Nonparametric Risk Management and Implied Risk Aversion

Ait-Sahalia, Yacine; Lo, Andrew

Horizon effects in the pricing kernel: How investors price short-term versus long-term risks. (2025). Driessen, Joost ; Koter, Joren ; Wilms, Ole.
In: Other publications TiSEM.
RePEc:tiu:tiutis:18d19e20-6d30-4828-9a8e-940a54b55924.
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Dynamic kernel models. (2024). Vallarino, Pierluigi.
In: Tinbergen Institute Discussion Papers.
RePEc:tin:wpaper:20240082.
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Option-implied bond spread risk. (2024). Onofri, Marco ; Moshammer, Edmund ; Hudecz, Gergely.
In: Working Papers.
RePEc:stm:wpaper:66.
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Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Sangrey, Paul ; Renault, Eric ; Cheng, XU.
In: PIER Working Paper Archive.
RePEc:pen:papers:24-013.
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Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle. (2024). Sibbertsen, Philipp ; Krupski, Jan ; Dierkes, Maik ; Schroen, Sebastian.
In: Review of Derivatives Research.
RePEc:kap:revdev:v:27:y:2024:i:1:d:10.1007_s11147-023-09197-3.
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Analyzing the Influence of Risk Models and Investor Risk-Aversion Disparity on Portfolio Selection in Community Solar Projects: A Comparative Case Study. (2024). Banihashemi, Saeed ; Nnaji, Chukwuma ; Shakouri, Mahmoud ; le Nguyen, Khoung.
In: Risks.
RePEc:gam:jrisks:v:12:y:2024:i:5:p:75-:d:1387035.
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Natural Cubic Spline Approximation of Risk-Neutral Density. (2024). Jiang, Liyuan ; Zhou, Shuang ; Yang, Jie ; Wang, Fangfang ; Li, Keren.
In: IJFS.
RePEc:gam:jijfss:v:12:y:2024:i:4:p:127-:d:1545889.
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The international linkages of market risk perception. (2024). Vich-Llompart, Magdalena M ; Vaello-Sebastia, Antoni ; Serrano, Pedro.
In: Journal of Multinational Financial Management.
RePEc:eee:mulfin:v:72:y:2024:i:c:s1042444x23000452.
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Disclosing and cooling-off: An analysis of insider trading rules. (2024). Yang, Liyan ; Deng, Jun ; Pan, Huifeng.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:160:y:2024:i:c:s0304405x24001363.
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Uncertainty premia for small and large risks. (2024). Savor, Pavel ; Wilson, Mungo ; Puhl, Martin.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:167:y:2024:i:c:s0378426624001675.
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Information Aggregation with Asymmetric Asset Payoffs. (2024). Hellwig, Christian ; Tsyvinski, Aleh ; Albagli, Elias.
In: Journal of Finance.
RePEc:bla:jfinan:v:79:y:2024:i:4:p:2715-2758.
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Arbitrage Pricing Theory for Idiosyncratic Variance Factors*. (2023). , Bas ; Van, Thijs ; Renault, Eric.
In: Journal of Financial Econometrics.
RePEc:oup:jfinec:v:21:y:2023:i:5:p:1403-1442..
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The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven.
In: Finance and Economics Discussion Series.
RePEc:fip:fedgfe:96652.
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Learning risk preferences from investment portfolios using inverse optimization. (2023). Dong, Chaosheng ; Wang, Haoran ; Yu, Shi.
In: Research in International Business and Finance.
RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000053.
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Optimal measure preserving derivatives revisited. (2023). Beare, Brendan.
In: Mathematical Finance.
RePEc:bla:mathfi:v:33:y:2023:i:2:p:370-388.
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Option pricing with state?dependent pricing kernel. (2022). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen.
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:42:y:2022:i:8:p:1409-1433.
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Recovering subjective probability distributions. (2022). Yamazaki, Akira.
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:42:y:2022:i:7:p:1234-1263.
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Option prices for risk?neutral density estimation using nonparametric methods through big data and large?scale problems. (2022). , Antonio ; Antonio, ; Monteiro, Ana M.
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:42:y:2022:i:1:p:152-171.
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From innovation to obfuscation: continuous time finance fifty years later. (2022). Perrakis, Stylianos.
In: Financial Markets and Portfolio Management.
RePEc:kap:fmktpm:v:36:y:2022:i:3:d:10.1007_s11408-021-00399-z.
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The Time Variation in Risk Appetite and Uncertainty. (2022). Xu, Nancy R ; Engstrom, Eric C ; Bekaert, Geert.
In: Management Science.
RePEc:inm:ormnsc:v:68:y:2022:i:6:p:3975-4004.
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Pricing of index options in incomplete markets. (2022). Freire, Gustavo ; Almeida, Caio.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:144:y:2022:i:1:p:174-205.
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Endogenous habits and equilibrium asset prices. (2022). Seifried, Frank Thomas ; Meyer-Wehmann, Andre ; Kraft, Holger.
In: Journal of Economic Behavior & Organization.
RePEc:eee:jeborg:v:197:y:2022:i:c:p:279-300.
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Price impact versus bid–ask spreads in the index option market. (2022). van Kervel, Vincent ; Seeger, Norman J ; Kaeck, Andreas.
In: Journal of Financial Markets.
RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000550.
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Optimal exercise of American puts with transaction costs under utility maximization. (2022). Zhu, Song-Ping ; Yan, Dong ; Lu, Xiaoping.
In: Applied Mathematics and Computation.
RePEc:eee:apmaco:v:415:y:2022:i:c:s0096300321007682.
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Dynamic Estimates Of The Arrow-Pratt Absolute And Relative Risk Aversion Coefficients. (2022). Pittis, Nikitas ; Samartzis, George.
In: Papers.
RePEc:arx:papers:2211.03604.
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Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K.
In: Papers.
RePEc:arx:papers:2207.00949.
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Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard.
In: Papers.
RePEc:arx:papers:2204.06943.
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Optimal measure preserving derivatives revisited. (2022). Beare, Brendan.
In: Papers.
RePEc:arx:papers:2201.09108.
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Coins with benefits: On existence, pricing kernel and risk premium of cryptocurrencies. (2021). Chen, Yi-Hsuan ; Vinogradov, Dmitri V.
In: IRTG 1792 Discussion Papers.
RePEc:zbw:irtgdp:2021006.
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Optimal portfolio allocation using option?implied information. (2021). Strittmatter, Marius ; Olmo, Jose ; Kyriacou, Maria.
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:41:y:2021:i:2:p:266-285.
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The lead of oil price rises on US equity market beliefs and preferences. (2021). Dark, Jonathan.
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1861-1887.
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Estimating real?world probabilities: A forward?looking behavioral framework. (2021). Crisostomo, Ricardo .
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1797-1823.
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Stock market tail risk, tail risk premia, and return predictability. (2021). Yoon, SunJoong ; Suh, Sangwon.
In: Journal of Futures Markets.
RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1569-1596.
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Can We Hedge an Investment Against A Potential Unexpected Environmental Disaster?. (2021). HALKOS, GEORGE ; Zisiadou, Argyro.
In: Economics of Disasters and Climate Change.
RePEc:spr:ediscc:v:5:y:2021:i:3:d:10.1007_s41885-021-00085-4.
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Do Investors Overreact for Property and Financial Service Sectors?. (2021). Sing, Tien Foo ; Dong, Zhi.
In: Journal of Emerging Market Finance.
RePEc:sae:emffin:v:20:y:2021:i:1:p:79-123.
