Nima Ebrahimi

University of Houston-Department of Finance

SCHOLARLY PAPERS

3

DOWNLOADS

118

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

The Risk of Skewness and Kurtosis in Oil Market and the Cross-Section of Stock Returns

Number of pages: 40 Posted: 10 May 2018 Last Revised: 27 May 2018
Nima Ebrahimi and Craig Pirrong
University of Houston-Department of Finance and University of Houston - Department of Finance
Downloads 61 (356,322)

Abstract:

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Cross-Section, Skewness Risk, Kurtosis Risk, Portfolio

2.

The Fundamental, Speculative and Macroeconomic Determinants of Variance and Skew Risk Premia in Oil Market

Number of pages: 46 Posted: 10 May 2018
Craig Pirrong and Nima Ebrahimi
University of Houston - Department of Finance and University of Houston-Department of Finance
Downloads 57 (368,388)

Abstract:

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Variance Risk, Skewness Risk, Option-Implied Momemnts, Oil Fundamentals, Macroeconomic, Speculative

3.

Oil Jump Risk

Posted: 10 May 2018 Last Revised: 07 Aug 2019
Nima Ebrahimi
University of Houston-Department of Finance

Abstract:

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Jump Risk, Delta-Vega Neutral Portfolio, Delta-Gamma Neutral Portfolio, Cross-Section