Quebec G1K 7P4
Université Laval - Département de Finance et Assurance
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,
Crude oil, Brent, WTI, spread, risk-neutral distribution, fractional cointegration, options
ross recovery; risk-neutral; volatility; forecast; options; international
risk aversion, pricing kernel, event study, generalised beta, option-implied density
Financial intermediation, Asymmetric information, Market signaling, Cost of debt, Project finance, Public-private partnership
pricing kernel; Ross recovery; risk-neutral; options
financial markets cointegration, financial integration, option-implied distribution
Commodities, portfolio diversification, financialization, spanning, performance measures
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File name: AJAE.pdf
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commodities, futures markets, macroeconomic indicators, spline-GARCH, volatility
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