PA 19122
United States
Temple University-Fox School of Business
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Baltic Dry Index, global stock markets, commodity returns, global real economic activity
Baltic Dry Index, global stock markets, commodity returns, global real economic activity, predictive regressions, out-of-sample statistic, economic significance
risk-neutral volatility, physical volatility, pricing kernels, risk aversion, fat-tails
Option pricing, stochastic volatility, volatility risk premium, delta-hedged gains
risk neutral skews, option pricing, individual stock options
Commodity asset pricing models, carry, momentum, innovations in equity volatility, speculative activity
volatility risk, skewness risk, kurtosis risk, higher moments, exposures, hedge funds, alphas
currency carry trades, predictability
Stochastic discount factors, international economy, stochastic risk premium
VIX futures curve, stochastic orders, hedging instruments, contango
Default risk models, reduced-form, leverage, distance-to-default, hedging
Continuous-time models, Maximum-likelihood estimation, Density approximation
individual equity option-models, risk-neutral kurtosis, return-jumps, volatility-jumps, stochastic volatility, option-implied return distributions
subjective expectations, learning, structural uncertainty, priors, predictive density of consumption growth, equity premium, riskfree return
subjective expectations; learning; structural uncertainty; priors; predictive density of consumption growth; equity premium; riskfree return
expected excess return of the market, negative correlation condition, lower bound, market risk premium
default, recovery in default, structural models, default intensity-based credit risk models, model estimation, empirical facts in credit markets
U-shaped pricing kernels, claims on the upside, negative call returns, short-selling, heterogeneity in beliefs
U-shaped pricing kernels, claims on the upside, monotonically declining pricing kernels,
recovery theorem
Options on futures on Treasury bonds, interest-rate models, option risk premiums, unspanned risks in the pricing kernel
Predictability, traded market variance, real economic activity, Treasury returns, stock market
traded volatility, VIX option returns, tails of pricing and physical distributions
traded volatility, VIX option returns, tails of pricing and physical distributions, heterogeneiry
Asset Pricing, Factor Models, Stochastic Discount Factor, Model Selection, Manhattan Distance, Mixed-Integer Optimization
recovery
Stochastic discount factors, permanent component, transitory component, variance bounds, asset pricing models, eigenfunction problems
Stochastic discount factors, permanent component, transitory component, variance bounds
jump structure, pure-jump price, crashes, arrival rate, extremes
Traded Volatility, VIX Option Returns, Tails of Pricing and Physical Distributions, Heterogeneity
closed-form density approximation, one-dimensional diffusion, maximum-likelihood
Unspanned equity volatility and jump risks, unspanned risks in the pricing kernel, dark matter, option risk premiums
Dissimilarity between SDFs
Entropy, stochastic discount factors, permanent component, lower entropy bounds, entropy codependence, asset pricing models, eigenfunction problem
Continuous-time models, Maximum-likelihood estimation, Density approximation, Market volatility dynamics
Long-term Treasury bond, expected excess return, lower bound, options on bond futures
Density approximation, one-dimensional diffusions
Intra-Period Risk, First-Passage Probability, Value-At-Risk, Jump Models
dominant currency, currency put risk premium, currency volatility risk premium, carry trade
Three-Part Decomposition, Stationarity of Exchange Rates, Incomplete Markets, SDFs
Estimated gold models, financialized gold, safe haven, options on gold futures
Blowups, ambiguity aversion, performance measure, selling return tails
Incomplete Markets, Exchange Rates
Traded bundled risks, model of options on futures on the dollar index, formulation of dollar index option risk premiums, returns of options on futures on the dollar index, dynamic models of currency behavior
Expected market return; Disaster probabilities; Girsanov theorem; Equity index options
Cryptos, machines, estimations, model selection, average crypto returns, cross-sectional pricing
mutual fund, benchmark, ambiguity aversion
Exchange rate disconnect, geography, international bond, equity, and currency markets
Matched weekly (7DTE) options on S&P 500 index and 7DTE options on Treasury bond futures, bivariate jump distributions, stochastic jump intensity rates, estimated models
Expected return of options on Treasury bond futures, unspanned components of pricing kernel, interest-rate models, Tanaka’s formula, local time risk premiums
Hypothesis and generality of the negative correlation condition, dark matter property, conditional equity premium, options on S&P 500 equity index and STOXX 50 equity index
Incomplete Markets, Limited Risk Sharing, Currency Puzzles
Fund management, Fund performance
International risk sharing, incomplete markets, exchange rates, high (low) interest rates, carry trade
Growth outlook, return cross-section, stock valuation, expected stock returns