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Mean-variance hedging in the presence of estimation risk. (2021). Chiu, Wan-Yi.
In: Review of Derivatives Research.
RePEc:kap:revdev:v:24:y:2021:i:3:d:10.1007_s11147-021-09176-6.
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A model-free approach to multivariate option pricing. (2021). Vanduffel, Steven ; Bondarenko, Oleg ; Bernard, Carole.
In: Review of Derivatives Research.
RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09172-2.
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Inflating away the public debt? An empirical assessment. (2021). Raviv, Alon ; Hilscher, Jens ; Reis, Ricardo.
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:107543.
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Pricing kernel monotonicity and term structure: Evidence from China. (2021). Guo, Shuxin ; Liu, Qiang ; Jiao, Yuhan.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302983.
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Measuring investors’ risk aversion in China’s stock market. (2021). Zhou, Zipeng ; Wang, Tianyi ; Bian, Timothy Yang.
In: Finance Research Letters.
RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317050.
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Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales. (2021). CrisÃ³stomo, Ricardo ; Crisostomo, Ricardo .
In: CNMV Documentos de Trabajo.
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Getting on and Moving Up the Property Ladder: Real Hedging in the U.S. Housing Market Before and After the Crisis. (2021). Escobari, Diego ; Damianov, Damian S.
In: Real Estate Economics.
RePEc:bla:reesec:v:49:y:2021:i:4:p:1201-1237.
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Shedding light on a dark matter: Jump diffusion and option?implied investor preferences. (2021). Perrakis, Stylianos ; Oancea, Michael ; Ghanbari, Hamed.
In: European Financial Management.
RePEc:bla:eufman:v:27:y:2021:i:2:p:244-286.
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Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George.
In: European Financial Management.
RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.
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Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen.
In: Papers.
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A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K.
In: OSF Preprints.
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Financial econometrics, mathematics, statistics, and financial technology: an overall view. (2020). Lee, Cheng Few.
In: Review of Quantitative Finance and Accounting.
RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-020-00883-z.
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Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints. (2020). , Antonio ; Antonio, ; Monteiro, Ana M.
In: Review of Derivatives Research.
RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09156-x.
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Is Investors’ Psychology Affected Due to a Potential Unexpected Environmental Disaster?. (2020). HALKOS, GEORGE ; Zisiadou, Argyro.
In: JRFM.
RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:151-:d:383470.
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The Equity Curve and Its Relation to Future Stock Returns. (2020). Stotz, Olaf.
In: JRFM.
RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:19-:d:311689.
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Does the Ross recovery theorem work empirically?. (2020). Menner, Marco ; Jackwerth, Jens Carsten.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:137:y:2020:i:3:p:723-739.
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A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368.
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Variance disparity and market frictions. (2020). Park, Yang-Ho.
In: Journal of Econometrics.
RePEc:eee:econom:v:214:y:2020:i:2:p:326-348.
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Nonparametric filtering of conditional state-price densities. (2020). Dalderop, Jeroen.
In: Journal of Econometrics.
RePEc:eee:econom:v:214:y:2020:i:2:p:295-325.
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Implied risk aversion and pricing kernel in the FTSE 100 index. (2020). Sung, Hao-Chang ; Ju, Wen.
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302092.
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Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei.
In: Economic Modelling.
RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397.
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The Pricing Kernel Puzzle: A Real Phenomenon or a Statistical Artifact?. (2020). Anwar, Sajid ; Siddiqi, Hammad.
In: International Review of Finance.
RePEc:bla:irvfin:v:20:y:2020:i:2:p:485-491.
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Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M.
In: Financial Management.
RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330.
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Estimating real-world probabilities: A forward-looking behavioral framework. (2020). CrisÃ³stomo, Ricardo.
In: Papers.
RePEc:arx:papers:2012.09041.
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A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K.
In: Papers.
RePEc:arx:papers:2006.15312.
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Convex Optimization Over Risk-Neutral Probabilities. (2020). Boyd, Stephen ; Tuck, Jonathan ; Barratt, Shane.
In: Papers.
RePEc:arx:papers:2003.02878.
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Option?implied risk measures: An empirical examination on the S&P 500 index. (2019). Sala, Carlo ; Legnazzi, Chiara ; Baroneadesi, Giovanni.
In: International Journal of Finance & Economics.
RePEc:wly:ijfiec:v:24:y:2019:i:4:p:1409-1428.
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Getting on and moving up the property ladder: Real hedging in the U.S. housing market before and after the crisis. (2019). Escobari, Diego ; Damianov, Damian S.
In: MPRA Paper.
RePEc:pra:mprapa:92389.
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The Time Variation in Risk Appetite and Uncertainty. (2019). Bekaert, Geert ; Xu, Nancy R ; Engstrom, Eric C.
In: NBER Working Papers.
RePEc:nbr:nberwo:25673.
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Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method. (2019). Tomar, Nutan Kumar ; Kumar, Sumit ; Kundu, Arindam.
In: Computational Economics.
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A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion. (2019). Skiadopoulos, George ; Faccini, Renato ; Sarantopoulou-Chiourea, Sylvia ; Konstantinidi, Eirini.
In: Management Science.
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Dynamic analysis of implied risk neutral density. (2019). Boujelbene, Younes ; Aloulou, Abderrahmen.
In: International Journal of Monetary Economics and Finance.
RePEc:ids:ijmefi:v:12:y:2019:i:1:p:39-58.
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Generalized recovery. (2019). Pedersen, Lasse Heje ; Lando, David ; Jensen, Christian Skov.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:133:y:2019:i:1:p:154-174.
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A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.
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Functional Ross recovery: Theoretical results and empirical tests. (2019). Maurer, Raimond ; Dillschneider, Yannick.
In: Journal of Economic Dynamics and Control.
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INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL. (2018). Han, Xixuan ; Yang, Hailiang ; Wei, Boyu.
In: International Journal of Theoretical and Applied Finance (IJTAF).
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Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment. (2018). Stork, Philip ; KrÃƒÂ¤ussl, Roman ; Kraussl, Roman ; Felix, Luiz .
In: Tinbergen Institute Discussion Papers.
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Rearrangement algorithm and maximum entropy. (2018). Vanduffel, Steven ; Bondarenko, Oleg ; Bernard, Carole.
In: Annals of Operations Research.
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The pricing kernel puzzle in forward looking data. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio.
In: Review of Derivatives Research.
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Risk-adjusted option-implied moments. (2018). Korn, Olaf ; Brinkmann, Felix.
In: Review of Derivatives Research.
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The determinants of CDS spreads: evidence from the model space. (2018). Vilsmeier, Johannes ; Pelster, Matthias.
In: Review of Derivatives Research.
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The pricing kernel puzzle: survey and outlook. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio.
In: Annals of Finance.
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An Improvement of Gain-Loss Price Bounds on Options Based on Binomial Tree and Market-Implied Risk-Neutral Distribution. (2018). Chung, Cheng-Huang ; Lei, Mujun ; Jiang, Shi-Jie.
In: Sustainability.
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Analyzing the Risks Embedded in Option Prices with rndfittool. (2018). Santucci de Magistris, Paolo ; Barletta, Andrea.
In: Risks.
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Speculation, risk aversion, and risk premiums in the crude oil market. (2018). Li, Bingxin .
In: Journal of Banking & Finance.
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Option-implied objective measures of market risk. (2018). Leiss, Matthias ; Nax, Heinrich H.
In: Journal of Banking & Finance.
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Macro stress testing the U.S. banking system. (2018). Molyneux, Philip ; Kanas, Angelos.
In: Journal of International Financial Markets, Institutions and Money.
