Option-Implied Measures of Equity Risk-Reference-Cited by-同舟云学术

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Option-Implied Measures of Equity Risk

Published:2009 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Chang Bo Young,Christoffersen Peter,Jacobs Kris,Vainberg Gregory

Publisher

Elsevier BV

Reference69 articles.

1. Realized Beta: Persistence and Predictability;T Andersen;Advances in Econometrics: Econometric Analysis of Economic and Financial Time Series in Honor of,2006

2. Downside Risk

3. Spanning and Derivative Security Valuation;G Bakshi;Journal of Financial Economics,2000

4. Stock Return Characteristics, Skew Laws, and Di�erential Pricing of Individual Equity Options;G Bakshi;Review of Financial Studies,2003

5. Comovement

Cited by 5 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. Volatility Forecasting and Time-varying Variance Risk Premiums in Grains Commodity Markets;Journal of Agricultural Economics;2015-01-13

2. Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests;Journal of Banking & Finance;2014-09

3. Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?;Journal of Accounting Research;2012-02-24

4. Market Timing with Option-Implied Distributions: A Forward-Looking Approach;SSRN Electronic Journal;2011

5. News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons;Review of Financial Studies;2010-09-10

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