Robert H. Smith School of Business
Van Munching Hall
College Park, MD 20742
University of Maryland - Department of Finance
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Return periodicity, Market Microstructure
News, Text Analysis
stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample
Trading, Microstructure, Periodicity, Anomaly
Behavioral Finance, Institutional Investor Decision Making; Equity Investments, Performance Measurement and Evaluation, Specific Investor Issues, Institutional Investors, Portfolio Management: Equity Portfolio Management Strategies
volatility, options, hedge
Pricing kernel, stochastic volatility, overreaction, variance risk
International Stock Returns, Market Integration, Behavioral Finance
Momentum, long-run reversal, periodic structure of stock returns
European equity markets, CAPM, 3-factor model
GARCH, out-of-sample, jumps, discrete-time model, continuous-time limit
pointshaving, gambling, forensic economics
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stochastic volatility, orthogonal polynomials, options
GARCH, volatility, bonds, options
volatility, path-dependent, options, closed-form
volatility components, fat tails, jumps, pricing kernel
capital market integration, international equity markets, factor models
international equity markets, portfolio diversification
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