Chatham St.
Liverpool, L69 7ZH
United Kingdom
http://www.rodrigohizmeri.com
University of Liverpool - Management School (ULMS)
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zero days-to-expiration (0DTE) options, equity premium, variance risk premium, pricing kernel, option returns
Left tail risk, return predictability, factor models, risk-neutralization, high-frequency data
High-Frequency Options; High-Frequency Data; Option Realized Semivariances; Option Realized Signed Jumps; Downside Risk
Volatility uncertainty, Variance risk premium, VVIX, Underreaction, Slow-moving Beliefs
Diversification risk, Implied correlation risk, Volatility risk, Downside risk, Cross-section of stock returns
Realized Volatility, Microstructure Noise, Pre-Averaged Estimators, Semi-variances, Semicovariances, Volatility Forecasting.
realized volatility, heterogeneous autoregressive models, intraday periodicity, forecast, variance risk-premium
Volatility Forecasts, Realized Volatility, Finite Activity Jumps, Infinite Activity Jumps, Signed Jumps, Noise-Robust Realized Volatility, Model Averaging
Volatility Forecasting, Jump Measures, Business Sampling, Calendar Sampling, Market Microstructure Noise, Model Averaging
Network Connectedness, Variance Decomposition, Bayesian Wald-type Test, High-Frequency Options, Monetary Policy Surprises. JEL Classification: C1, C11, C12, E52, E58
Realized Volatility, Forecasting, Measurement Error, HAR, GARCH, HARQ, DBC-HAR
Common Jumps, Directional Common Jumps, Realized Covariances, Forecasting, Asset Allocation, Portfolio Construction
high-frequency data, infinite jumps, finite jumps, microstructure noise, Price staleness, FDR