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Test of recent advances in extracting information from option prices. (2018). Hudson, Robert ; Gregoriou, A ; Healy, J V.
In: International Review of Financial Analysis.
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Value-at-Risk prediction using option-implied risk measures. (2018). Zhou, Chen ; Schindelhauer, Kai.
In: DNB Working Papers.
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Making Parametric Portfolio Policies Work. (2018). Gehrig, Thomas ; Westerkamp, Arne ; Sogner, Leopold .
In: CEPR Discussion Papers.
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Generalized Recovery. (2018). Lando, David ; Jensen, Christian Skov ; Pedersen, Lasse Heje.
In: CEPR Discussion Papers.
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Medida de aversiÃ³n al Riesgo Mediante Volatilidades ImplÃcitas Realizadas. (2018). Sagner, Andres ; Fernandois, Antonio ; Alvarez, Nicolas.
In: Working Papers Central Bank of Chile.
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Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno .
In: Papers.
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Single stock call options as lottery tickets. (2017). Stork, Philip ; KrÃƒÂ¤ussl, Roman ; Kraussl, Roman ; Felix, Luiz .
In: CFS Working Paper Series.
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SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION. (2017). HÃƒÂ¤rdle, Wolfgang ; Krymova, Ekaterina ; Hardle, Wolfgang Karl ; Belomestny, Denis.
In: International Journal of Theoretical and Applied Finance (IJTAF).
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The shape of small sample biases in pricing kernel estimations. (2017). , Dietmar.
In: Quantitative Finance.
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Information content of right option tails: Evidence from S&P 500 index options. (2017). Orosi, Greg.
In: Journal of Asset Management.
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Does fundamental value run asset price formation process? Evidence from option price information content. (2017). Aloulou, Abderrahmen ; Ellouze, Siwar .
In: Journal of Asset Management.
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What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models. (2017). Julliard, Christian ; Taylor, Alex P ; Ghosh, Anisha.
In: Review of Financial Studies.
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Mispriced Index Option Portfolios. (2017). Perrakis, Stylianos ; Constantinides, George ; Czerwonko, Michal .
In: NBER Working Papers.
RePEc:nbr:nberwo:23708.
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The Implied Risk Neutral Density Dynamics: Evidence from the S&P TSX 60 Index. (2017). Souissi, Nessim .
In: Journal of Applied Mathematics.
RePEc:hin:jnljam:3156250.
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Does Market Experience Attenuate Risk Aversion? Evidence from Landed Farm Households in Ethiopia. (2017). Melesse, Mequanint ; Cecchi, Francesco.
In: World Development.
RePEc:eee:wdevel:v:98:y:2017:i:c:p:447-466.
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Time-varying risk aversion and return predictability. (2017). Yoon, Sun-Joong .
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:49:y:2017:i:c:p:327-339.
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Multivariate elliptical truncated moments. (2017). Broda, Simon ; Arismendi, Juan C.
In: Journal of Multivariate Analysis.
RePEc:eee:jmvana:v:157:y:2017:i:c:p:29-44.
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Option pricing under time-varying risk-aversion with applications to risk forecasting. (2017). Kiesel, Rudiger ; Rahe, Florentin .
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:76:y:2017:i:c:p:120-138.
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Timing strategy performance in the crude oil futures market. (2017). Taylor, Nick.
In: Energy Economics.
RePEc:eee:eneeco:v:66:y:2017:i:c:p:480-492.
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Do the central bank actions reduce interest rate volatility?. (2017). Moura, Jaqueline Terra ; Machado, Jose Valentim.
In: Economic Modelling.
RePEc:eee:ecmode:v:65:y:2017:i:c:p:129-137.
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Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market. (2017). Wu, Xin Yu ; Zhou, Hailin ; Ren, Senchun.
In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH.
RePEc:cys:ecocyb:v:50:y:2017:i:4:p:263-278.
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The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius.
In: BIS Working Papers.
RePEc:bis:biswps:652.
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A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea.
In: CREATES Research Papers.
RePEc:aah:create:2017-15.
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The determinants of CDS spreads: Evidence from the model space. (2016). Pelster, Matthias ; Vilsmeier, Johannes.
In: Discussion Papers.
RePEc:zbw:bubdps:432016.
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Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics II: Economic Implications. (2016). Perrakis, Stylianos ; Czerwonko, Michal .
In: Quarterly Journal of Finance (QJF).
RePEc:wsi:qjfxxx:v:06:y:2016:i:04:n:s2010139216500191.
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Algorithms for Finding Copulas Minimizing Convex Functions of Sums. (2016). Bernard, Carole ; McLeish, Don.
In: Asia-Pacific Journal of Operational Research (APJOR).
RePEc:wsi:apjorx:v:33:y:2016:i:05:n:s0217595916500408.
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Pricing of Catastrophe Risk and the Implied Volatility Smile. (2016). Ben Ammar, Semir.
In: Working Papers on Finance.
RePEc:usg:sfwpfi:2016:17.
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Crash Sensitivity and the Cross-Section of Expected Stock Returns. (2016). Ruenzi, Stefan ; Weigert, Florian.
In: Working Papers on Finance.
RePEc:usg:sfwpfi:2013:24.
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Generalized Recovery. (2016). Pedersen, Lasse ; Lando, David ; Jensen, Christian Skov .
In: 2016 Meeting Papers.
RePEc:red:sed016:935.
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VaR and CVaR Implied in Option Prices. (2016). Adesi, Giovanni Barone ; Baroneadesi, Giovanni.
In: JRFM.
RePEc:gam:jjrfmx:v:9:y:2016:i:1:p:2-:d:64713.
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The macroeconomic shock with the highest price of risk. (2016). Pintor, Gabor.
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:86225.
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Instance-based credit risk assessment for investment decisions in P2P lending. (2016). Zhou, Wenjun ; Luo, Chunyu ; Liu, Chuanren ; Xiong, Hui ; Guo, Yanhong .
In: European Journal of Operational Research.
RePEc:eee:ejores:v:249:y:2016:i:2:p:417-426.
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Conditional Value-at-Risk: Semiparametric estimation and inference. (2016). Wang, Chuan-Sheng ; Zhao, Zhibiao.
In: Journal of Econometrics.
RePEc:eee:econom:v:195:y:2016:i:1:p:86-103.
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A tale of two option markets: Pricing kernels and volatility risk. (2016). SONG, ZHAOGANG ; Xiu, Dacheng.
In: Journal of Econometrics.
RePEc:eee:econom:v:190:y:2016:i:1:p:176-196.
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Nonparametric Tail Risk, Stock Returns and the Macroeconomy. (2016). Garcia, RenÃƒÂ© ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym .
In: CIRANO Working Papers.
RePEc:cir:cirwor:2016s-20.
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Misspecified Recovery. (2016). Scheinkman, Jose ; Hansen, Lars ; Borovička, Jaroslav ; Borovika, Jaroslav.
In: Journal of Finance.
RePEc:bla:jfinan:v:71:y:2016:i:6:p:2493-2544.
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Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; de Magistris, Paolo Santucci ; Barletta, Andrea.
In: CREATES Research Papers.
RePEc:aah:create:2016-20.
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Misspecified Recovery. (2015). Scheinkman, Jose ; Hansen, Lars ; BoroviÄka, Jaroslav ; Borovicka, Jaroslav.
In: Working Papers.
RePEc:pri:metric:063_2014.
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Towards a skewness index for the Italian stock market. (2015). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca.
In: Department of Economics.
RePEc:mod:depeco:0064.
