potters & J. P. Bouchaud, 2017. "Risk premia: asymmetric tail risks and excess returns," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 1-14, January.
- Yaw‐Huei Wang & Kuang‐Chieh Yen, 2019. "The information content of the implied volatility term structure on future returns," European Financial Management, European Financial Management Association, vol. 25(2), pages 380-406, March.
- Alexander, Carol & Rauch, Johannes, 2021. "A general property for time aggregation," European Journal of Operational Research, Elsevier, vol. 291(2), pages 536-548.
- Sarno, Lucio & Della Corte, Pasquale & Schmeling, Maik & Wagner, Christian, 2021.
"Exchange Rates and Sovereign Risk,"
CEPR Discussion Papers
16058, C.E.P.R. Discussion Papers.
- 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.
- Brinkmann, Felix & Korn, Olaf, 2014. "Risk-adjusted option-implied moments," CFR Working Papers 14-07, University of Cologne, Centre for Financial Research (CFR).
- Dörries, Julian & Korn, Olaf & Power, Gabriel J., 2023. "How should the long-term investor harvest variance risk premiums?," CFR Working Papers 23-06, University of Cologne, Centre for Financial Research (CFR).
- Felix Brinkmann & Olaf Korn, 2018. "Risk-adjusted option-implied moments," Review of Derivatives Research, Springer, vol. 21(2), pages 149-173, July.
- Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).
- Y. Lemp'eri`ere & C. Deremble & T. T. Nguyen & P. Seager & M. Potters & J. P. Bouchaud, 2014. "Risk Premia: Asymmetric Tail Risks and Excess Returns," Papers 1409.7720, arXiv.org, revised Oct 2015.
- Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
- Ruan, Xinfeng & Zhang, Jin E., 2019. "Moment spreads in the energy market," Energy Economics, Elsevier, vol. 81(C), pages 598-609.
- Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.
- Paul Schneider & Christian Wagner & Josef Zechner, 2019.
"Low Risk Anomalies?,"
Swiss Finance Institute Research Paper Series
19-50, Swiss Finance Institute.
- Paul Schneider & Christian Wagner & Josef Zechner, 2020. "Low‐Risk Anomalies?," Journal of Finance, American Finance Association, vol. 75(5), pages 2673-2718, October.
- Schneider, Paul & Wagner, Christian & Zechner, Josef, 2016. "Low risk anomalies?," CFS Working Paper Series 550, Center for Financial Studies (CFS).
- Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018. "The Risk-Asymmetry Index as a new Measure of Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 22(3-4), pages 173-210, September.
- Bruno Spilak & Wolfgang Karl Hardle, 2020. "Tail-risk protection: Machine Learning meets modern Econometrics," Papers 2010.03315, arXiv.org, revised Aug 2021.
- Chen, Ren-Raw & Hsieh, Pei-lin & Huang, Jeffrey, 2018. "Crash risk and risk neutral densities," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 162-189.
- Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
- Lu, Xinjie & Ma, Feng & Wang, Jianqiong & Dong, Dayong, 2022. "Singlehanded or joint race? Stock market volatility prediction," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 734-754.
- 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).
- Yanchu Liu & Chen Liu & Yiyao Chen & Xianming Sun, 2024. "Option‐Implied Ambiguity and Equity Return Predictability," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(9), pages 1556-1577, September.
- Corte, Pasquale Della & Kozhan, Roman & Neuberger, Anthony, 2021. "The cross-section of currency volatility premia," Journal of Financial Economics, Elsevier, vol. 139(3), pages 950-970.
- Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).
- Trung H. Le & Apostolos Kourtis & Raphael Markellos, 2023. "Modeling skewness in portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 734-770, June.
- Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2016. "Fear or greed? What does a skewness index measure?," Department of Economics 0102, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019. "The information content of forward moments," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 527-541.
- Da Fonseca, José & Xu, Yahua, 2017. "Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition," Energy Economics, Elsevier, vol. 67(C), pages 410-422.
- Jin E. Zhang & Eric C. Chang & Huimin Zhao, 2020. "Market Excess Returns, Variance and the Third Cumulant," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 605-637, September.
- Cui, Jinxin & Alshater, Muneer M. & Mensi, Walid, 2023. "Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets," Resources Policy, Elsevier, vol. 86(PA).
- Yuta Koike & Zhi Liu, 2019. "Asymptotic properties of the realized skewness and related statistics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(4), pages 703-741, August.
- George Chalamandaris & Leonidas S. Rompolis, 2021. "Recovering the market risk premium from higher‐order moment risks," European Financial Management, European Financial Management Association, vol. 27(1), pages 147-186, January.
- Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2016. "Moment Risk Premia and the Cross-Section of Stock Returns," Department of Economics 0103, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Bruno Feunou & Cédric Okou, 2017.
"Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models,"
Staff Working Papers
17-55, Bank of Canada.
- Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
- Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
- Kyungsub Lee & Byoung Ki Seo, 2019.
