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Bondarenko, Oleg's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
12,117 |
Total
Citations
165 |
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1.
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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3,105
(1,276)
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50
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Market Market Efficiency Hypothesis, Rational Learning, Option Valuation, Risk-Neutral Density, Peso Problem
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2.
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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2,076
(2,657)
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35
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Variance risk, option valuation, risk-neutral density, stochastic volatility, hedge funds
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3.
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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1,780
(3,418)
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7
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option valuation, nonparametric estimation, risk neutral density
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4.
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Statistical Arbitrage and Securities Prices
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Versions (2)
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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Posted:
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19 Aug 02
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Last Revised:
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12 Oct 11
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1,779
(3,424)
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21
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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17 Apr 03
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Last Revised:
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12 Oct 11
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0
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Arbitrage, Pricing Kernel, Market Efficiency Hypothesis, Rational Learning, Option Valuation, Risk-Neutral Density, Peso problem
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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1,779
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21
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Arbitrage, Pricing Kernel, Market Efficiency Hypothesis, Rational Learning, Option Valuation, Risk-Neutral Density, Peso problem
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5.
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Competing Market Makers, Liquidity Provision, and Bid-ask Spread
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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Posted:
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20 Dec 00
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Last Revised:
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21 Oct 08
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1,102
(7,890)
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4
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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0
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dealers market, imperfect competition, asymmetric information, dynamic equilibrium, components of the bid-ask spread
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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1,102
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4
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dealers market, imperfect competition, asymmetric information, dynamic equilibrium, components of the bid-ask spread
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6.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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09 Jul 11
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Last Revised:
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12 Oct 11
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742
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2
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VPIN, PIN, High-Frequency Trading, Order Flow Toxicity, Order Imbalance, Flash Crash, VIX, Volatility Forecasting
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7.
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Specialist Participation and Limit Orders
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Sung, Jaeyoung
Ajou University Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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Posted:
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20 Dec 00
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Last Revised:
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11 Oct 11
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429
(31,083)
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4
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Sung, Jaeyoung
Ajou University Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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10 Dec 01
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Last Revised:
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11 Oct 11
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0
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dealer market, asymmetric information, specialist participation, limit order book
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Sung, Jaeyoung
Ajou University Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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429
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4
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Dealer market, asymmetric information, specialist participation, limit order book
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8.
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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419
(32,058)
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33
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Variance Risk, Option Valuation, Risk-Neutral Density, Stochastic Volatility
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9.
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Construction and Interpretation of Model-Free Implied Volatility
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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Posted:
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28 Sep 07
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Last Revised:
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12 Oct 11
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402
(33,788)
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8
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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23 Jun 08
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Last Revised:
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12 Oct 11
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357
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8
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Model-Free Implied Volatility, Corridor Implied Volatility, Realized Volatility, VIX, Volatility Forecasting, Risk-Neutral Density
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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45
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8
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10.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance Gonzalez-Perez, Maria T.
Universidad Complutense de Madrid - Colegio Universitario de Estudios Financieros (CUNEF)
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21 Mar 11
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Last Revised:
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06 Dec 12
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249
(59,393)
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VIX, Model-Free Implied Volatility, Corridor Implied Volatility, Time Series Coherence
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11.
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A General Framework for the Derivation of Asset Price Bounds: An Application to Stochastic Volatility Option Models
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Versions (2)
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance Rodriguez Longarela, I.
University of Tromsø - Department of Economics - NFH
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Posted:
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24 Jun 09
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Last Revised:
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14 Oct 11
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34
(232,839)
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1
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance Rodriguez Longarela, I.
University of Tromsø - Department of Economics - NFH
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34
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1
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Option Pricing, Incomplete Markets, Good-Deal Bounds, Benchmark Stochastic Discount Factor, Stochastic Volatility Model, Continuous Time
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance Rodriguez Longarela, I.
University of Tromsø - Department of Economics - NFH
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0
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option pricing, incomplete markets, good-deal bounds, benchmark stochastic discount factor, stochastic volatility model, continuous time
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12.
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Bondarenko, Oleg
University of Illinois at Chicago - Department of Finance
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| Posted: |
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17 Feb 03
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Last Revised:
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11 Oct 11
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