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Pricing Kernel Modeling. (2015). HÃƒÂ¤rdle, Wolfgang ; Belomestny, Denis ; Hardle, Wolfgang Karl ; Ma, Shujie.
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2015-001.
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Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars.
In: Risks.
RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385.
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Option-implied objective measures of market risk. (2015). Nax, Heinrich H ; Leiss, Matthias .
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:65446.
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Super-exponential growth expectations and the global financial crisis. (2015). Sornette, Didier ; Nax, Heinrich H ; Leiss, Matthias .
In: LSE Research Online Documents on Economics.
RePEc:ehl:lserod:65434.
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Option-implied risk aversion estimation. (2015). Bedoui, Rihab ; Hamdi, Haykel .
In: The Journal of Economic Asymmetries.
RePEc:eee:joecas:v:12:y:2015:i:2:p:142-152.
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The role of the variance premium in Jump-GARCH option pricing models. (2015). Byun, Sukjoon ; Yoon, Sun-Joong ; Min, Byungsun ; Jeon, Byoung Hyun .
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:59:y:2015:i:c:p:38-56.
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Investor attention and FX market volatility. (2015). Goddard, John ; Wang, Qingwei ; Kita, Arben .
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:38:y:2015:i:c:p:79-96.
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State price densities implied from weather derivatives. (2015). LÃƒÂ³pez Cabrera, Brenda ; HÃƒÂ¤rdle, Wolfgang ; Hardle, Wolfgang Karl ; Teng, Huei-Wen ; Lopez-Cabrera, Brenda .
In: Insurance: Mathematics and Economics.
RePEc:eee:insuma:v:64:y:2015:i:c:p:106-125.
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Volatility-of-volatility and tail risk hedging returns. (2015). Park, Yang-Ho .
In: Journal of Financial Markets.
RePEc:eee:finmar:v:26:y:2015:i:c:p:38-63.
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Learning, confidence, and option prices. (2015). Shaliastovich, Ivan.
In: Journal of Econometrics.
RePEc:eee:econom:v:187:y:2015:i:1:p:18-42.
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Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints. (2015). Fengler, Matthias ; Hin, Lin-Yee.
In: Journal of Econometrics.
RePEc:eee:econom:v:184:y:2015:i:2:p:242-261.
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Super-exponential growth expectations and the global financial crisis. (2015). Leiss, Matthias ; Sornette, Didier ; Nax, Heinrich H..
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:55:y:2015:i:c:p:1-13.
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As AtuaÃ§Ãµes Cambiais do Banco Central Afetam as Expectativas de Mercado?. (2015). Araujo, Gustavo ; Moura, Jaqueline Terra ; Machado, Jose Valentim.
In: Working Papers Series.
RePEc:bcb:wpaper:393.
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Risk-adjusted option-implied moments. (2014). Brinkmann, Felix ; Korn, Olaf .
In: CFR Working Papers.
RePEc:zbw:cfrwps:1407.
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Comparison of methods to estimate option implied risk-neutral densities. (2014). Lai, Wan-Ni .
In: Quantitative Finance.
RePEc:taf:quantf:v:14:y:2014:i:10:p:1839-1855.
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Testing monotonicity of pricing kernels. (2014). Golubev, Yuri ; Hardle, Wolfgang ; Timofeev, Roman .
In: AStA Advances in Statistical Analysis.
RePEc:spr:alstar:v:98:y:2014:i:4:p:305-326.
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Excessive financial services CEO pay and financial crisis: Evidence from calibration estimation. (2014). Dong, Gang Nathan .
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:27:y:2014:i:c:p:75-96.
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Extracting market information from equity options with exponential LÃ©vy processes. (2014). Fabozzi, Frank ; Leccadito, Arturo ; Tunaru, Radu S..
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:38:y:2014:i:c:p:125-141.
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A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic. (2013). Turvey, Calum ; Han, Qian.
In: Working Papers.
RePEc:wyi:wpaper:002038.
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A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models. (2013). Han, Qian.
In: Working Papers.
RePEc:wyi:wpaper:002033.
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Some Recent Developments in Nonparametric Finance. (2013). Hong, Yongmiao ; CAI, ZONGWU.
In: Working Papers.
RePEc:wyi:wpaper:002011.
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Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints. (2013). Fengler, Matthias ; Hin, Lin-Yee.
In: Economics Working Paper Series.
RePEc:usg:econwp:2011:36.
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Stochastic Compounding and Uncertain Valuation. (2013). Scheinkman, Jose ; Hansen, Lars.
In: Working Papers.
RePEc:pri:metric:wp051_2013_hansen_scheinkman_stochastic-compounding-and-uncertain-valuati.
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Parametric modeling of implied smile functions: a generalized SVI model. (2013). Hodges, Stewart ; Zhao, BO.
In: Review of Derivatives Research.
RePEc:kap:revdev:v:16:y:2013:i:1:p:53-77.
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State Price Densities implied from weather derivatives. (2013). LÃƒÂ³pez Cabrera, Brenda ; HÃƒÂ¤rdle, Wolfgang ; Hardle, Wolfgang Karl ; Teng, Huei-Wen ; Lopez-Cabrera, Brenda .
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2013-026.
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Reference Dependent Preferences and the EPK Puzzle. (2013). HÃƒÂ¤rdle, Wolfgang ; Grith, Maria ; Hardle, Wolfgang Karl ; Kratschmer, Volker.
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2013-023.
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OPTION-IMPLIED RISK AVERSION ANOMALIES: EVIDENCE FROM JAPANESE MARKET. (2013). TAKKABUTR, Nattapol .
In: Hitotsubashi Journal of Economics.
RePEc:hit:hitjec:v:54:y:2013:i:2:p:137-157.
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Probability weighting functions implied in options prices. (2013). Zhao, Feng ; Polkovnichenko, Valery .
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:107:y:2013:i:3:p:580-609.
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Explaining the structure of CEO incentive pay with decreasing relative risk aversion. (2013). Chaigneau, Pierre.
In: Journal of Economics and Business.
RePEc:eee:jebusi:v:67:y:2013:i:c:p:4-23.
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Minimal variance hedging of natural gas derivatives in exponential LÃ©vy models: Theory and empirical performance. (2013). Siu, Tak Kuen ; Ewald, Christian-Oliver ; Nawar, Roy .
In: Energy Economics.
RePEc:eee:eneeco:v:36:y:2013:i:c:p:97-107.
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Forecasting with Option-Implied Information. (2013). Christoffersen, Peter ; Young, BO ; Jacobs, Kris.
In: Handbook of Economic Forecasting.
RePEc:eee:ecofch:2-581.
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Option pricing with discrete time jump processes. (2013). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique.
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:37:y:2013:i:12:p:2417-2445.
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Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?. (2013). Martelin, Nicolas ; Lehnert, Thorsten.
In: LSF Research Working Paper Series.
RePEc:crf:wpaper:13-11.
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Forward-looking robust portfolio selection. (2013). Sigalotti, Laura ; Cecchetti, Sara .
In: Temi di discussione (Economic working papers).
RePEc:bdi:wptemi:td_913_13.
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Exact simulation pricing with Gamma processes and their extensions. (2013). Kim, Dohyun ; Zhang, Zhiyuan ; James, Lancelot F..
In: Papers.
RePEc:arx:papers:1310.6526.
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Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines. (2012). Audrino, Francesco ; Meier, Pirmin .
In: Economics Working Paper Series.
RePEc:usg:econwp:2012:10.
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Option pricing with discrete time jump processes. (2012). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique.
In: Documents de travail du Centre d'Economie de la Sorbonne.
