5500 Campanile Dr
San Diego, CA 92182
United States
San Diego State University
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in Total Papers Downloads
Overnight volatility, Realized Volatility, Overnight Returns, Daily Realized Volatility, Overnight Jumps, Stochastic Volatility, Bayesian MCMC, Predictive Density
Salience Theory, Asset Pricing, Behavioral Finance, Cryptocurrency, Portfolio Choice
Cryptocurrency, realized jump, return predictability, realized volatility
cryptocurrency, realized jump, return predictability, realized volatility
Climate change, voluntary disclosure, climate risk, CDS premium, informational uncertainty
Credit default swap spread, corporate default prediction, physical default, default risk premium, CDS liquidity
uncertainty, informational friction, CDS, CDS-bond basis, uncertainty beta
Stochastic volatility, realized volatility, implied volatility, MCMC, Bayesian forecasting
bond volatility, corporate default, CDS auction, market manipulation
Asymmetric Stochastic Volatility, Leverage Effect, Bayesian MCMC, Realized Volatility, Bipower Variation
bond illiquidity, return synchronicity, price informativeness, credit rating, institutional ownership