Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1820, doi. 10.1093/jjfinec/nbac025
- By:
- Publication type:
- Article
Works matching IS 14798409 AND DT 2023 AND VI 21 AND IP 5
Results: 12
1
2
Estimating Unobserved Soft Adjustment in Credit Rating Models: Before and after the Dodd–Frank Act.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1791, doi. 10.1093/jjfinec/nbac024
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- Publication type:
- Article
3
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1759, doi. 10.1093/jjfinec/nbac022
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- Publication type:
- Article
4
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1728, doi. 10.1093/jjfinec/nbac021
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- Publication type:
- Article
5
A Machine Learning Approach to Volatility Forecasting.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1680, doi. 10.1093/jjfinec/nbac020
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- Publication type:
- Article
6
Identifying Risk Factors and Their Premia: A Study on Electricity Prices.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1647, doi. 10.1093/jjfinec/nbac019
- By:
- Publication type:
- Article
7
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1590, doi. 10.1093/jjfinec/nbac017
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- Publication type:
- Article
8
Time Variation in Cash Flows and Discount Rates.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1557, doi. 10.1093/jjfinec/nbac016
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- Publication type:
- Article
9
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1519, doi. 10.1093/jjfinec/nbac015
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- Publication type:
- Article
10
Co-Skewness across Return Horizons.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1483, doi. 10.1093/jjfinec/nbac013
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- Publication type:
- Article
11
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1443, doi. 10.1093/jjfinec/nbac011
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- Publication type:
- Article
12
Arbitrage Pricing Theory for Idiosyncratic Variance Factors.
- Published in:
- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1403, doi. 10.1093/jjfinec/nbac008
- By:
- Publication type:
- Article