Quebec G1K 7P4
Canada
Université Laval - Faculté d'Administration
Options, risk-neutral distribution, variance risk premium, return predictability, predictive regressions, international stock market returns, generalized riskiness, higher-order moments, skewness
Options, risk-neutral distribution, variance risk premium, return predictability, predictive regressions, international stock market returns, Foster-Hart riskiness, higher-order moments,
ross recovery; risk-neutral; volatility; forecast; options; international
Crude oil, Brent, WTI, spread, risk-neutral distribution, fractional cointegration, options
Financial fragmentation, banking fragmentation, risk-taking channel, monetary policy
risk aversion, pricing kernel, event study, generalised beta, option-implied density
commodities; futures; spillover; financialization; high-frequency; commercial; institutional; volatility; macro; announcements; surprise; events
pricing kernel; Ross recovery; risk-neutral; options
International asset pricing, financial integration, identification, exact inference
Commodities, portfolio diversification, financialization, spanning, performance measures
financial markets cointegration, financial integration, option-implied distribution
Credit freeze crisis, Fiscal policy, International transmission, Bayesian estimation
unconventionnal monetary policies; fiscal policies; investors sentiement; consumer confidence
Optimal currency areas, financial stability, financial fragmentation