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Content
2021
2020
- 20-121 The Resilience and Realignment of House Prices in the Era of Covid-19
by John V. Duca & Martin Hoesli & Joaquim Montezuma
- 20-120 Adjusted Expected Shortfall
by Matteo Burzoni & Cosimo Munari & Ruodu Wang
- 20-119 Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices
by Walter Distaso & Antonio Mele & Grigory Vilkov
- 20-118 Trading Disclosure Requirements and Market Quality Tradeoffs
by Antonio Mele & Francesco Sangiorgi
- 20-117 Pollution permits and financing costs
by Fabio Antoniou & Manthos D. Delis & Steven Ongena & Chris Tsoumas
- 20-116 Divorce and Credit
by Shusen Qi & Shu Chen & Steven Ongena & Jiaxing You
- 20-115 Correlation in State and Local Tax Changes
by Scott R. Baker & Pawel Janas & Lorenz Kueng
- 20-114 Financial Returns to Household Inventory Management
by Scott R. Baker & Stephanie Johnson & Lorenz Kueng
- 20-113 (When) Do Banks React to Anticipated Capital Reliefs?
by Guillaume Arnould & Benjamin Guin & Steven Ongena & Paolo Siciliani
- 20-112 Supranational Rules, National Discretion: Increasing versus Inflating Regulatory Bank Capital?
by Reint Gropp & Thomas C. Mosk & Steven Ongena & Carlo Wix & Ines Simac
- 20-111 Leveraged Loans: Is High Leverage Risk Priced in?
by David Newton & Steven Ongena & Ru Xie & Binru Zhao
- 20-110 The Cross-Sectional Pricing of Corporate Bonds Using Big Data and Machine Learning
by Turan G. Bali & Amit Goyal & Dashan Huang & Fuwei Jiang & Quan Wen
- 20-109 Do Proprietary Traders Provide Liquidity?
by Nittai Bergman & Ohad Kadan & Roni Michaely & Pamela C. Moulton
- 20-108 Cybersecurity Risk
by Chris Florackis & Christodoulos Louca & Roni Michaely & Michael Weber
- 20-107 The Global Factor Structure of Exchange Rates
by Sofonias A. Korsaye & Fabio Trojani & Andrea Vedolin
- 20-106 Does Big Data Improve Financial Forecasting? The Horizon Effect
by Olivier Dessaint & Thierry Foucault & Laurent Frésard
- 20-105 Takeover Protections and Stock Returns
by Assaf Eisdorfer & Erwan Morellec & Alexei Zhdanov
- 20-104 In Lands of Foreign Currency Credit, Bank Lending Channels Run Through?
by Steven Ongena & Ibolya Schindele & Dzsamila Vonnák
- 20-103 Forecasting Financial Crashes: A Dynamic Risk Management Approach
by J-C Gerlach & Dongshuai Zhao, CFA & Didier Sornette
- 20-102 Management as the sine qua non for M&A success
by Manthos D. Delis & Maria Iosifidi & Pantelis Kazakis & Steven Ongena & Mike G. Tsionas
- 20-101 The Impact of Policy Interventions on Systemic Risk across Banks
by Simona Nistor & Steven Ongena
- 20-100 Learning (Not) to Trade: Lindy's Law in Retail Traders
by Teodor Godina & Serge Kassibrakis & Semyon Malamud & Alberto Teguia & Jiahua Xu
- 20-99 Fixed Rate versus Adjustable Rate Mortgages: Evidence from Euro Area Banks
by Ugo Albertazzi & Fulvia Fringuellotti & Steven Ongena
- 20-98 Interest rate pass-through and bank risk-taking under negative-rate policies with tiered remuneration of Central Bank Reserves
by Christoph Basten & Mike Mariathasan
- 20-97 Climate Change Risk and the Costs of Mortgage Credit
by Duc Duy Nguyen & Steven Ongena & Shusen Qi & Vathunyoo Sila
- 20-96 Asset Pricing with Realistic Crises Dynamics
by Goutham Gopalakrishna
- 20-95 CDS Central Counterparty Clearing Default Measures: Road to Recovery or Invitation to Predation?
