Trumpington St.
Cambridge, CB21AG
United Kingdom
University of Cambridge - Cambridge Judge Business School
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Corporate bonds, implied volatility changes, default risk, information diffusion
Cross-Section of Option Returns, PCA, Factor Model
Delta-hedged option returns, volatility uncertainty, volatility-of-volatility, model risk, gambling preference
Moment risk premia; Variance risk premium; Option-implied moments; Stock return predictability; Predictive regression
Delta-Hedged Option Returns, Default Risk, Variance Risk Premium, Volatility, Capital Structure Model
Global tail risk; Option-implied equity tail risk; Currency returns; Carry trade; Currency momentum
Stock mispricing, signed volume, option trading
Option Pricing, Risk Neutral Distribution, Higher Order Moments
jump-diffusion model, GARCH filtering, asset pricing
volatility, skewness, kurtosis, nonparametric estimation, risk neutral distribution