RePEc:mse:cesdoc:11037r.
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Pricing Kernels with Stochastic Skewness and Volatility Risk. (2012). Chabi-Yo, Fousseni.
In: Management Science.
RePEc:inm:ormnsc:v:58:y:2012:i:3:p:624-640.
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Option pricing with discrete time jump processes. (2012). Guegan, Dominique ; Ielpo, Florian ; Lalaharison, Hanjarivo.
In: Post-Print.
RePEc:hal:journl:halshs-00611706.
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The current account as a dynamic portfolio choice problem. (2012). Didier, Tatiana ; Lowenkron, Alexandre .
In: Journal of the Japanese and International Economies.
RePEc:eee:jjieco:v:26:y:2012:i:4:p:518-541.
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Information demand and stock market volatility. (2012). Vlastakis, Nikolaos ; Markellos, Raphael.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:36:y:2012:i:6:p:1808-1821.
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Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis. (2012). Zhou, Hao ; Huang, Xin ; Zhu, Haibin .
In: Journal of Financial Stability.
RePEc:eee:finsta:v:8:y:2012:i:3:p:193-205.
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Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements. (2011). cotter, john ; Dowd, Kevin.
In: Working Papers.
RePEc:ucd:wpaper:2005/16.
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Risk preference and trading motivation measurement due to moneyness: evidence from the S&P 500 Index option market. (2011). Chang, Ting-Huan .
In: Applied Financial Economics.
RePEc:taf:apfiec:v:21:y:2011:i:14:p:1049-1057.
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Does Information Content of Option Prices Add Value for Asset Allocation?. (2011). Pezier, Jacques ; Zdorovenin, Vladimir .
In: ICMA Centre Discussion Papers in Finance.
RePEc:rdg:icmadp:icma-dp2011-03.
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Risk Taking with Additive and Multiplicative Background Risks. (2011). Schlesinger, Harris ; Franke, GÃƒÂ¼nter ; Stapleton, Richard C..
In: Working Paper Series of the Department of Economics, University of Konstanz.
RePEc:knz:dpteco:1125.
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Does Portfolio Optimization Pay?. (2011). Franke, GÃƒÂ¼nter ; Graf, Ferdinand .
In: Working Paper Series of the Department of Economics, University of Konstanz.
RePEc:knz:dpteco:1119.
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The Puzzle of Index Option Returns. (2011). Savov, Alexi ; Jackwerth, Jens ; Constantinides, George.
In: Working Paper Series of the Department of Economics, University of Konstanz.
RePEc:knz:dpteco:1117.
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A Generalized Measure of Riskiness. (2011). Chabi-Yo, Fousseni ; Bali, Turan G. ; Cakici, Nusret.
In: Management Science.
RePEc:inm:ormnsc:v:57:y:2011:i:8:p:1406-1423.
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Market Timing with Option-Implied Distributions: A Forward-Looking Approach. (2011). Skiadopoulos, George ; KOSTAKIS, ALEXANDROS ; Panigirtzoglou, Nikolaos .
In: Management Science.
RePEc:inm:ormnsc:v:57:y:2011:i:7:p:1231-1249.
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Can standard preferences explain the prices of out-of-the-money S&P 500 put options?. (2011). Benzoni, Luca ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
In: Working Paper Series.
RePEc:fip:fedhwp:wp-2011-11.
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Measure preserving derivatives and the pricing kernel puzzle. (2011). Beare, Brendan.
In: Journal of Mathematical Economics.
RePEc:eee:mateco:v:47:y:2011:i:6:p:689-697.
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Explaining asset pricing puzzles associated with the 1987 market crash. (2011). Benzoni, Luca ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:101:y:2011:i:3:p:552-573.
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Risk taking with additive and multiplicative background risks. (2011). Schlesinger, Harris ; Franke, GÃƒÂ¼nter ; Stapleton, Richard C..
In: Journal of Economic Theory.
RePEc:eee:jetheo:v:146:y:2011:i:4:p:1547-1568.
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Do interest rate options contain information about excess returns?. (2011). Almeida, Caio ; Joslin, Scott ; Graveline, Jeremy J..
In: Journal of Econometrics.
RePEc:eee:econom:v:164:y:2011:i:1:p:35-44.
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2011). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael .
In: Journal of Econometrics.
RePEc:eee:econom:v:160:y:2011:i:1:p:235-245.
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An Empirical Test of Pricing Kernel Monotonicity. (2011). Schmidt, Lawrence ; Beare, Brendan.
In: University of California at San Diego, Economics Working Paper Series.
RePEc:cdl:ucsdec:qt5572n8pc.
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Time Varying Risk Aversion: An Application to Energy Hedging. (2011). Hanly, Jim ; cotter, john.
In: Papers.
RePEc:arx:papers:1103.5968.
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Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris.
In: CREATES Research Papers.
RePEc:aah:create:2011-46.
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Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence. (2010). Perrakis, Stylianos ; Jackwerth, Jens ; Constantinides, George ; Czerwonko, Michal .
In: NBER Working Papers.
RePEc:nbr:nberwo:16302.
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Portfolio Choice for HARA Investors: When Does 1/Î³ (not) Work?. (2010). Franke, GÃƒÂ¼nter ; Graf, Ferdinand .
In: Working Paper Series of the Department of Economics, University of Konstanz.
RePEc:knz:dpteco:1011.
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Nonparametric Estimation of Risk-Neutral Densities. (2010). Schienle, Melanie ; HÃƒÂ¤rdle, Wolfgang ; Grith, Maria ; Hardle, Wolfgang Karl.
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2010-021.
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Uniform confidence bands for pricing kernels. (2010). Wang, Weining ; HÃƒÂ¤rdle, Wolfgang ; Okhrin, Yarema ; Hardle, Wolfgang Karl.
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2010-003.
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Implied Risk-Neutral probability Density functions from options prices: A comparison of estimation methods. (2010). Hamdi, Haykel ; Bedoui, Rihab.
In: Working Papers.
RePEc:hal:wpaper:hal-04140913.
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Explaining asset pricing puzzles associated with the 1987 market crash. (2010). Benzoni, Luca ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
In: Working Paper Series.
RePEc:fip:fedhwp:wp-2010-10.
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Paulsons gift. (2010). Zingales, Luigi ; Veronesi, Pietro.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:97:y:2010:i:3:p:339-368.
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Returns of claims on the upside and the viability of U-shaped pricing kernels. (2010). Madan, Dilip ; Bakshi, Gurdip ; Panayotov, George .
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:97:y:2010:i:1:p:130-154.
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First-passage probability, jump models, and intra-horizon risk. (2010). Panayotov, George ; Bakshi, Gurdip .
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:95:y:2010:i:1:p:20-40.
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Time-varying risk aversion: An application to energy hedging. (2010). Hanly, Jim ; cotter, john.
In: Energy Economics.
RePEc:eee:eneeco:v:32:y:2010:i:2:p:432-441.
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Retrieving risk neutral densities from European option prices based on the principle of maximum entropy. (2010). Rompolis, Leonidas.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:17:y:2010:i:5:p:918-937.
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Market pricing of executive stock options and implied risk preferences. (2010). Pirjeta, Antti ; Puttonen, Vesa ; Ikaheimo, Seppo .
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:17:y:2010:i:3:p:394-412.
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Option Anomalies and the Pricing Kernel. (2010). Christoffersen, Peter ; Jacobs, Kris ; Heston, Steven .
In: Working Papers.
RePEc:ecl:upafin:11-17.
