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What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?
16 references·0 citing·39 second hopsampled
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? (2016)What Does the Volatility Risk Premium Say…Challenges of Big Data analysis (2014)Challenges of Big Data analys…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Variance Risk Premiums (2008)Variance Risk PremiumsLiquidity and leverage (2008)Liquidity and leverageDesigning Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Deciphering the Liquidity and Credit Crunch 2007-08 (2008)Deciphering the Liquidity and…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesA Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…The relation between implied and realized volatility (1998)The relation between implied …Implied Binomial Trees (1994)Implied Binomial TreesCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Book Review: Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Efficient Capital Markets: II (1991)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Determining the Number of Factors in Approximate Factor Models (2002)Forecasting Using Principal Components From a Large Number of Predictors (2002)Twitter mood predicts the stock market (2011)Beyond the hype: Big data concepts, methods, and analytics (2014)Artificial Intelligence and Management: The Automation-Augmentation Paradox (2020)Artificial Intelligence and Management: The Automation–Augmentation Paradox (2021)On Persistence in Mutual Fund Performance (1997)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)CoVaR (2016)Determinants of corporate borrowing (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Bank lending during the financial crisis of 2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,703 cited
  • 2008Liquidity and leverage2,557 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 1994Implied Binomial Trees1,749 cited
  • 2014Challenges of Big Data analysis1,491 cited
  • 2008Variance Risk Premiums1,381 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 2008Deciphering the Liquidity and Credit Crunch 2007-081,026 cited
  • 2005

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The Model-Free Implied Volatility and Its Information Content
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