• Selected
• Entire List

Baltic Dry Index, global stock markets, commodity returns, global real economic activity, predictive regressions, out-of-sample statistic, economic significance

Baltic Dry Index, global stock markets, commodity returns, global real economic activity

risk-neutral volatility, physical volatility, pricing kernels, risk aversion, fat-tails

risk neutral skews, option pricing, individual stock options

volatility risk, skewness risk, kurtosis risk, higher moments, exposures, hedge funds, alphas

Stochastic discount factors, international economy, stochastic risk premium

Option pricing, stochastic volatility, volatility risk premium, delta-hedged gains

Continuous-time models, Maximum-likelihood estimation, Density approximation

Default risk models, reduced-form, leverage, distance-to-default, hedging

currency carry trades, predictability

subjective expectations; learning; structural uncertainty; priors; predictive density of consumption growth; equity premium; riskfree return

subjective expectations, learning, structural uncertainty, priors, predictive density of consumption growth, equity premium, riskfree return

subjective expectations, learning, structural uncertainty, priors, predictive density of consumption growth, equity premium, riskfree return

jump structure, pure-jump price, crashes, arrival rate, extremes

U-shaped pricing kernels, claims on the upside, monotonically declining pricing kernels,

U-shaped pricing kernels, claims on the upside, negative call returns, short-selling, heterogeneity in beliefs

closed-form density approximation, one-dimensional diffusion, maximum-likelihood

individual equity option-models, risk-neutral kurtosis, return-jumps, volatility-jumps, stochastic volatility, option-implied return distributions

Traded Volatility, VIX Option Returns, Tails of Pricing and Physical Distributions, Heterogeneity

Continuous-time models, Maximum-likelihood estimation, Density approximation, Market volatility dynamics

Stochastic discount factors, permanent component, transitory component, variance bounds

Stochastic discount factors, permanent component, transitory component, variance bounds, asset pricing models, eigenfunction problems

Predictability, traded market variance, real economic activity, Treasury returns, stock market

Density approximation, one-dimensional diffusions

traded volatility, VIX option returns, tails of pricing and physical distributions

Intra-Period Risk, First-Passage Probability, Value-At-Risk, Jump Models

Growth outlook, return cross-section, stock valuation, expected stock returns