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Implied volatility and risk aversion in a simple model with uncertain growth. (2010). Lundtofte, Frederik .
In: Economics Bulletin.
RePEc:ebl:ecbull:v:30:y:2010:i:1:p:182-191.
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Implied volatility and risk aversion in a simple model with uncertain growth. (2010). Lundtofte, Frederik.
In: Economics Bulletin.
RePEc:ebl:ecbull:eb-09-00109.
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Optimal Measure Preserving Derivatives. (2010). Beare, Brendan.
In: University of California at San Diego, Economics Working Paper Series.
RePEc:cdl:ucsdec:qt78k062ns.
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RISK PREMIUM EFFECTS ON IMPLIED VOLATILITY REGRESSIONS. (2010). Tzavalis, Elias ; Rompolis, Leonidas.
In: Journal of Financial Research.
RePEc:bla:jfnres:v:33:y:2010:i:2:p:125-151.
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Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis. (2010). Zhou, Hao ; Zhu, Haibin ; Huang, Xin.
In: BIS Working Papers.
RePEc:bis:biswps:296.
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Derivatives, Risk Management & Value. (2009). Bellalah, Mondher.
In: World Scientific Books.
RePEc:wsi:wsbook:7175.
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Disasters Implied by Equity Index Options. (2009). Martin, Ian ; Chernov, Mikhail ; Backus, David.
In: Working Papers.
RePEc:ste:nystbu:09-14.
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Option-implied preferences adjustments, density forecasts, and the equity risk premium. (2009). Blanco, Roberto ; Rubio, Gonzalo ; Alonso, Francisco.
In: Spanish Economic Review.
RePEc:spr:specre:v:11:y:2009:i:2:p:141-164.
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Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices. (2009). LI, HAITAO ; Zhao, Feng.
In: Review of Financial Studies.
RePEc:oup:rfinst:v:22:y:2009:i:11:p:4335-4376.
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Risk Aversion and Clientele Effects. (2009). Goetzmann, William ; Ukhov, Andrey D. ; Blackburn, Douglas W..
In: NBER Working Papers.
RePEc:nbr:nberwo:15333.
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Disasters implied by equity index options. (2009). Martin, Ian ; Chernov, Mikhail ; Backus, David.
In: NBER Working Papers.
RePEc:nbr:nberwo:15240.
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Asset pricing under information with stochastic volatility. (2009). DÃ¼ring, Bertram ; During, Bertram.
In: Review of Derivatives Research.
RePEc:kap:revdev:v:12:y:2009:i:2:p:141-167.
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A Microeconomic Explanation of the EPK Paradox. (2009). HÃƒÂ¤rdle, Wolfgang ; Moro, Rouslan ; Hardle, Wolfgang ; Kratschmer, Volker.
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2009-010.
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A mathematical proof of the existence of trends in financial time series. (2009). Join, Cedric ; Fliess, Michel .
In: Post-Print.
RePEc:hal:journl:inria-00352834.
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Are interest rate options important for the assessment of interest rate risk?. (2009). Vicente, JosÃƒÂ© Valentim ; Almeida, Caio.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:33:y:2009:i:8:p:1376-1387.
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Decision-making under uncertainty - A field study of cumulative prospect theory. (2009). Kliger, Doron ; Levy, Ori ; Gurevich, Gregory.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:33:y:2009:i:7:p:1221-1229.
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Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event. (2009). Ielpo, Florian ; Chevallier, Julien ; Mercier, Ludovic .
In: Energy Policy.
RePEc:eee:enepol:v:37:y:2009:i:1:p:15-28.
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A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation. (2009). Zhang, Xibin ; King, Maxwell ; Brooks, Robert.
In: Journal of Econometrics.
RePEc:eee:econom:v:153:y:2009:i:1:p:21-32.
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Assessing value at risk with CARE, the Conditional Autoregressive Expectile models. (2009). Kuan, Chung-Ming ; Hsu, Yu-Chin ; Yeh, Jin-Huei .
In: Journal of Econometrics.
RePEc:eee:econom:v:150:y:2009:i:2:p:261-270.
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Dynamics of state price densities. (2009). HÃƒÂ¤rdle, Wolfgang ; Hardle, Wolfgang ; Hlavka, Zdenek .
In: Journal of Econometrics.
RePEc:eee:econom:v:150:y:2009:i:1:p:1-15.
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Disasters implied by equity index options. (2009). Martin, Ian ; Chernov, Mikhail ; Backus, David.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:7416.
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Modelling Regime-Specific Stock Price Volatility. (2009). Alexander, Carol ; Lazar, Emese.
In: Oxford Bulletin of Economics and Statistics.
RePEc:bla:obuest:v:71:y:2009:i:6:p:761-797.
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State price density estimation via nonparametric mixtures. (2009). Yuan, Ming.
In: Papers.
RePEc:arx:papers:0910.1430.
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A mathematical proof of the existence of trends in financial time series. (2009). Join, C'Edric ; Fliess, Michel .
In: Papers.
RePEc:arx:papers:0901.1945.
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Tails, Fears and Risk Premia. (2009). Bollerslev, Tim ; Todorov, Viktor.
In: CREATES Research Papers.
RePEc:aah:create:2009-26.
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Volatility in Equilibrium: Asymmetries and Dynamic Dependencies. (2009). Tauchen, George ; Bollerslev, Tim ; Sizova, Natalia .
In: CREATES Research Papers.
RePEc:aah:create:2009-05.
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Asset pricing under information with stochastic volatility. (2008). During, Bertram.
In: CoFE Discussion Papers.
RePEc:zbw:cofedp:0804.
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The payoff and implied pricing kernel in REITs. (2008). Hsu, Hsiao-tang .
In: Applied Economics.
RePEc:taf:applec:v:40:y:2008:i:21:p:2775-2783.
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Mispricing of S&P 500 Index Options. (2008). Perrakis, Stylianos ; Jackwerth, Jens ; Constantinides, George.
In: NBER Working Papers.
RePEc:nbr:nberwo:14544.
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Testing the martingale restriction for option implied densities. (2008). Busch, Thomas.
In: Review of Derivatives Research.
RePEc:kap:revdev:v:11:y:2008:i:1:p:61-81.
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Testing Monotonicity of Pricing Kernels. (2008). HÃƒÂ¤rdle, Wolfgang ; Timonfeev, Roman ; Golubev, Yuri ; Hardle, Wolfgang.
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2008-001.
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Flexible time series models for subjective distribution estimation with monetary policy in view. (2008). Ielpo, Florian ; Guegan, Dominique.
In: PSE-Ecole d'Ã©conomie de Paris (Postprint).
RePEc:hal:pseptp:halshs-00368356.
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Flexible time series models for subjective distribution estimation with monetary policy in view. (2008). Guegan, Dominique.
In: Post-Print.
RePEc:hal:journl:halshs-00368356.
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Flexible time series models for subjective distribution estimation with monetary policy in view. (2008). Ielpo, Florian ; GUEGAN, Dominique.
In: UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers).
RePEc:hal:cesptp:halshs-00368356.
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Orders and inventory commodities with price and demand uncertainty in complete markets. (2008). Tapiero, Charles S..
In: International Journal of Production Economics.
RePEc:eee:proeco:v:115:y:2008:i:1:p:12-18.
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Pricing options on scenario trees. (2008). Topaloglou, Nikolas ; Zenios, Stavros ; Vladimirou, Hercules .
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:32:y:2008:i:2:p:283-298.
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GARCH option pricing: A semiparametric approach. (2008). Badescu, Alexandru M. ; Kulperger, Reg J..
In: Insurance: Mathematics and Economics.
