Gabriel Power

Université Laval - Département de Finance et Assurance

Pavillon Palasis-Prince

Quebec G1K 7P4

Canada

SCHOLARLY PAPERS

9

DOWNLOADS

992

SSRN CITATIONS

6

CROSSREF CITATIONS

1

Scholarly Papers (9)

The Sum of All Fears: Forecasting International Returns using Option-implied Risk Measures

Number of pages: 46 Posted: 28 Dec 2017 Last Revised: 04 Mar 2020
Université Laval - Faculté d'Administration, Université Laval - Département de Finance et Assurance and Bishop’s University - Williams School of Business
Downloads 251 (155,931)

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Options, risk-neutral distribution, variance risk premium, return predictability, predictive regressions, international stock market returns, generalized riskiness, higher-order moments, skewness

Forecasting International Index Returns Using Option-Implied Variables

CRREP working paper serie 2018-07
Number of pages: 47 Posted: 10 Jul 2018
Université Laval - Faculté d'Administration, Université Laval - Département de Finance et Assurance and Bishop’s University - Williams School of Business
Downloads 52 (486,257)

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Options, risk-neutral distribution, variance risk premium, return predictability, predictive regressions, international stock market returns, Foster-Hart riskiness, higher-order moments,

2.

International Oil Market Risk Anticipations and the Cushing Bottleneck: Option-Implied Evidence

Number of pages: 43 Posted: 21 Sep 2016 Last Revised: 25 Aug 2019
Marie-Hélène Gagnon and Gabriel Power
Université Laval - Faculté d'Administration and Université Laval - Département de Finance et Assurance
Downloads 164 (230,763)

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Crude oil, Brent, WTI, spread, risk-neutral distribution, fractional cointegration, options

3.

Forecasting Market Index Volatility Using Ross-Recovered Distributions

Number of pages: 48 Posted: 26 Oct 2018 Last Revised: 31 Mar 2020
Université Laval - Faculté d'Administration, Université Laval - Département de Finance et Assurance and Bishop’s University - Williams School of Business
Downloads 162 (233,150)
Citation 1

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ross recovery; risk-neutral; volatility; forecast; options; international

4.

Investor Risk Aversion and Market Shocks: Event Studies using Options on Crude Oil

Number of pages: 54 Posted: 08 Aug 2012 Last Revised: 04 Jul 2013
Marie-Hélène Gagnon and Gabriel Power
Université Laval - Faculté d'Administration and Université Laval - Département de Finance et Assurance
Downloads 114 (306,003)

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risk aversion, pricing kernel, event study, generalised beta, option-implied density

5.

Financial Advisor Reputation and the Cost of Debt: Theory and Evidence from Project Finance Loans

Number of pages: 60 Posted: 03 Oct 2017 Last Revised: 25 Aug 2019
Université du Québec en Outaouais, Université Laval - Département de Finance et Assurance and Laval University
Downloads 90 (357,630)

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Financial intermediation, Asymmetric information, Market signaling, Cost of debt, Project finance, Public-private partnership

6.

Ross Recovery and the Contemporaneous Pricing Kernel

Number of pages: 34 Posted: 10 Aug 2021
Université Laval - Faculté d'Administration, Université Laval - Département de Finance et Assurance and Bishop’s University - Williams School of Business
Downloads 55 (466,461)

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pricing kernel; Ross recovery; risk-neutral; options

7.

International Stock Market Cointegration Under the Risk-Neutral Measure

Number of pages: 35 Posted: 29 Jul 2016
Université Laval - Faculté d'Administration, Université Laval - Département de Finance et Assurance and Bishop’s University - Williams School of Business
Downloads 55 (466,461)
Citation 3

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financial markets cointegration, financial integration, option-implied distribution

8.

They’re Back! Post-financialization Diversification Benefits of Commodities

Number of pages: 47 Posted: 11 Aug 2019
Université Laval - Faculté d'Administration, Université Laval - Département de Finance et Assurance and Université Laval - Département de Finance et Assurance
Downloads 49 (490,544)

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Commodities, portfolio diversification, financialization, spanning, performance measures

9.

Short‐ and Long‐Run Determinants of Commodity Price Volatility

American Journal of Agricultural Economics, Vol. 95, Issue 3, pp. 724-738, 2013
Number of pages: 15 Posted: 15 Apr 2020
Berna Karali and Gabriel Power
University of Georgia and Université Laval - Département de Finance et Assurance
Downloads 0 (819,890)
Citation 3
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Abstract:

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commodities, futures markets, macroeconomic indicators, spline-GARCH, volatility