"Performance of tail hedged portfolio with third moment variation swap,"
Papers
1908.05105, arXiv.org.
- Kyungsub Lee & Byoung Ki Seo, 2017. "Performance of Tail Hedged Portfolio with Third Moment Variation Swap," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 447-471, October.
- José Da Fonseca & Yahua Xu, 2019. "Variance and skew risk premiums for the volatility market: The VIX evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 302-321, March.
- 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.
- Alexander Arimond & Damian Borth & Andreas Hoepner & Michael Klawunn & Stefan Weisheit, 2020. "Neural Networks and Value at Risk," Papers 2005.01686, arXiv.org, revised May 2020.
- Sangwon Suh & Eungyu Yoo & Sun‐Joong Yoon, 2021. "Stock market tail risk, tail risk premia, and return predictability," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1569-1596, October.
- José P. Dapena & Juan A. Serur & Julián R. Siri, 2018. "Measuring and trading volatility on the US stock market: A regime switching approach," CEMA Working Papers: Serie Documentos de Trabajo. 659, Universidad del CEMA.
- Elyas Elyasani & Luca Gambarelli & Silvia Muzzioli, 2016. "The risk asymmetry index," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0061, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
- Peter H. Gruber & Claudio Tebaldi & Fabio Trojani, 2021. "The Price of the Smile and Variance Risk Premia," Management Science, INFORMS, vol. 67(7), pages 4056-4074, July.
- Ni, Zhongxin & Wang, Linyu, 2023. "The predictability of skewness risk premium on stock returns: Evidence from Chinese market," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 576-594.
- Finta, Marinela Adriana & Aboura, Sofiane, 2020. "Risk premium spillovers among stock markets: Evidence from higher-order moments," Journal of Financial Markets, Elsevier, vol. 49(C).
- 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.
- Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015.
"Downside Variance Risk Premium,"
Staff Working Papers
15-36, Bank of Canada.
- Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou, 2018. "Downside Variance Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 341-383.
- Bruno Feunou & Mohammad Jahan-Parvar & Cedric Okou, 2015. "Downside Variance Risk Premium," Finance and Economics Discussion Series 2015-20, Board of Governors of the Federal Reserve System (U.S.).
- Manuel Ammann & Mathis Moerke & Marcel Prokopczuk & Christoph Matthias Würsig, 2023. "Commodity tail risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 168-197, February.
- Zhang, Xinxin & Bouri, Elie & Xu, Yahua & Zhang, Gongqiu, 2022. "The asymmetric relationship between returns and implied higher moments: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 109(C).
- Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2016. "Time-Varying Crash Risk: The Role of Stock Market Liquidity," Staff Working Papers 16-35, Bank of Canada.
- Johannes Rauch & Carol Alexander, 2016. "Tail Risk Premia for Long-Term Equity Investors," Papers 1602.00865, arXiv.org.
- Mete Kilic & Ivan Shaliastovich, 2019. "Good and Bad Variance Premia and Expected Returns," Management Science, INFORMS, vol. 67(6), pages 2522-2544, June.
- Dias, Alexandra, 2016. "The economic value of controlling for large losses in portfolio selection," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 81-91.
- Aretz, Kevin & Eser Arisoy, Y., 2023. "The Pricing of Skewness Over Different Return Horizons," Journal of Banking & Finance, Elsevier, vol. 148(C).
- Bruno Spilak & Wolfgang Karl Härdle, 2022.
"Tail-Risk Protection: Machine Learning Meets Modern Econometrics,"
Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 92, pages 2177-2211,
Springer.
- Spilak, Bruno & Härdle, Wolfgang Karl, 2020. "Tail-risk protection: Machine Learning meets modern Econometrics," IRTG 1792 Discussion Papers 2020-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Ruan, Xinfeng & Zhu, Wenli & Huang, Jiexiang & Zhang, Jin E., 2016. "Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums," Economic Modelling, Elsevier, vol. 54(C), pages 326-338.
- Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
- Paul SCHNEIDER, 2014.
"Generalized Risk Premia,"
Swiss Finance Institute Research Paper Series
14-29, Swiss Finance Institute.
- Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
- Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Dynamics of variance risk premia: A new model for disentangling the price of risk," Journal of Econometrics, Elsevier, vol. 217(2), pages 312-334.
- Wong, Patrick, 2023. "Explaining intraday crude oil returns with higher order risk-neutral moments," Journal of Commodity Markets, Elsevier, vol. 31(C).
- Hain, Martin & Uhrig-Homburg, Marliese & Unger, Nils, 2018. "Risk factors and their associated risk premia: An empirical analysis of the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 44-63.
- Bollerslev, Tim & Todorov, Viktor, 2023. "The jump leverage risk premium," Journal of Financial Economics, Elsevier, vol. 150(3).
- Aşty Al-Jaaf, 2022. "Dividend predictability and higher moment risk premia," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 83-99, March.
- Ho, Tuan & Kim, Kirak & Li, Yang & Xu, Fangming, 2023. "Can Real Options Explain the Skewness of Stock Returns?," Journal of Banking & Finance, Elsevier, vol. 148(C).
