Bo Young Chang

Bank of Canada

234 Wellington St.

Ottawa, Ontario K1A0G9

Canada

http://www.bankofcanada.ca/author/bo-young-chang-2/

SCHOLARLY PAPERS

4

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CITATIONS
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37

Scholarly Papers (4)

1.

Option-Implied Measures of Equity Risk

Review of Finance, Forthcoming
Number of pages: 44 Posted: 11 Jun 2009 Last Revised: 23 Jan 2012
Bank of Canada, University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 1,068 (13,102)
Citation 16

Abstract:

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market beta, CAPM, historical, capital budgeting, model-free moments

2.

Forecasting with Option-Implied Information

Handbook of Economic Forecasting, Volume 2, G. Elliott and A. Timmermann (eds.)
Number of pages: 72 Posted: 08 Dec 2011 Last Revised: 11 Jul 2012
Peter Christoffersen, Kris Jacobs and Bo Young Chang
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Bank of Canada
Downloads 927 (12,767)
Citation 2

Abstract:

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Volatility, skewness, kurtosis, density forecasting, risk-neutral

3.

Market Skewness Risk and the Cross-Section of Stock Returns

Number of pages: 43 Posted: 30 Sep 2009
Bo Young Chang, Peter Christoffersen and Kris Jacobs
Bank of Canada, University of Toronto - Rotman School of Management and University of Houston - C.T. Bauer College of Business
Downloads 862 (15,932)
Citation 19

Abstract:

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skewness risk, cross-section, ICAPM, volatility risk, option-implied moments

4.

Equity Option Implied Probability of Default and Equity Recovery Rate

Journal of Futures Markets, Forthcoming
Number of pages: 20 Posted: 05 Dec 2015 Last Revised: 19 Sep 2016
Bo Young Chang and Greg Orosi
Bank of Canada and American University of Sharjah
Downloads 0 (206,807)

Abstract:

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option, default, probability of default, arbitrage bounds