Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia

Published:2012-12-11 Issue:1 Volume:34 Page:34-55
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Arisoy Yakup Eser¹

Affiliation:

1. Yakup Eser Arisoy is an Associate Professor of Finance at DRM Finance (CEREG), Université Paris Dauphine, Paris, France

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference63 articles.

1. Stock returns and volatility: Pricing the short-run and long-run components of market risk;Adrian;Journal of Finance,2008

2. Return volatility and trading volume: An information flow interpretation of stochastic volatility;Andersen;Journal of Finance,1996

3. Towards an empirical foundation of continuous-time equity return models;Andersen;Journal of Finance,2001

4. Downside risk;Ang;Review of Financial Studies,2006

5. The cross section of volatility and expected returns;Ang;Journal of Finance,2006

Cited by 11 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. The Only Constant Is Change: Nonconstant Volatility and Implied Volatility Spreads;Journal of Financial and Quantitative Analysis;2023-02-27

2. Timing the Size Risk Premia;Finance;2022-05-06

3. Timing the Size Risk Premia;Finance;2021-12-16

4. The value premium during flights;Finance Research Letters;2021-03

5. Downside jump risk and the levels of futures-cash basis;Pacific-Basin Finance Journal;2019-10

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP