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Implied Volatility, Realized Volatility, Historical Volatility, Spot Volatility, Quadratic Variation, Jump-Diffusion Processes, Market Prices of Risk, Error-in-the-Variables Problem
put pricing puzzle, option returns, jump-diffusion models, risk premia
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP6239.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
jump risk premia, jump-diffusion models, options returns, put pricing puzzle
Pricing kernel, risk-neutral valuation, simulated method of moments, reprojection
maximum likelihood estimation, jump diffusion processes, generalized method of moments, continuum of moment conditions, characteristic function, term structure models
Term structure, no-arbitrage affine models, macroeconomics, monetary policy, credit spread, budget deficit
inflation expectations, monetary policy, macro-finance, term structure model
File name: DP6809.
inflation, macro-finance term structure model, monetary policy, survey forecasts
Contingent Claims Approach, Default, Liquidation, Optimal Security Values, Control transfer
currency speculation, crashes, jumps, entropy, Bayesian MCMC
credit default swaps, auctions, settlement, open interest
File name: DP8456.
auctions, credit default swaps, mispricing, open interest, settlement
pricing kernel, asset returns, bond yields, recursive preferences, habits, jumps, disasters
File name: DP8488.
asset returns, bond yields, disasters, habits, jumps, pricing kernel, recursive preferences
entropy, coentropy, term structure, yields, excess returns
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
File name: DP11227.
entropy; coentropy; term structure; yields; excess returns
File name: DP7416.
cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities
forward-looking models; information sets;, monetary policy; exponential-affine models
File name: DP9611.
exponential-affine models, forward-looking models, information sets, monetary policy
File name: DP8745.
Bayesian MCMC, carry trades, exchange rates, implied volatility, jumps
Affine models, mortgage-backed securities, prepayment function
File name: DP7096.
great moderation, monetary policy, regime switches, structural VAR, term structure model
File name: DP11576.
credit default swaps, recursive preferences, sovereign default
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