No. 43, Chengdu Road
Tsinghua University - PBC School of Finance
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Equilibrium asset pricing, stochastic volatility, risk neutral expectation, return predictability, option implied volatility, realized volatility, variance risk premium
Return Predictability, Implied Variance, Realized Variance, Equity Risk Premium, Variance Risk Premium, Time-Varying Risk Aversion
Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability
Macroeconomic uncertainty, asset return predictability, variance risk premia, recursive utility function.
Short-run predictability, variance premium dynamics, equity premium puzzle, bond risk premia, credit spread puzzle, macroeconomic uncertainty, recursive preference.
Credit Default Swap, Credit Risk Premium, Stochastic Volatility, Jumps, Structural Model, Nonlinear Effect, High-Frequency Data
Systemic risk, stress testing, portfolio credit risk, credit default swap, high-frequency data
Stress testing, systemic risk, insurance premium, default probability, credit default swap spread, high-frequency data, asset return correlation
Variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk
variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk
Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model
Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Consumption-Based Asset Pricing Model
Realized Jump Risk, Good and Bad Jumps, Conditional Equity Premium, Downside Economic Uncertainty, Variance Risk Premium.
Jump-Diffusion Process, Realized Variance, Bi-Power Variation, Realized Jumps, Jump Volatility, Credit Risk Premium.
variance risk premia, credit default swap spreads, option-implied variance, expected variance, realized variance
Variance Risk Premia, Credit Default Swap Spreads, Option-Implied Variance, Expected Variance, Realized Variance
Variance risk premia, credit default swap spreads, option-implied variance, expected variance, realized variance
Structural Credit Risk Models, Credit Default Swap Spreads, High Frequency Equity Volatility, Consistent Specification Analysis, Pricing Error Diagnostics
Distress Insurance Premium, Systemic Risk, Macroprudential Regulation, Large Complex Financial Institution, Too-Big-to-Fail, Too-Connected-to-Fail.
Currency return predictability, currency and stock variance risk premiums, forward premium puzzle, local consumption uncertainty, global inflation uncertainty.
forward premium puzzle, currency variance risk premium, stock variance, risk premium, unspanned currency uncertainty, forex return predictability
Stochastic volatility diffusions, integrated volatility, quadratic variation, realized volatility, high-frequency data, foreign exchange rates, GMM Estimation
Leverage Asymmetry, Volatility Feedback,Implied Volatility Forecast, Realized Volatility, Stochastic Volatility Model, Instrument Variable
Return and dividend growth predictability, variance risk premium, expected variation, long-run risk, equilibrium pricing, stochastic volatility and uncertainty, reduced form VAR, structural factor GARCH
Corporate bond yields, credit default swaps, liquidity
Corporate Bond Yield Spreads, Credit Default Swaps, Liquidity, CDS-Bond Basis
Corporate bond spreads, credit default swaps, liquidity
Systemic risk, Macroprudential regulation, Portfolio distress loss, Credit default swap, Dynamic conditional correlation
Unspanned Stochastic Volatility, Regime-Shift Term Structure, Bond Return Predictability, Expectations Hypothesis, Countercyclical Risk Premia, Realized Jump Risk
Term Structure of Interest Rates, Yield Curve, Regime Switching, Risk Premium, Expectation Hypothesis, Business Cycle, Efficient Method of Moments, EMM
Monte Carlo Study, Efficient Method of Moments, Maximum Likelihood Estimation, Square-Root Diffusion, Quasi-Maximum Likelihood, Generalized Method of Moments
Regime switching, term structure of interest rate, reprojection, efficient method of moments
Jump-diffusion, term structure of interest rates, conditional moment generator, multivariate weighted nonlinear least square, market price of risk
Long-run risk, economic uncertainty, variance risk premium, bond return predictability, term structure of interest rates, interest rate derivatives
Long-run risk, economic uncertainty, term structure of interest rates, bond risk premium, variance risk premium, predictability, interest rate derivatives
Ambiguity aversion, learning, variance premium, regime-shift, belief distortion, return predictability
Stock Return Volatility, Leverage Ratio, Surprise Shocks, Idiosyncratic Volatility, Uncertainty
Chengtou bond, real estate, corruption, local government financing vehicle, government guarantee, systemic risk
Shadow banking, dual-track reform, interest rate liberalization, Pareto improvement, credit resale
banking systemic risk, European debt crisis, too-big-to-fail, leverage, interconnectedness, credit default swap, macroprudential regulation
Order submission, Order aggressiveness, Disposition effect
Difference-of-opinion regarding signal precision, belief uncertainty, uncertainty premium, trading volume, volatility risk premium
international policy spillover, Chinese real-estate market, U.S. monetary policy, policy uncertainty, FA-VAR, shadow rate
Anti-corruption, competition, contagion, credit reallocation, financing capacity, political risk
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