by Magdalena Tywoniuk
- 20-94 Affine Pricing and Hedging of Collateralized Debt Obligations
by Zehra Eksi & Damir Filipović
- 20-93 Bank Credit and Market-based Finance for Corporations: The Effects of Minibond Issuances
by Steven Ongena & Sara Pinoli & Paola Rossi & Alessandro Scopelliti
- 20-92 Classification of flash crashes using the Hawkes(p,q) framework
by Alexander Wehrli & Didier Sornette
- 20-90 Are ‘Flow of Ideas’ and ‘Research Productivity’ in secular decline?
by Peter Cauwels & Didier Sornette
- 20-89 Fiscal transfers, local government, and entrepreneurship
by Piotr Danisewicz & Steven Ongena
- 20-88 Credit Volatility Indexes
by Antonio Mele & Yoshiki Obayashi
- 20-87 Inter-industry FDI spillovers from foreign banks: Evidence in transition economies
by Shusen Qi & Kent Hui & Steven Ongena
- 20-86 A Cost-Benefit Analysis of Capital Requirements Adjusted for Model Risk
by Walter Farkas & Fulvia Fringuellotti & Radu Tunaru
- 20-85 Crash-sensitive Kelly Strategy built on a modified Kreuser-Sornette bubble model tested over three decades of twenty equity indices
by J-C Gerlach & Jerome L Kreuser & Didier Sornette
- 20-84 Artificial Intelligence and High-Skilled Work: Evidence from Analysts
by Jillian Grennan & Roni Michaely
- 20-83 “It’s The End of Bank Branching As We Know It (And We Feel Fine)”
by Jan Keil & Steven Ongena
- 20-82 Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified
by David Ardia & Laurent Barras & Patrick Gagliardini & Olivier Scaillet
- 20-81 Do Mutual Funds and ETFs Affect the Commonality in Liquidity of Corporate Bonds?
by Efe Çötelioğlu
- 20-80 Asset Prices and Liquidity with Market Power and Non-Gaussian Payoffs
by Sergei Glebkin & Semyon Malamud & Alberto Teguia
- 20-79 A Deep Learning Approach to Estimate Forward Default Intensities
by Marc-Aurèle Divernois
- 20-78 Trapped in the “zero-risk” society and how to break free
by Didier Sornette & Peter Cauwels
- 20-77 Get beyond policy uncertainty: Evidence from political connections
by Hua Cheng & Kishore Gawande & Steven Ongena & Shusen Qi
- 20-76 Information Leakages, Distribution of Profits from Informed Trading, and Last Mover Advantage
by Andrey Pankratov
- 20-75 CEO Incentives and Bank Risk over the Business Cycle
by Steven Ongena & Tanseli Savaser & Elif Sisli Ciamarra
- 20-74 How market intervention can prevent bubbles and crashes
by Rebecca Westphal & Didier Sornette
- 20-73 Ambiguity and the Home Currency Bias
by Urban Ulrych & Nikola Vasiljevic
- 20-72 To Be or Not to Be? The Questionable Benefits of Mutual Clearing Agreements for Derivatives
by Magdalena Tywoniuk
- 20-71 True Cost of Immediacy
by Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff
- 20-70 Financial Returns to Household Inventory Management
by Scott R. Baker & Stephanie Johnson & Lorenz Kueng
- 20-69 Securities lending and information transmission: a model of endogenous short-sale constraints
by Andrey Pankratov
- 20-68 Nepotism in IPOs: consequences for issuers and investors
by Francois Degeorge & Giuseppe Pratobevera
- 20-67 Principal Portfolios
by Bryan T. Kelly & Semyon Malamud & Lasse Heje Pedersen
- 20-66 Price Discovery for Options
by Semyon Malamud & Michael Tseng & Yuan Zhang
- 20-65 How Integrated Are Credit and Equity Markets? Evidence From Index Options
by Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle
- 20-64 Cheap Options Are Expensive
by Assaf Eisdorfer & Amit Goyal & Alexei Zhdanov
- 20-63 Choosing Investment Managers
by Amit Goyal & Sunil Wahal & M. Deniz Yavuz
- 20-62 Population Aging and Bank Risk-Taking
by Sebastian Doerr & Gazi Kabas & Steven Ongena
- 20-61 Out of Balance: Do Analysts Issue Sell Recommendations to Manage their Recommendation Distributions?
