Disasters Implied by Equity Index Options
Top Cited Papers
- 14 November 2011
- journal article
- Published by Wiley in The Journal of Finance
- Vol. 66 (6) , 1969-2012
- https://doi.org/10.1111/j.1540-6261.2011.01697.x
Abstract
No abstract availableKeywords
All Related Versions
This publication has 42 references indexed in Scilit:
- Asset Return Dynamics under Bad Environment-Good Environment FundamentalsSSRN Electronic Journal, 2010
- What's Vol Got to Do With ItSSRN Electronic Journal, 2009
- Can Rare Events Explain the Equity Premium Puzzle?SSRN Electronic Journal, 2008
- Asset Pricing and the Credit MarketSSRN Electronic Journal, 2008
- How Bad Will the Potential Economic Disasters Be? Evidences from S&P 500 Index Options DataSSRN Electronic Journal, 2008
- Why Does Implied Risk Aversion Smile?The Review of Financial Studies, 2006
- Empirical assessment of an intertemporal option pricing model with latent variablesJournal of Econometrics, 2003
- Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset PricesJournal of Political Economy, 2002
- Empirical pricing kernelsJournal of Financial Economics, 2002
- Nonparametric risk management and implied risk aversionJournal of Econometrics, 2000