Chiara Legnazzi

Swiss Finance Institute

Finance PhD Student

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

558

CITATIONS

1

Scholarly Papers (3)

1.

WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application

Journal of Forecasting, Volume 38, Issue 6, Pages 552-563, Forthcoming , Swiss Finance Institute Research Paper No. 16-53
Number of pages: 25 Posted: 24 Feb 2016 Last Revised: 13 Aug 2019
University of Lugano, Singapore Management University, Swiss Finance Institute and ESADE Business School
Downloads 229 (132,637)
Citation 4

Abstract:

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Option Prices, Risk Measures, VaR and CVaR, Elicitability

2.

A Bayesian Estimate of the Pricing Kernel

Swiss Finance Institute Research Paper No. 16-14
Number of pages: 47 Posted: 19 Feb 2016 Last Revised: 28 Oct 2017
Giovanni Barone-Adesi, Chiara Legnazzi and Antonietta Mira
University of Lugano, Swiss Finance Institute and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 181 (165,361)

Abstract:

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Pricing Kernel, pricing kernel puzzle, Poisson-Dirichlet Process

3.

Option-Implied Risk Measures: An Empirical Examination on the S&P500 Index

International Journal of Finance and Economics, Forthcoming
Number of pages: 46 Posted: 16 Apr 2018 Last Revised: 12 Aug 2019
Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala
University of Lugano, Swiss Finance Institute and ESADE Business School
Downloads 148 (196,541)

Abstract:

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Option Prices, VaR and CVaR, Long and Short-term Risk Measures, S&P 500 Index