by Charles Chao Kang & Kenneth J. Merkley & Roni Michaely & Joseph Pacelli
- 20-60 Political Activism and Market Power
by Elia Ferracuti & Roni Michaely & Laura Wellman
- 20-59 Government Support for SMEs in Response to COVID-19: Theoretical Model Using Wang Transform
by Shaun Shuxun Wang & Jing Rong Goh & Didier Sornette & He Wang & Esther Ying Yang
- 20-58 Impact of Governmental Interventions on Epidemic Progression and Workplace Activity during the COVID-19 Outbreak
by Sumit Kumar Ram & Didier Sornette
- 20-57 Portfolio Selection With Exploration of New Investment Opportunities
by Didier Sornette & Moris Simon Strub
- 20-56 Where Do Institutional Investors Seek Shelter when Disaster Strikes? Evidence from COVID-19
by Simon Glossner & Pedro Matos & Stefano Ramelli & Alexander F. Wagner
- 20-55 Operational Risk Capital
by Thomas Conlon & Xing Huan & Steven Ongena
- 20-54 Mutual Funds and Risk Disclosure: Information Content of Fund Prospectuses
by Nils Jonathan Krakow & Timo Schäfer
- 20-53 On the origins of financial development: Ancestral population diversity and financial risk-taking
by Manthos D. Delis & Evangelos Dioikitopoulos & Steven Ongena
- 20-52 Optimal Risk-Sharing Across a Network of Insurance Companies
by Nicolas Ettlin & Walter Farkas & Andreas Kull & Alexander Smirnow
- 20-51 The Rise in Foreign Currency Bonds: The Role of US Monetary Policy and Capital Controls
by Philippe Bacchetta & Rachel Cordonier & Ouarda Merrouche
- 20-50 The Conflict Induced Costs of Lending
by Mrinal Mishra & Steven Ongena & Yushi Peng
- 20-49 Swag: A Wrapper Method for Sparse Learning
by Roberto Molinari & Gaetan Bakalli & Stéphane Guerrier & Cesare Miglioli & Samuel Orso & O. Scaillet
- 20-48 The Tax Cuts and Jobs Act: Which Firms Won? Which Lost?
by Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler
- 20-47 Why Do Firms Borrow from Foreign Banks?
by Umit Yilmaz
- 20-46 International Portfolio Choice with Frictions: Evidence from Mutual Funds
by Philippe Bacchetta & Simon Tièche & Eric van Wincoop
- 20-45 Catch, Restrict, and Release: The Real Story of Bank Bailouts
by Sergey Tsyplakov & Allen N. Berger & Steven Ongena & Simona Nistor
- 20-44 Evolution in Pecunia
by Rabah Amir & Igor V. Evstigneev & Thorsten Hens & Valeriya Potapova & Klaus Reiner Schenk-Hoppé
- 20-43 Does Firm Investment Respond to Peers' Investment?
