1015 Lausanne, CH-1015
c/o University of Geneve
40, Bd du Pont-d'Arve
1211 Geneva, CH-6900
Ecole Polytechnique Fédérale de Lausanne
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne
in Total Papers Downloads
in Total Papers Citations
Option pricing, GARCH model, state price density, Monte Carlo simulation
Foreign Exchange Market, Liquidity, Commonality in Liquidity, Liquidity Spiral, Liquidity Risk Premium, Carry Trade
Options Trades, Open Interest, False Discovery Rate, Massive dataset
Variance Swap, Stochastic Volatility, Likelihood Approximation, Term Structure, Equity Risk Premium, Variance Risk Premium
M-estimator, Extreme Value Theory, Breakdown Point, Backtesting
Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data
Nonparametric regression, state price distribution, model misspecification, out-of-sample analysis, generalized likelihood ratio test
Repurchase agreements, money market structure, central counterparty, short-term debt, financial crisis, unconventional monetary policy
stochastic volatility, variance swap, quadratic term structure, quadratic jump-diffusion, dynamic optimal portfolio
systemic risk, marginal expected shortfall, pricing kernel, overconfidence, optimism
Market microstructure noise, high frequency data, measurement error, realized volatility, two scales realized volatility, out of sample forecasts.
Options Trades, Open Interest, False Discovery Rate, Massive dataset, Financial Crisis
Time series models, M-estimators, influence function, robust estimation and testing
Sentiment, Pricing Kernel, Optimism, Overconfidence
foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade
Research Performance, Scientific Impact Measures, Bibliometric Indices, Citations, Calibration
Repurchase agreements, repo market, central counterparty, short-term debt, liquidity hoarding, financial crisis, unconventional monetary policy
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