4.7 Article

Pricing Kernels with Stochastic Skewness and Volatility Risk

Related references

Note: Only part of the references are listed.
Article Management

A General Index of Absolute Risk Attitude

Michel M. Denuit et al.

MANAGEMENT SCIENCE (2010)

Article Business, Finance

Returns of claims on the upside and the viability of U-shaped pricing kernels

Gurdip Bakshi et al.

JOURNAL OF FINANCIAL ECONOMICS (2010)

Article Business, Finance

Expected Stock Returns and Variance Risk Premia

Tim Bollerslev et al.

REVIEW OF FINANCIAL STUDIES (2009)

Article Business, Finance

Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices

Haitao Li et al.

REVIEW OF FINANCIAL STUDIES (2009)

Article Business, Finance

Variance Risk Premiums

Peter Carr et al.

REVIEW OF FINANCIAL STUDIES (2009)

Article Business, Finance

State dependence can explain the risk aversion puzzle

Fousseni Chabi-Yo et al.

REVIEW OF FINANCIAL STUDIES (2008)

Article Management

A theory of volatility spreads

Gurdip Bakshi et al.

MANAGEMENT SCIENCE (2006)

Article Business, Finance

Was there a Nasdaq bubble in the late 1990s?

Lubos Pástor et al.

JOURNAL OF FINANCIAL ECONOMICS (2006)

Article Economics

Putting risk in its proper place

L Eeckhoudt et al.

AMERICAN ECONOMIC REVIEW (2006)

Article Business, Finance

The cross-section of volatility and expected returns

A Ang et al.

JOURNAL OF FINANCE (2006)

Article Business, Finance

Wealth, information acquisition, and portfolio choice

J Peress

REVIEW OF FINANCIAL STUDIES (2004)

Article Business, Finance

Risks for the long run: A potential resolution of asset pricing puzzles

R Bansal et al.

JOURNAL OF FINANCE (2004)

Article Business, Finance

Stock return characteristics, Skew laws, and the differential pricing of individual equity options

G Bakshi et al.

REVIEW OF FINANCIAL STUDIES (2003)

Article Economics

Asymptotic methods for asset market equilibrium analysis

KL Judd et al.

ECONOMIC THEORY (2001)

Article Business, Finance

Recovering risk aversion from option prices and realized returns

JC Jackwerth

REVIEW OF FINANCIAL STUDIES (2000)

Article Business, Finance

Conditional skewness in asset pricing tests

CR Harvey et al.

JOURNAL OF FINANCE (2000)

Article Economics

Nonparametric risk management and implied risk aversion

Y Ait-Sahalia et al.

JOURNAL OF ECONOMETRICS (2000)