Bjorn Eraker

University of Wisconsin - Madison - Department of Finance, Investment and Banking

975 University Avenue

Madison, WI 53706

United States

SCHOLARLY PAPERS

10

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Top 10,974

in Total Papers Downloads

4,792

SSRN CITATIONS
Rank 8,014

SSRN RANKINGS

Top 8,014

in Total Papers Citations

79

CROSSREF CITATIONS

71

Scholarly Papers (10)

1.

Do Investors Overpay for Stocks with Lottery-Like Payoffs? An Examination of the Returns on OTC Stocks

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 01 Jan 2011 Last Revised: 21 Jul 2014
Bjorn Eraker and Mark Ready
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin Madison
Downloads 1,331 (16,071)
Citation 15

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over-the-counter, OTC, pink sheets, skew, skewness, lottery, prospect theory, return anomalies, rational pricing, behavioral finance

2.
Downloads 1,063 ( 22,514)
Citation 44

The Impact of Jumps in Volatility and Returns

Number of pages: 47 Posted: 01 Jan 2001
Michael S. Johannes, Bjorn Eraker and Nick Polson
Columbia Business School - Finance and Economics, University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Chicago - Booth School of Business
Downloads 1,063 (22,129)
Citation 44

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Jumps, Stochastic Volatility, Continuous-Time Econometrics, Option Pricing, Market Stress

The Impact of Jumps in Volatility and Returns

Posted: 31 Aug 2003
Bjorn Eraker, Michael S. Johannes and Nick Polson
University of Wisconsin - Madison - Department of Finance, Investment and Banking, Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business

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3.

Explaining the Negative Returns to VIX Futures and ETNs: An Equilibrium Approach

Number of pages: 51 Posted: 15 Oct 2013 Last Revised: 03 Dec 2014
Bjorn Eraker and Yue Wu
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 904 (28,520)
Citation 11

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VIX futures, volatility risk premium, present value CAPM, equilibrium, VIX ETNs, jump risk

A Non-Linear Dynamic Model of the Variance Risk Premium

Journal of Econometrics, Forthcoming
Number of pages: 35 Posted: 29 Apr 2012 Last Revised: 03 Dec 2014
Bjorn Eraker and Jiakou Wang
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 467 (67,472)
Citation 2

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VIX, variance risk premium, nonlinear model

A Non-Linear Dynamic Model of the Variance Risk Premium

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 50 Posted: 12 Mar 2012 Last Revised: 03 Dec 2014
Jiakou Wang and Bjorn Eraker
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 35 (504,566)

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5.

Durable Goods, Inflation Risk, and Equilibrium Asset Prices

Review of Financial Studies (2016) 29(1): 193-231, AFA 2013 San Diego Meetings Paper, Kelley School of Business Research Paper No. 2015-01, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 62 Posted: 17 Mar 2011 Last Revised: 11 Jan 2016
Bjorn Eraker, Ivan Shaliastovich and Wenyu Wang
University of Wisconsin - Madison - Department of Finance, Investment and Banking, University of Wisconsin - Madison and Indiana University - Kelley School of Business - Department of Finance
Downloads 385 (85,650)
Citation 3

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durable consumption, inflation risk, long-run risks, equilibrium yield curve, equilibrium equity return

6.

Dynamic Present Values and the Intertemporal CAPM

Number of pages: 44 Posted: 12 Aug 2011 Last Revised: 14 May 2014
Bjorn Eraker and Wenyu Wang
University of Wisconsin - Madison - Department of Finance, Investment and Banking and Indiana University - Kelley School of Business - Department of Finance
Downloads 291 (117,143)
Citation 4

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CAPM, Conditional CAPM, ICAPM, Dynamic Consistency, Present Value, Dynamic Equilibrium

7.

Affine General Equilibrium Models

Number of pages: 37 Posted: 22 Feb 2006
Bjorn Eraker
University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 180 (186,600)
Citation 14

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General equilibrium, Epstein-Zin, recursive preferences, equity premium, term structure

8.

Predictability Puzzles

Number of pages: 51 Posted: 08 Jul 2020
Bjorn Eraker
University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 67 (374,169)

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Predictability, VRP, Equilibrium, Expected Returns

9.

The Price of Higher Order Catastrophe Insurance: The Case of VIX Options

Number of pages: 79 Posted: 05 Feb 2020
Bjorn Eraker and Aoxiang Yang
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 67 (374,169)
Citation 1

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VIX, VIX options, Dynamic Equilibrium, Duffie-Epstein, Variance Risk Premium

10.

An Equilibrium Guide to Designing Affine Pricing Models

Mathematical Finance, Vol. 18, Issue 4, pp. 519-543, October 2008
Number of pages: 25 Posted: 19 Sep 2008
Bjorn Eraker and Ivan Shaliastovich
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison
Downloads 2 (708,957)
Citation 12
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