Learning and Index Option Returns-Reference-Cited by-同舟云学术

Learning and Index Option Returns

Published:2018-10-16 Issue:2 Volume:38 Page:327-339
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Bernales Alejandro¹,Cortazar Gonzalo²,Salamunic Luka²,Skiadopoulos George³

Affiliation:

1. Universidad de Chile, Centro de Economía Aplicada and Centro de Finanzas, DII, Republica 701, Santiago, Chile ()

2. Pontificia Universidad Católica de Chile, Vicuña Mackenna 4860, Santiago, Chile (; )

3. Department of Banking and Financial Management, University of Piraeus, Karaoli and Dimitriou 80, Piraeus 18534, Greece, and School of Economics and Finance, Queen Mary University of London, Mile End Road. E1 4NS, London, United Kingdom. (, )

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2018.1505629

Reference37 articles.

1. Estimating and Testing Linear Models with Multiple Structural Changes

2. Explaining asset pricing puzzles associated with the 1987 market crash

3. Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests

4. Gain, Loss, and Asset Pricing

5. The Pricing of Options and Corporate Liabilities

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option via Joint Physical and Pricing Density Modeling;Risks;2021-11-04

2. What Do We Know About Individual Equity Options?;SSRN Electronic Journal;2019