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Option pricing, GARCH model, state price density, Monte Carlo simulation
G13
Options Trades, Open Interest, False Discovery Rate, Massive dataset
Variance Swap, Stochastic Volatility, Likelihood Approximation, Term Structure, Equity Risk Premium, Variance Risk Premium
Foreign Exchange Market, Liquidity, Commonality in Liquidity, Liquidity Spiral, Liquidity Risk Premium, Carry Trade
Sentiment, Pricing Kernel, Optimism, Overconfidence, Option Data
Repurchase agreements, money market structure, central counterparty, short-term debt, financial crisis, unconventional monetary policy
M-estimator, Extreme Value Theory, Breakdown Point, Backtesting
stochastic volatility, variance swap, quadratic term structure, quadratic jump-diffusion, dynamic optimal portfolio
Nonparametric regression, state price distribution, model misspecification, out-of-sample analysis, generalized likelihood ratio test
systemic risk, marginal expected shortfall, pricing kernel, overconfidence, optimism
cash flow risk, permanent and transitory shocks, liquidity management
Market microstructure noise, high frequency data, measurement error, realized volatility, two scales realized volatility, out of sample forecasts.
repo market, funding run, financial stability, asymmetric information, central clearing, novation, guarantee fund, collateral
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Sentiment, Pricing Kernel, Optimism, Overconfidence
Options Trades, Open Interest, False Discovery Rate, Massive dataset, Financial Crisis
Efficiency, growth, short-term effort, investment, estimation
choice under uncertainty, optimal portfolios, generalized disappointment aversion, L-moments
foreign exchange market, liquidity, commonality in liquidity, liquidity spiral, liquidity risk premium, carry trade
Lévy jumps, time changes, tempered stable law, time series, option pricing
Research Performance, Scientific Impact Measures, Bibliometric Indices, Citations, Calibration
Time series models, M-estimators, influence function, robust estimation and testing
Repurchase agreements, repo market, central counterparty, short-term debt, liquidity hoarding, financial crisis, unconventional monetary policy