Tobias Sichert

Swedish House of Finance

Drottninggatan 98

111 60 Stockholm

Sweden

Stockholm School of Economics

PO Box 6501

Stockholm, 11383

Sweden

SCHOLARLY PAPERS

4

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2

Scholarly Papers (4)

1.

The Pricing Kernel Is U-shaped

Number of pages: 52 Posted: 04 Jan 2018 Last Revised: 06 Feb 2023
Tobias Sichert and Tobias Sichert
Stockholm School of EconomicsSwedish House of Finance
Downloads 901 (50,737)
Citation 2

Abstract:

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Pricing kernel, stochastic discount factor, pricing kernel puzzle, volatility forecasting, options, GARCH

2.

Volatility and the Pricing Kernel

Swedish House of Finance Research Paper No. 21-22
Number of pages: 46 Posted: 30 Nov 2021 Last Revised: 25 Oct 2023
David Schreindorfer, Tobias Sichert and Tobias Sichert
Arizona State University and Stockholm School of EconomicsSwedish House of Finance
Downloads 741 (66,074)
Citation 1

Abstract:

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Pricing kernel, volatility, state prices, equity index options, tail risk, risk-return trade-off, conditional density estimation, habits, long-run risks, rare disasters, valuation risk

3.

A Non-Linear Market Model *

Swedish House of Finance Research Paper 22-13
Number of pages: 63 Posted: 14 Jun 2022 Last Revised: 23 Jun 2024
Tobias Sichert and Tobias Sichert
Stockholm School of EconomicsSwedish House of Finance
Downloads 558 (94,635)

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JEL classification: G10, G12, G13 Pricing kernel, anomalies, upside risk, variance risk, risk premia, skewness, tail risk

4.

Systematic Risk, Idiosyncratic Risk, and the Cross-Section of Expected Option Returns

Swedish House of Finance Research Paper 20-25
Number of pages: 56 Posted: 12 Oct 2020 Last Revised: 23 Jun 2024
Christian Schlag, Tobias Sichert and Tobias Sichert
Goethe University Frankfurt and Stockholm School of EconomicsSwedish House of Finance
Downloads 517 (104,058)
Citation 2

Abstract:

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Pricing kernel, equity options, cross-section of option returns, skewness, lottery preferences, volatility, idiosyncratic volatility, variance risk JEL: G0, G12, G13