Bjorn Eraker

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

975 University Avenue

Madison, WI 53706

United States

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

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 9,279

in Total Papers Citations

139

CROSSREF CITATIONS

22

Scholarly Papers (9)

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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 1,551 (20,257)
Citation 30

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

2.

The Impact of Jumps in Volatility and Returns

Downloads 1,261 (27,608)
Citation 52

The Impact of Jumps in Volatility and Returns

Number of pages: 47 Posted: 01 Jan 2001
Michael S. Johannes, Bjorn Eraker and Nick Polson
Graduate School of Business, Columbia University, University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Chicago - Booth School of Business
Downloads 1,261 (27,137)
Citation 52

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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, Graduate School of Business, Columbia University 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 1,040 (36,392)
Citation 9

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

4.

A Non-Linear Dynamic Model of the Variance Risk Premium

Downloads 564 (82,230)
Citation 5

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 504 (93,589)
Citation 5

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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 60 (597,787)

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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 510 (93,215)
Citation 12

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

6.

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

Journal of Finance, Forthcoming
Number of pages: 150 Posted: 05 Feb 2020 Last Revised: 24 Sep 2021
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 389 (128,184)
Citation 6

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

7.

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 329 (153,993)
Citation 4

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

8.

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 205 (246,804)
Citation 17

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

9.

Predictability Puzzles

Number of pages: 51 Posted: 08 Jul 2020
Bjorn Eraker
University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 157 (311,679)
Citation 1

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Predictability, VRP, Equilibrium, Expected Returns