The information content of the term structure of risk-neutral skewness-Reference-Cited by-同舟云学术

The information content of the term structure of risk-neutral skewness

Published:2020-09 Issue: Volume:58 Page:247-274
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Borochin Paul,Chang Hao,Wu Yangru

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference43 articles.

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5. Option implied volatility, skewness, and kurtosis and the cross-section of expected stock returns;Bali;Georgetown McDonough Sch. Bus. Res. Pap.,2019

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1. Realized higher moments and trading activity;Review of Quantitative Finance and Accounting;2023-12-14

2. Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets;Applied Economics;2022-11-16

3. An option-based approach to measuring disclosure asymmetry;The Accounting Review;2022-11-01

4. Option-Implied Skewness and the Value of Financial Intermediaries;Journal of Financial Services Research;2022-10-20

5. Risk‐neutral skewness and commodity futures pricing;Journal of Futures Markets;2022-01-14