- Ebert, Sebastian, 2015. "On skewed risks in economic models and experiments," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 85-97.
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"A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage,"
Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
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"Asymmetric effects of the limit order book on price dynamics,"
Journal of Empirical Finance, Elsevier, vol. 65(C), pages 77-98.
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"Execution Risk in High-Frequency Arbitrage,"
Management Science, INFORMS, vol. 58(11), pages 2131-2149, November.
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"Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(2), pages 105-146, June.
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"International correlation risk,"
LSE Research Online Documents on Economics
60955, London School of Economics and Political Science, LSE Library.
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- Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2013. "International correlation risk," LSE Research Online Documents on Economics 43087, London School of Economics and Political Science, LSE Library.
- Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2020.
"A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage,"
Economic Modelling, Elsevier, vol. 85(C), pages 57-73.
- Nikola Gradojevic & Deniz Erdemlioglu & Ramazan Gençay, 2020. "A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage," Post-Print hal-02512423, HAL.
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"Segmented money markets and covered interest parity arbitrage,"
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651, Bank for International Settlements.
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"Toxic Arbitrage,"
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1040, HEC Paris.
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"International high-frequency arbitrage for cross-listed stocks,"
International Review of Financial Analysis, Elsevier, vol. 89(C).
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- Cenesizoglu, Tolga & Dionne, Georges & Zhou, Xiaozhou, 2022.
"Asymmetric effects of the limit order book on price dynamics,"
Journal of Empirical Finance, Elsevier, vol. 65(C), pages 77-98.
- Cenesizoglu, Tolga & Dionne, Georges & Zhou, Xiaozhou, 2016. "Asymmetric Effects of the Limit Order Book on Price Dynamics," Working Papers 16-5, HEC Montreal, Canada Research Chair in Risk Management, revised 09 Nov 2021.
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"Interactions among High-Frequency Traders,"
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"Asymmetric Momentum Effects Under Uncertainty,"
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Journal of Finance, American Finance Association, vol. 76(1), pages 443-479, February.
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"Spurious Regressions of Stationary AR(p) Processes with Structural Breaks,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(1), pages 1-25, December.
Cited by:
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"Demographics and Business Cycle Volatility: A Spurious Relationship?,"
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"Demographics and Business Cycle Volatility: A Spurious Relationship?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1467-1477, November.
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"Firms' investment under financial constraints: a euro area investigation,"
Applied Financial Economics, Taylor & Francis Journals, vol. 19(20), pages 1611-1624.
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"Shifting sentiments in firm investment: an application to the oil industry,"
Applied Financial Economics, Taylor & Francis Journals, vol. 21(7), pages 469-479.
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"Asset allocation with distorted beliefs and transaction costs,"
European Journal of Operational Research, Elsevier, vol. 194(1), pages 236-249, April.
Cited by:
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"Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation,"
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Cited by:
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"Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics,"
European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
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- Joëts, Marc, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Energy: Resources and Markets 148918, Fondazione Eni Enrico Mattei (FEEM).
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- Marc Joëts, 2013. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Working Papers 2013-31, Department of Research, Ipag Business School.
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- Taylor, Mark & Xu, Qi & Kozhan, Roman, 2020. "Prospect Theory and Currency Returns: Empirical Evidence," CEPR Discussion Papers 15306, C.E.P.R. Discussion Papers.
- Amparo M. Mármol & Luisa Monroy & M. Ángeles Caraballo & Asunción Zapata, 2017. "Equilibria with vector-valued utilities and preference information. The analysis of a mixed duopoly," Theory and Decision, Springer, vol. 83(3), pages 365-383, October.
- Gradojevic, Nikola & Gençay, Ramazan, 2013. "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 578-586.
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"Ambiguity and long-run cooperation in strategic games,"
Oxford Economic Papers, Oxford University Press, vol. 73(3), pages 1077-1098.
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"Decision theory under uncertainty,"
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- Joëts, Marc, 2015.
"Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics,"
European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
- Roman Kozhan & Michael Zarichnyi, 2008.
"Nash equilibria for games in capacities,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 35(2), pages 321-331, May.
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- Dionysius Glycopantis & Allan Muir, 2008. "Nash equilibria with Knightian uncertainty; the case of capacities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 37(1), pages 147-159, October.
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"Trembles in extensive games with ambiguity averse players,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(1), pages 1-40, September.
- Gaurab Aryal & Ronald Stauber, 2013. "Trembles in Extensive Games with Ambiguity Averse Players," ANU Working Papers in Economics and Econometrics 2013-606, Australian National University, College of Business and Economics, School of Economics.
- Roman Kozhan, 2011. "Non-additive anonymous games," International Journal of Game Theory, Springer;Game Theory Society, vol. 40(2), pages 215-230, May.
- Thomas Jungbauer & Klaus Ritzberger, 2011. "Strategic games beyond expected utility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 377-398, October.