by Maria Cecilia Bustamante & Laurent Frésard
- 20-42 The COVID-19 Pandemic and Sovereign Bond Risk
by Alin Marius Andries & Steven Ongena & Nicu Sprincean
- 20-41 Boom, Bust, and Bitcoin: Bitcoin-Bubbles As Innovation Accelerators
by Tobias Huber & Didier Sornette
- 20-40 Risk Spillovers and Interconnectedness between Systemically Important Institutions
by Alin Marius Andries & Steven Ongena & Nicu Sprincean & Radu Tunaru
- 20-39 Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
by Alexander Wehrli & Spencer Wheatley & Didier Sornette
- 20-38 The Global Impact of COVID-19 on Fintech Adoption
by Jonathan Fu & Mrinal Mishra
- 20-37 How Valuable is Financial Flexibility When Revenue Stops? Evidence from the COVID-19 Crisis
by Rüdiger Fahlenbrach & Kevin Rageth & René M. Stulz
- 20-36 Innocent Bystanders? Monetary Policy and Inequality in the U.S
by Olivier Coibion & Yuriy Gorodnichenko & Lorenz Kueng & John Silvia
- 20-35 The Impact of Emerging Market Competition on Innovation and Business Strategy
by Lorenz Kueng & Nicholas Li & Mu-Jeung Yang
- 20-34 Sources of Firm Life-Cycle Dynamics: Size vs. Age Effects
by Lorenz Kueng & Mu-Jeung Yang & Bryan Hong
- 20-33 Excess Sensitivity of High-Income Consumers
by Lorenz Kueng
- 20-32 Do Household Finances Constrain Unconventional Fiscal Policy?
by Scott R. Baker & Lorenz Kueng & Leslie McGranahan & Brian Melzer
- 20-31 Complementarity of Performance Pay and Task Allocation
by Bryan Hong & Lorenz Kueng & Mu-Jeung Yang
- 20-30 Tax News Shocks and Consumption
by Lorenz Kueng
- 20-29 Income Fluctuations and Firm Choice
by Scott R. Baker & Brian Baugh & Lorenz Kueng
- 20-28 A machine learning approach to portfolio pricing and risk management for high-dimensional problems
by Lucio Fernandez Arjona & Damir Filipović
- 20-27 Interpreting, analysing and modelling COVID-19 mortality data
by Didier Sornette & Euan Mearns & Michael Schatz & Ke Wu & Didier Darcet
- 20-26 Propagation of Political Information
by Daniel Bradley & Sinan Gokkaya & Xi Liu & Roni Michaely
- 20-25 Stochastic representation decision theory: How probabilities and values are entangled dual characteristics in cognitive processes
by Giuseppe Ferro & Didier Sornette
- 20-24 On the Use of Equities in Target Date Funds
by Giovanni Barone-Adesi & Eckhard Platen & Carlo Sala
- 20-23 Human-Environment-Health and reinforcement of individual resilience
by Didier Sornette & Peter Cauwels & Euan Mearns & Ke Wu
- 20-22 Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets
by Chenxu Li & O. Scaillet & Yiwen Shen
- 20-21 Optimal Strategies for ESG Portfolios
by Fabio Alessandrini & Eric Jondeau
- 20-20 A New Indicator of Bank Funding Cost
by Eric Jondeau & Benoît Mojon & Jean-Guillaume Sahuc
- 20-19 Behavioral Equilibrium and Evolutionary Dynamics in Asset Markets
by Igor V. Evstigneev & Thorsten Hens & Valeriya Potapova & Klaus Reiner Schenk-Hoppé
- 20-18 Spanning analysis of stock market anomalies under Prospect Stochastic Dominance
by Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou
- 20-17 Policy Announcement Design
by Anna Cieslak & Semyon Malamud & Andreas Schrimpf
- 20-16 On-Site Inspecting Zombie Lending
by Diana Bonfim & Geraldo Cerqueiro & Hans Degryse & Steven Ongena
- 20-15 Identifying Empty Creditors with a Shock and Micro-Data
by Hans Degryse & Yalin Gündüz & Kuchulain O'Flynn & Steven Ongena
- 20-14 On the Fast Track: Information Acquisition Costs and Information Production
by Deqiu Chen & Yujing Ma & Xiumin Martin & Roni Michaely
- 20-13 Responsible Institutional Investing Around the World
by Rajna Gibson & Simon Glossner & Philipp Krueger & Pedro Matos & Tom Steffen
- 20-12 Feverish Stock Price Reactions to COVID-19
by Stefano Ramelli & Alexander F. Wagner
- 20-11 Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing
by Walter Farkas & Ludovic Mathys
- 20-10 Deep Learning, Jumps, and Volatility Bursts
by Oksana Bashchenko & Alexis Marchal
- 20-09 How Integrated Are Corporate Bond and Stock Markets?
