Place du Maréchal de Lattre de Tassigny
Université Paris Dauphine - DRM Finance
in Total Papers Downloads
in Total Papers Citations
Aggregate volatility; threshold regression; conditional CAPM; range; VIX
option-implied volatility, volatility skew, return predictability
Uncertainty, volatility of volatility, hedge funds, performance
volatility risk, straddle returns, asset pricing, conditional factor models
Asset pricing; ex-ante physical skewness; realized skewness; quantile regression models
Uncertainty, vol-of-vol, VVIX, size, value
Tail risk, Idiosyncratic volatility, Size, Value, Anomalies
Value premium, Volatility risk, Straddle returns
volatility risk, jump risk, option returns, value premium, size anomaly
Options; Optimization; Short-sales; Consumption-based CAPM
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