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Volatility Forecasting and Time‐varying Variance Risk Premiums in Grains Commodity Markets
16 references·1 citing·41 second hop
Volatility Forecasting and Time‐varying Variance Risk Premiums in Grains Commodity Markets (2015)Volatility Forecasting and Time‐varying V…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Market Skewness Risk and the Cross Section of Stock Returns (2013)Market Skewness Risk and the …Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Ex Ante Skewness and Expected Stock Returns (2009)Ex Ante Skewness and Expected…Variance Risk Premiums (2008)Variance Risk PremiumsOptions, futures and other derivatives (2008)Options, futures and other de…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Delta-Hedged Gains and the Ne…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2002)Stock Return Characteristics,…Inflation Targeting: A New Framework for Monetary Policy? (1997)Inflation Targeting: A New Fr…Business Cycles and the Behavior of Metals Prices (1988)Business Cycles and the Behav…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The pricing of commodity contracts (1976)The pricing of commodity cont…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach (2022)El Niño, La Niña, and forecas…Specification Tests in Econometrics (1978)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Tails, Fears, and Risk Premia (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)The Science of Monetary Policy: A New Keynesian Perspective (1999)Monetary Policy and Asset Price Volatility (2000)Open-Economy Inflation Targeting (2000)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Liquidity and leverage (2008)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)A Treatise on Money (1971)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward and spot exchange rates (1984)Time Series Momentum (2011)Index Investment and the Financialization of Commodities (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Risk, Uncertainty and Monetary Policy (2011)Firm‐Level Climate Change Exposure (2023)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2008Variance Risk Premiums1,381 cited
  • 2002Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 1997Inflation Targeting: A New Framework for Monetary Policy?1,233 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium934 cited
  • 2009Ex Ante Skewness and Expected Stock Returns784 cited
  • 2008Options, futures and other derivatives664 cited
  • 2011Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis550 cited
  • 1988Business Cycles and the Behavior of Metals Prices447 cited

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  • 2013Market Skewness Risk and the Cross Section of Stock Returns413 cited
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    • 2022El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach26 cited