by Mirela Sandulescu
- 20-08 Deep Learning for Asset Bubbles Detection
by Oksana Bashchenko & Alexis Marchal
- 20-07 Flooded through the back door: The role of bank capital in local shock spillovers
by Oliver Rehbein & Steven Ongena
- 20-06 An Investigation of the Synchronization in Global House Prices
by Martin Hoesli
- 20-05 Rational Belief Bubbles
by H. Sohn & Didier Sornette
- 20-04 Systemic Risk in Networks with a Central Node
by Hamed Amini & Damir Filipović & Andreea Minca
- 20-03 The Valuation of Insurance Liabilities: A Framework Based on First Principles
by Andrea Bergesio & Paul Huber & Pablo Koch-Medina & Lutz Wilhelmy
- 20-02 Unintended Consequences of the Global Derivatives Market Reform
by Pauline Gandré & Mike Mariathasan & Ouarda Merrouche & Steven Ongena
- 20-01 A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data
by Davide La Vecchia & Alban Moor & O. Scaillet
2019
- 19-80 Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning
by Hans Buehler & Lukas Gonon & Josef Teichmann & Ben Wood & Baranidharan Mohan & Jonathan Kochems
- 19-79 Debt, Innovation, and Growth
by Thomas Geelen & Jakub Hajda & Erwan Morellec
- 19-78 Optimal Financing with Tokens
by Sebastian Gryglewicz & Simon Mayer & Erwan Morellec
- 19-77 Testing Market Efficiency With the Pricing Kernel
by Giovanni Barone-Adesi & Carlo Sala
- 19-76 Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps
by Walter Farkas & Ludovic Mathys & Nikola Vasiljevic
- 19-75 Implied Volatility Changes and Corporate Bond Returns
by Jie Cao & Amit Goyal & Xiao Xiao & Xintong Zhan
- 19-74 Option Trading and Stock Price Informativeness
by Jie Cao & Amit Goyal & Sai Ke & Xintong Zhan
- 19-73 Dissecting the Yield Curve: The International Evidence
by Andrea Berardi & Alberto Plazzi
- 19-72 Does Quantitative Easing Boost Bank Lending to the Real Economy or Cause Other Bank Asset Reallocation? The Case of the UK
by Simone Giansante & Mahmoud Fatouh & Steven Ongena
- 19-71 Steady State and Efficiency Convergence Dynamics in Alternative Banking Systems: The Cases of Islamic and Community Banks
by Marwan Izzeldin & Jill Johnes & Steven Ongena & Vasileios Pappas & Efthymios G. Tsionas
- 19-70 Gender, Credit, and Firm Outcomes
by Manthos D. Delis & Iftekhar Hasan & Maria Iosifidi & Steven Ongena
- 19-69 Liquidity, Volume, and Order Imbalance Volatility
by Vincent Bogousslavsky & Pierre Collin-Dufresne
- 19-68 Insider Trading with Penalties
by Sylvain Carre & Pierre Collin-Dufresne & Franck Gabriel
- 19-67 ESG Rating Disagreement and Stock Returns
by Rajna Gibson & Philipp Krueger & Nadine Riand & Peter Steffen Schmidt
- 19-66 Institutional Investors’ Views and Preferences on Climate Risk Disclosure
by Emirhan Ilhan & Philipp Krueger & Zacharias Sautner & Laura T. Starks
- 19-65 Extracting Statistical Factors When Betas are Time-Varying
by Patrick Gagliardini & Hao Ma
- 19-64 Volatility Dependent Structured Products
by Artem Dyachenko & Walter Farkas & Marc Oliver Rieger
- 19-63 Bank Restructuring without Government Intervention
by Marcella Lucchetta & Bruno Maria Parigi & Jean-Charles Rochet
- 19-62 Financial Intermediation, Capital Accumulation and Crisis Recovery
by Hans Gersbach & Jean-Charles Rochet & Martin Scheffel
- 19-61 Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply
by Laurent Barras & O. Scaillet & Russ Wermers
- 19-60 Why Do U.S. CEOs Pledge Their Own Company's Stock?
