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Du, Du's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
549 |
Total
Citations
7 |
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1.
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Du, Du
Hong Kong University of Science & Technology (HKUST)
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202
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economic disasters, habit formation, volatility smirk, equity premium
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2.
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Du, Du
Hong Kong University of Science & Technology (HKUST)
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82
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5
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habit formation, economic disasters, jump-risk premium, volatility smirk
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3.
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Du, Du
Hong Kong University of Science & Technology (HKUST)
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14 Apr 09
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Last Revised:
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10 Jan 10
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80
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regime switching, affine processes, within-the-regime jumps, Feyman-Kac theorem
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4.
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General Equilibrium Pricing of Currency and Currency Options with Variable Disasters and Recursive Utility
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Du, Du
Hong Kong University of Science & Technology (HKUST)
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Posted:
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12 Jan 10
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Last Revised:
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16 Mar 10
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79
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Du, Du
Hong Kong University of Science & Technology (HKUST)
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35
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economic disaster, disaster intensity, risk sharing, forward premium puzzle, stochastic skewness
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Du, Du
Hong Kong University of Science & Technology (HKUST)
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44
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economic disaster, disaster intensity, risk sharing, forward premium
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5.
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Du, Du
Hong Kong University of Science & Technology (HKUST) Elkamhi, Redouane
University of Toronto
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48
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Peso problem, credit spread, volatility, smirk premium, market integration
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6.
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Du, Du
Hong Kong University of Science & Technology (HKUST)
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36
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macroeconomic condition, nature of competition, regime switching effect, investment threshold
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7.
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Elkamhi, Redouane
University of Iowa - Henry B. Tippie College of Business Du, Du
Hong Kong University of Science & Technology (HKUST)
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22
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