RePEc:eee:insuma:v:43:y:2008:i:1:p:69-84.
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Empirical risk aversion functions-estimates and assessment of their reliability. (2008). Kang, Byung Jin ; Kim, Tong Suk.
In: International Review of Financial Analysis.
RePEc:eee:finana:v:17:y:2008:i:5:p:1123-1138.
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The market for crash risk. (2008). Bates, David S..
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:32:y:2008:i:7:p:2291-2321.
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Summary statistics of option-implied probability density functions and their properties. (2008). Lynch, Damien ; Panigirtzoglou, Nikolaos .
In: Bank of England working papers.
RePEc:boe:boeewp:0345.
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Does Tax Evasion Modify the Redistributive Effect of Tax Progressivity?. (2008). PanadÃ©s, Judith ; Freire-Seren, MarÃa JesÃºs ; MARÍA JESÚS FREIRE-SERÉN, ; JUDITH PANADÉS, .
In: The Economic Record.
RePEc:bla:ecorec:v:84:y:2008:i:267:p:486-495.
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Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
In: CREATES Research Papers.
RePEc:aah:create:2008-48.
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Robust Value at Risk Prediction. (2007). Trojani, Fabio ; Mancini, Loriano.
In: University of St. Gallen Department of Economics working paper series 2007.
RePEc:usg:dp2007:2007-36.
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Nonlinear time series: semiparametric and nonparametric methods. (2007). GAO, Jiti.
In: MPRA Paper.
RePEc:pra:mprapa:39563.
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Option Pricing: Real and Risk-Neutral Distributions. (2007). Perrakis, Stylianos ; Jackwerth, Jens ; Constantinides, George.
In: MPRA Paper.
RePEc:pra:mprapa:11637.
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Why Does Implied Risk Aversion Smile?. (2007). Ziegler, Alexandre.
In: Review of Financial Studies.
RePEc:oup:rfinst:v:20:y:2007:i:3:p:859-904..
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A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation.. (2007). Zhang, Xibin ; King, Maxwell ; Brooks, Robert D.
In: Monash Econometrics and Business Statistics Working Papers.
RePEc:msh:ebswps:2007-11.
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Lower salaries and no options : the optimal structure of executive pay. (2007). Dittmann, Ingolf ; Maug, Ernst.
In: Papers.
RePEc:mnh:spaper:2527.
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Statistics of Risk Aversion. (2007). HÃƒÂ¤rdle, Wolfgang ; Giacomini, Enzo ; Hardle, Wolfgang.
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2007-025.
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From Animal Baits to Investorsâ€™ Preference: Estimating and Demixing of the Weight Function in Semiparametric Models for Biased Samples. (2007). HÃƒÂ¤rdle, Wolfgang ; Hardle, Wolfgang ; Ritov, Ya'acov .
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2007-024.
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Empirical Pricing Kernels and Investor Preferences. (2007). HÃƒÂ¤rdle, Wolfgang ; Detlefsen, Kai ; Hardle, Wolfgang ; Moro, Rouslan .
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2007-017.
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Representative Consumers Risk Aversion and Efficient Risk-Sharing Rules. (2007). Kuzmics, Christoph ; Hara, Chiaki ; Huang, James .
In: Discussion Paper.
RePEc:hit:piedp2:323.
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Flexible time series models for subjective distribution estimation with monetary policy in view. (2007). Guegan, Dominique.
In: Post-Print.
RePEc:hal:journl:halshs-00188247.
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Non-parametric extraction of implied asset price distributions. (2007). Read, Brian J. ; Dixon, Maurice ; Healy, Jerome V. ; Cai, Fangfang .
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:382:y:2007:i:1:p:121-128.
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Representative consumers risk aversion and efficient risk-sharing rules. (2007). Kuzmics, Christoph ; Hara, Chiaki ; Huang, James .
In: Journal of Economic Theory.
RePEc:eee:jetheo:v:137:y:2007:i:1:p:652-672.
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Closed-form transformations from risk-neutral to real-world distributions. (2007). xu, xinzhong ; Shackleton, Mark ; Taylor, Stephen J. ; Liu, Xiaoquan .
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:31:y:2007:i:5:p:1501-1520.
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Risky Choice and Type-Uncertainty in Deal or No Deal?. (2007). Gee, C..
In: Cambridge Working Papers in Economics.
RePEc:cam:camdae:0758.
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Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim.
In: CREATES Research Papers.
RePEc:aah:create:2007-17.
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Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities. (2007). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael .
In: CREATES Research Papers.
RePEc:aah:create:2007-16.
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Return predictability and stock market crashes in a simple rational expectation models. (2006). Luders, Erik ; Franke, Gunter.
In: CoFE Discussion Papers.
RePEc:zbw:cofedp:0605.
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Smoothed L-estimation of Regression Function. (2006). HÃƒÂ¤rdle, Wolfgang ; Hardle, W K ; Tamine, J ; Cizek, P.
In: Other publications TiSEM.
RePEc:tiu:tiutis:51a09fbd-293b-4386-bfe9-beb04c2027e9.
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Smoothed L-estimation of Regression Function. (2006). HÃƒÂ¤rdle, Wolfgang ; Cizek, Pavel ; Tamine, J. ; Hardle, W. K..
In: Discussion Paper.
RePEc:tiu:tiucen:51a09fbd-293b-4386-bfe9-beb04c2027e9.
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How risk averse are fund managers? Evidence from Irish mutual funds. (2006). Flavin, Thomas.
In: Applied Financial Economics.
RePEc:taf:apfiec:v:16:y:2006:i:18:p:1355-1363.
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Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk. (2006). Wolfers, Justin ; GÃƒÂ¼rkaynak, Refet.
In: NBER Working Papers.
RePEc:nbr:nberwo:11929.
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How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds. (2006). Flavin, Thomas.
In: Economics, Finance and Accounting Department Working Paper Series.
RePEc:may:mayecw:n1630206.
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Two-dimensional risk-neutral valuation relationships for the pricing of options. (2006). Franke, GÃ¼nter ; Stapleton, Richard ; Huang, James.
In: Review of Derivatives Research.
RePEc:kap:revdev:v:9:y:2006:i:3:p:213-237.
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The Asian Financial Crisis and Investors’ Risk Aversion. (2006). .
In: Asia-Pacific Financial Markets.
RePEc:kap:apfinm:v:13:y:2006:i:3:p:181-205.
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Multiplicative Background Risk. (2006). Schlesinger, Harris ; Franke, GÃƒÂ¼nter ; Stapleton, Richard C..
In: Management Science.
RePEc:inm:ormnsc:v:52:y:2006:i:1:p:146-153.
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A Theory of Volatility Spreads. (2006). Madan, Dilip ; Bakshi, Gurdip .
In: Management Science.
RePEc:inm:ormnsc:v:52:y:2006:i:12:p:1945-1956.
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Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance. (2006). Chan-Lau, Jorge A.
In: IMF Working Papers.
RePEc:imf:imfwpa:2006/104.
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Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing. (2006). Pesta, Michal ; Hlavka, Zdenek .
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2006-069.
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Time Dependent Relative Risk Aversion. (2006). HÃƒÂ¤rdle, Wolfgang ; Giacomini, Enzo ; Handel, Michael.
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2006-020.
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Expected stock returns and variance risk premia. (2006). Zhou, Hao ; Bollerslev, Tim.
In: Finance and Economics Discussion Series.
RePEc:fip:fedgfe:2007-11.
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Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English). (2006). Derviz, Alexis ; Bruha, Jan ; Brha, Jan.
