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Generalized risk premia
16 references·5 citing·53 second hop
Generalized risk premia (2015)Generalized risk premiaWhy Are Put Options So Expensive? (2014)Why Are Put Options So Expens…The Skew Risk Premium in the Equity Index Market (2013)The Skew Risk Premium in the …Realized Skewness (2012)Realized SkewnessThe Recovery Theorem (2011)The Recovery TheoremDisasters Implied by Equity Index Options (2011)Disasters Implied by Equity I…What's Vol Got to Do with It (2010)What's Vol Got to Do with ItTowards a Theory of Volatility Trading (2010)Towards a Theory of Volatilit…Variance Risk Premiums (2008)Variance Risk PremiumsStock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…Affine processes and applications in finance (2003)Affine processes and applicat…Variable Selection for Portfolio Choice (2001)Variable Selection for Portfo…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…Stochastic Differential Utility (1992)Stochastic Differential Utili…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk (2020)Option-Based Estimation of th…Skewness preference and the popularity of technical analysis (2019)Skewness preference and the p…Product Market Competition and Option Prices (2019)Product Market Competition an…Identifying Beliefs from Asset Prices (2019)Identifying Beliefs from Asse…Divergence and the Price of Uncertainty* (2018)Divergence and the Price of U…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)… and the Cross-Section of Expected Returns (2015)The arbitrage theory of capital asset pricing (1976)The Determinants of Capital Structure Choice (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Shrinking the cross-section (2019)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Tails, Fears, and Risk Premia (2011)The VIX, the variance premium and stock market volatility (2014)Momentum crashes (2016)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The Price of Correlation Risk: Evidence from Equity Options (2009)Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2010)Parametric and Nonparametric Volatility Measurement (2010)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)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Demand-Based Option Pricing (2005)The Impact of Uncertainty Shocks (2009)The Econometrics of Financial Markets (2012)Investor Attention and Stock Market Volatility (2014)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)What is the Expected Return on the Market?* (2016)
this work references cited by second hop

References

  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 2008Variance Risk Premiums1,328 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 1997Assessing Specification Errors in Stochastic Discount Factor Models768 cited
  • 2010What's Vol Got to Do with It684 cited
  • 2010Towards a Theory of Volatility Trading561 cited
  • 2001Variable Selection for Portfolio Choice409 cited
  • 2011The Recovery Theorem354 cited
  • 2011Disasters Implied by Equity Index Options299 cited
  • 2014Why Are Put Options So Expensive?239 cited
  • 2013The Skew Risk Premium in the Equity Index Market228 cited
  • 2012Realized Skewness214 cited

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Cited by

  • 2018Divergence and the Price of Uncertainty*36 cited
  • 2020Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk30 cited
  • 2019Product Market Competition and Option Prices26 cited
  • 2019Skewness preference and the popularity of technical analysis26 cited
  • 2019Identifying Beliefs from Asset Prices22 cited