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Disasters Implied by Equity Index Options
16 references·16 citing·37 second hopsampled
Disasters Implied by Equity Index Options (2011)Disasters Implied by Equity Index OptionsVariable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Variable Rare Disasters: An E…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective (2005)Housing Collateral, Consumpti…Empirical pricing kernels (2002)Empirical pricing kernelsRisks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Recovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)The Equity Premium Puzzle and…The equity risk premium a solution (1988)The equity risk premium a sol…The equity premium: A puzzle (1985)The equity premium: A puzzlePrices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Low‐Risk Anomalies? (2020)Low‐Risk Anomalies?Commodity Trade and the Carry Trade: A Tale of Two Countries (2017)Commodity Trade and the Carry…Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees (2016)Too-Systemic-to-Fail: What Op…The price of variance risk (2016)The price of variance riskLearning about Consumption Dynamics (2015)Learning about Consumption Dy…The Price of Political Uncertainty: Theory and Evidence from the Option Market (2014)The Price of Political Uncert…Nobel Lecture: Uncertainty Outside and Inside Economic Models (2014)Nobel Lecture: Uncertainty Ou…Sources of Entropy in Representative Agent Models (2013)Sources of Entropy in Represe…Realized Skewness (2012)Realized SkewnessRare Macroeconomic Disasters (2012)Rare Macroeconomic DisastersDynamic Valuation Decomposition Within Stochastic Economies (2012)Dynamic Valuation Decompositi…Consumption-Based Asset Pricing with Higher Cumulants (2012)Consumption-Based Asset Prici…Can Rare Events Explain the Equity Premium Puzzle? (2012)Can Rare Events Explain the E…International risk cycles (2011)International risk cyclesRare Disasters and Risk Sharing with Heterogeneous Beliefs (2010)Rare Disasters and Risk Shari…Crash Risk in Currency Markets (2009)Crash Risk in Currency MarketsCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Asset Prices in an Exchange Economy (1978)The Consumption of Stockholders and Non-Stockholders (1990)Short- Term Interest Rates as Predictors of Inflation (2021)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The Theory of Syndicates (1968)Martingales and arbitrage in multiperiod securities markets (1979)The Conditional CAPM and the Cross-Section of Expected Returns (1996)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1988The equity risk premium a solution1,397 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 2012Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *1,059 cited
  • 1989The Equity Premium Puzzle and the Riskfree Rate Puzzle922 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 2002Empirical pricing kernels687 cited

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2005
Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective
637 cited

Cited by

  • 2014The Price of Political Uncertainty: Theory and Evidence from the Option Market391 cited
  • 2016Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees222 cited
  • 2012Realized Skewness214 cited
  • 2012Rare Macroeconomic Disasters196 cited
  • 2016The price of variance risk189 cited
  • 2009Crash Risk in Currency Markets187 cited
  • 2011International risk cycles178 cited
  • 2012Consumption-Based Asset Pricing with Higher Cumulants177 cited
  • 2010Rare Disasters and Risk Sharing with Heterogeneous Beliefs171 cited
  • 2017Commodity Trade and the Carry Trade: A Tale of Two Countries154 cited
  • 2014Nobel Lecture: Uncertainty Outside and Inside Economic Models152 cited
  • 2013Sources of Entropy in Representative Agent Models145 cited
  • 2020Low‐Risk Anomalies?144 cited
  • 2012Can Rare Events Explain the Equity Premium Puzzle?141 cited
  • 2015Learning about Consumption Dynamics136 cited
  • 2012Dynamic Valuation Decomposition Within Stochastic Economies131 cited