In: Czech Journal of Economics and Finance (Finance a uver).
RePEc:fau:fauart:v:56:y:2006:i:7-8:p:318-343.
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Removing Maturity Effects of Implied Risk Neutral Densities and Related Statistics. (2006). Markose, Sheri M ; Alentorn, Amadeo .
In: Economics Discussion Papers.
RePEc:esx:essedp:3722.
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The effect of macroeconomic news on beliefs and preferences: Evidence from the options market. (2006). Beber, Alessandro ; Brandt, Michael W..
In: Journal of Monetary Economics.
RePEc:eee:moneco:v:53:y:2006:i:8:p:1997-2039.
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Extreme spectral risk measures: An application to futures clearinghouse margin requirements. (2006). Dowd, Kevin ; cotter, john.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:30:y:2006:i:12:p:3469-3485.
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Option-implied risk preferences: An extension to wider classes of utility functions. (2006). Kang, Byung Jin ; Kim, Tong Suk.
In: Journal of Financial Markets.
RePEc:eee:finmar:v:9:y:2006:i:2:p:180-198.
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Nonparametric state price density estimation using constrained least squares and the bootstrap. (2006). Yatchew, Adonis ; HÃƒÂ¤rdle, Wolfgang ; Hardle, Wolfgang.
In: Journal of Econometrics.
RePEc:eee:econom:v:133:y:2006:i:2:p:579-599.
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Financial crashes as endogenous jumps: estimation, testing and forecasting. (2006). Fernandes, Marcelo.
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:30:y:2006:i:1:p:111-141.
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Fast algorithm for nonparametric arbitrage-free SPD estimation. (2006). Hlavka, Zdenek .
In: Computational Statistics & Data Analysis.
RePEc:eee:csdana:v:51:y:2006:i:4:p:2339-2349.
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On Estimating an Assets Implicit Beta. (2006). Stephan, Andreas ; Husmann, Sven .
In: Discussion Papers of DIW Berlin.
RePEc:diw:diwwpp:dp640.
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Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk. (2006). Wolfers, Justin ; GÃƒÂ¼rkaynak, Refet ; Gurkaynak, Refet. S., .
In: CEPR Discussion Papers.
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Option-implied preferences adjustments, density forecasts, and the equity risk premium. (2006). Alonso, Francisco ; Blanco, Roberto ; Rubio, Gonzalo.
In: Working Papers.
RePEc:bde:wpaper:0630.
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On Estimating an Assets Implicit Beta. (2005). Husmann, Sven .
In: Discussion Papers.
RePEc:zbw:euvwdp:238.
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Mispricing of S&P 500 index options. (2005). Perrakis, Stylianos ; Jackwerth, Jens Carsten ; Constantinides, George M.
In: CoFE Discussion Papers.
RePEc:zbw:cofedp:0509.
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Option pricing: Real and risk-neutral distributions. (2005). Perrakis, Stylianos ; Jackwerth, Jens Carsten ; Constantinides, George M.
In: CoFE Discussion Papers.
RePEc:zbw:cofedp:0506.
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Return predictability and stock market crashes in a simple rational expectations model. (2005). Franke, Gunter ; Luders, Erik .
In: CoFE Discussion Papers.
RePEc:zbw:cofedp:0505.
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Parametric pricing of higher order moments in S&P500 options. (2005). Martin, V L ; Lim, G C.
In: Journal of Applied Econometrics.
RePEc:wly:japmet:v:20:y:2005:i:3:p:377-404.
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Viewpoint: Option prices, preferences, and state variables. (2005). Luger, Richard ; Garcia, RenÃƒÂ© ; Renault, Eric.
In: Canadian Journal of Economics/Revue canadienne d'Ã©conomique.
RePEc:wly:canjec:v:38:y:2005:i:1:p:1-27.
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Inferring option-implied investors risk preferences. (2005). Giamouridis, Daniel.
In: Applied Financial Economics.
RePEc:taf:apfiec:v:15:y:2005:i:7:p:479-488.
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Extracting expectations from currency option prices: a comparison of methods. (2005). Micu, Marian .
In: Computing in Economics and Finance 2005.
RePEc:sce:scecf5:226.
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Estimating the Stochastic Discount Factor without a Utility Function. (2005). Issler, JoÃƒÂ£o ; Araujo, Fabio.
In: Computing in Economics and Finance 2005.
RePEc:sce:scecf5:202.
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Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk. (2005). Wolfers, Justin ; Gurkaynak, Refet .
In: NBER Chapters.
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Unexploited Connections Between Intra- and Inter-temporal Allocation. (2005). Low, Hamish ; Crossley, Thomas.
In: Social and Economic Dimensions of an Aging Population Research Papers.
RePEc:mcm:sedapp:131.
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Unexploited Connections Between Intra- and Inter-temporal Allocation. (2005). Low, Hamish ; Crossley, Thomas.
In: Quantitative Studies in Economics and Population Research Reports.
RePEc:mcm:qseprr:395.
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Option Prices Under Generalized Pricing Kernels. (2005). DÃ¼ring, Bertram ; Luders, Erik ; During, Bertram.
In: Review of Derivatives Research.
RePEc:kap:revdev:v:8:y:2005:i:2:p:97-123.
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Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk. (2005). Wolfers, Justin ; GÃƒÂ¼rkaynak, Refet.
In: IZA Discussion Papers.
RePEc:iza:izadps:dp1899.
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Is the elasticity of intertemporal substitution constant?. (2005). Low, Hamish ; Crossley, Thomas.
In: IFS Working Papers.
RePEc:ifs:ifsewp:05/25.
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Dynamics of State Price Densities. (2005). HÃƒÂ¤rdle, Wolfgang ; Hardle, Wolfgang ; Hlavka, Zdenek .
In: SFB 649 Discussion Papers.
RePEc:hum:wpaper:sfb649dp2005-021.
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Macroeconomic derivatives: an initial analysis of market-based macro forecasts, uncertainty, and risk. (2005). Wolfers, Justin ; GÃƒÂ¼rkaynak, Refet.
In: Working Paper Series.
RePEc:fip:fedfwp:2005-26.
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Estimating the stochastic discount factor without a utility function. (2005). Issler, JoÃƒÂ£o ; Fernandes, Marcelo ; Araujo, Fabio.
In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
RePEc:fgv:epgewp:583.
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Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts. (2005). Blanco, Roberto ; Irigoyen, Gonzalo Rubio ; Alonso, Francisco.
In: DFAEII Working Papers.
RePEc:ehu:dfaeii:6740.
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Equilibrium analysis of volatility clustering. (2005). Vanden, Joel M..
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:12:y:2005:i:3:p:374-417.
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Option Pricing Kernels and the ICAPM. (2005). Brennan, Michael ; Xia, Yihong ; Liu, Xiaoquan .
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Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio. (2003). KobzovÃƒÂ¡, Lucie ; KadlÄÃ¡kovÃ¡, Narcisa ; Derviz, Alexis ; Kadlkov, Narcisa.
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Nonparametric Risk Management and Implied Risk Aversion. (2000). Lo, Andrew ; Ait-Sahalia, Yacine.
In: NBER Working Papers.
RePEc:nbr:nberwo:6130.
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Nonparametric Risk Management and Implied Risk Aversion. (2000). Lo, Andrew ; Ait-Sahalia, Yacine. In: NBER Working Papers. RePEc:nbr:nberwo:6130. Full description at Econpapers || Download paper

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Nonparametric Risk Management and Implied Risk Aversion. (2000). Lo, Andrew ; Ait-Sahalia, Yacine.
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