Bjorn Eraker

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

975 University Avenue

Madison, WI 53706

United States

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 12,310

in Total Papers Downloads

5,515

SSRN CITATIONS
Rank 7,640

SSRN RANKINGS

Top 7,640

in Total Papers Citations

98

CROSSREF CITATIONS

72

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 1,461 (17,888)
Citation 18

Abstract:

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

2.
Downloads 1,162 ( 25,172)
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
Columbia University - Columbia Business School, Finance, University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Chicago - Booth School of Business
Downloads 1,162 (24,761)
Citation 52

Abstract:

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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 University - Columbia Business School, Finance 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 974 (32,408)
Citation 9

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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 482 (80,761)
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 40 (571,800)

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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 452 (88,062)
Citation 7

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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 330 (125,802)
Citation 3

Abstract:

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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 304 (137,097)
Citation 5

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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 188 (218,140)
Citation 15

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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 120 (312,729)
Citation 1

Abstract:

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Predictability, VRP, Equilibrium, Expected Returns

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 (843,127)
Citation 13

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