by Kornelia Fabisik
- 19-59 The Impact of Pensions and Insurance on Global Yield Curves
by Robin M. Greenwood & Annette Vissing-Jorgensen
- 19-58 Distance Effects in CMBS Loan Pricing: Banks versus Non-Banks
by Piet Eichholtz & NAGIHAN MIMIROGLU & Steven Ongena & Erkan Yönder
- 19-57 Sentimental Recovery
by Altan Pazarbasi & Paul Schneider & Grigory Vilkov
- 19-56 An Improved Method to Predict Assignment of Stocks into Russell Indexes
by Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi
- 19-55 Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan
by Andrea Barbon & Virginia Gianinazzi
- 19-54 Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing
by Damir Filipović & Kathrin Glau & Yuji Nakatsukasa & Francesco Statti
- 19-53 Properly Discounted Asset Prices Are Semimartingales
by Dániel Ágoston Bálint & Martin Schweizer
- 19-52 Mind the (Convergence) Gap: Bond Predictability Strikes Back!
by Andrea Berardi & Michael Markovich & Alberto Plazzi & Andrea Tamoni
- 19-51 A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs
by Marc S. Paolella & Pawel Polak & Patrick S. Walker
- 19-50 Low Risk Anomalies?
by Paul Schneider & Christian Wagner & Josef Zechner
- 19-49 Risk Premia and Lévy Jumps: Theory and Evidence
by Hasan Fallahgoul & Julien Hugonnier & Loriano Mancini
- 19-48 Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
by Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet
- 19-47 Information Revelation Through Regulatory Process: Interactions Between the SEC and Companies Ahead of the IPO
by Michelle Lowry & Roni Michaely & Ekaterina Volkova
- 19-46 Estimation of Large Dimensional Conditional Factor Models in Finance
by Patrick Gagliardini & Elisa Ossola & O. Scaillet
- 19-45 Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation
by Olivier De Jonghe & Hans Dewachter & Klaas Mulier & Steven Ongena & Glenn Schepens
- 19-44 Unintended Consequences of Unemployment Insurance Benefits: The Role of Banks
by Yavuz Arslan & Ahmet Degerli & Gazi Kabas
- 19-43 The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone
by Roman Goncharenko & Steven Ongena & Asad Rauf
- 19-42 Fear, Anger and Credit. On Bank Robberies and Loan Conditions
by Paola Morales Acevedo & Steven Ongena
- 19-41 Are U.S. Industries Becoming More Concentrated?
by Gustavo Grullon & Yelena Larkin & Roni Michaely
- 19-40 Consumption Taxes and Corporate Investment
by Martin Jacob & Roni Michaely & Maximilian A. Müller
- 19-39 The Geography of Mortgage Lending in Times of FinTech
by Christoph Basten & Steven Ongena
- 19-38 The Effect of Unconventional Monetary Policy on Cross‐Border Bank Loans: Evidence from an Emerging Market
by Koray Alper & Fatih Altunok & Tanju Çapacıoğlu & Steven Ongena
- 19-37 ICO Investors
by Rüdiger Fahlenbrach & Marc Frattaroli
- 19-36 Innovation Activities and Integration through Vertical Acquisitions
by Laurent Frésard & Gerard Hoberg & Gordon M. Phillips
- 19-35 Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment
by Philippe Bacchetta & Eric van Wincoop
- 19-34 Machine Learning With Kernels for Portfolio Valuation and Risk Management
by Lotfi Boudabsa & Damir Filipović
- 19-33 Real Estate Performance, the Macroeconomy and Leverage
by Jean-Christophe Delfim & Martin Hoesli
- 19-32 Robust Desmoothed Real Estate Returns
by Jean-Christophe Delfim & Martin Hoesli
- 19-31 On the Nature of Jump Risk Premia
by Piotr Orłowski & Paul Schneider & Fabio Trojani
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