Jonathan Wallen

Stanford University, Graduate School of Business

PhD Student

Stanford, CA

United States

SCHOLARLY PAPERS

2

DOWNLOADS

472

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

Fundamentals, Derivatives Market Information and Oil Price Volatility

Number of pages: 47 Posted: 05 Oct 2014 Last Revised: 26 Feb 2021
Michel A. Robe and Jonathan Wallen
University of Illinois at Urbana-Champaign and Stanford University, Graduate School of Business
Downloads 349 (119,096)

Abstract:

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Crude oil, Implied volatility, VIX, Output constraints, Inventories, Speculation

Fundamentals, Derivatives Market Information and Oil Price Volatility

Journal of Futures Markets, Vol. 36, No. 4, April 2016
Posted: 09 Jun 2015 Last Revised: 26 Feb 2021
Michel A. Robe and Jonathan Wallen
University of Illinois at Urbana-Champaign and Stanford University, Graduate School of Business

Abstract:

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Implied volatility, Satellite market, Crude oil, VIX, Physical market, Output constraints, Inventories, Speculation

2.

Intermediary Funding Cost and Short-Term Risk Premia

Number of pages: 46 Posted: 29 May 2018 Last Revised: 14 Nov 2018
Wenhao Li and Jonathan Wallen
University of Southern California - Marshall School of Business and Stanford University, Graduate School of Business
Downloads 123 (310,715)

Abstract:

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intermediary asset pricing; risk premia; idiosyncratic risks; price reversal