% =============================================================================
% Author: Simon-Pierre Boucher
% Contact: contact [at] spboucher.ai
%   (the at-sign is spelled out because BibTeX treats a literal one, even in
%    a comment line, as the start of a new entry)
% =============================================================================
% Converted from the manual thebibliography of the original draft (37 entries,
% all cited). Metadata reproduced faithfully from the author's entries.

@article{acharya2017measuring,
  author  = {Acharya, Viral V. and Pedersen, Lasse H. and Philippon, Thomas and Richardson, Matthew},
  year    = {2017},
  title   = {Measuring systemic risk},
  journal = {Review of Financial Studies},
  volume  = {30},
  number  = {1},
  pages   = {2--47},
}

@article{an2014joint,
  author  = {An, Byeong-Je and Ang, Andrew and Bali, Turan G. and Cakici, Nusret},
  year    = {2014},
  title   = {The joint cross section of stocks and options},
  journal = {Journal of Finance},
  volume  = {69},
  number  = {5},
  pages   = {2279--2337},
}

@article{andersen2003modeling,
  author  = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Labys, Paul},
  year    = {2003},
  title   = {Modeling and forecasting realized volatility},
  journal = {Econometrica},
  volume  = {71},
  number  = {2},
  pages   = {579--625},
}

@article{avellaneda2003weighted,
  author  = {Avellaneda, Marco and Lipkin, Michael D.},
  year    = {2003},
  title   = {A market-induced mechanism for stock pinning},
  journal = {Quantitative Finance},
  volume  = {3},
  number  = {6},
  pages   = {417--425},
}

@unpublished{bali2019option,
  author = {Bali, Turan G. and Hu, Jianfeng and Murray, Scott},
  year   = {2019},
  title  = {Option implied volatility, skewness, and kurtosis and the cross-section of expected stock returns},
  note   = {Working Paper, Georgetown University},
}

@article{barbon2022option,
  author  = {Barbon, Andrea and Buraschi, Andrea},
  year    = {2022},
  title   = {Gamma fragility},
  journal = {Journal of Financial Economics},
  volume  = {143},
  number  = {1},
  pages   = {316--348},
}

@article{bekaert2014asymmetric,
  author  = {Bekaert, Geert and Hoerova, Marie},
  year    = {2014},
  title   = {The {VIX}, the variance premium and stock market volatility},
  journal = {Journal of Econometrics},
  volume  = {183},
  number  = {2},
  pages   = {181--192},
}

@article{black1975fact,
  author  = {Black, Fischer},
  year    = {1975},
  title   = {Fact and fantasy in the use of options},
  journal = {Financial Analysts Journal},
  volume  = {31},
  number  = {4},
  pages   = {36--41},
}

@article{black1973pricing,
  author  = {Black, Fischer and Scholes, Myron},
  year    = {1973},
  title   = {The pricing of options and corporate liabilities},
  journal = {Journal of Political Economy},
  volume  = {81},
  number  = {3},
  pages   = {637--654},
}

@article{blair2001forecasting,
  author  = {Blair, Bevan J. and Poon, Ser-Huang and Taylor, Stephen J.},
  year    = {2001},
  title   = {Forecasting {S\&P}~100 volatility},
  journal = {Journal of Econometrics},
  volume  = {105},
  number  = {1},
  pages   = {5--26},
}

@article{bollerslev2009expected,
  author  = {Bollerslev, Tim and Tauchen, George and Zhou, Hao},
  year    = {2009},
  title   = {Expected stock returns and variance risk premia},
  journal = {Review of Financial Studies},
  volume  = {22},
  number  = {11},
  pages   = {4463--4492},
}

@article{bucci2020realized,
  author  = {Bucci, Andrea},
  year    = {2020},
  title   = {Realized volatility forecasting with neural networks},
  journal = {Journal of Financial Econometrics},
  volume  = {18},
  number  = {3},
  pages   = {502--531},
}

@article{busch2011role,
  author  = {Busch, Thomas and Christensen, Bent Jesper and Nielsen, Morten {\O}rregaard},
  year    = {2011},
  title   = {The role of implied volatility in forecasting future realized volatility},
  journal = {Journal of Econometrics},
  volume  = {160},
  number  = {1},
  pages   = {48--57},
}

@article{buss2012more,
  author  = {Buss, Adrian and Vilkov, Grigory},
  year    = {2012},
  title   = {Measuring equity risk with option-implied correlations},
  journal = {Review of Financial Studies},
  volume  = {25},
  number  = {10},
  pages   = {3113--3140},
}

@article{cameron2011robust,
  author  = {Cameron, A. Colin and Gelbach, Jonah B. and Miller, Douglas L.},
  year    = {2011},
  title   = {Robust inference with multiway clustering},
  journal = {Journal of Business \& Economic Statistics},
  volume  = {29},
  number  = {2},
  pages   = {238--249},
}

@article{cao2005informational,
  author  = {Cao, Charles and Chen, Zhiwu and Griffin, John M.},
  year    = {2005},
  title   = {Informational content of option volume prior to takeovers},
  journal = {Journal of Business},
  volume  = {78},
  number  = {3},
  pages   = {1073--1109},
}

@article{carr2009variance,
  author  = {Carr, Peter and Wu, Liuren},
  year    = {2009},
  title   = {Variance risk premiums},
  journal = {Review of Financial Studies},
  volume  = {22},
  number  = {3},
  pages   = {1311--1341},
}

@article{christensen1998relation,
  author  = {Christensen, Bent Jesper and Prabhala, Nagpurnanand R.},
  year    = {1998},
  title   = {The relation between implied and realized volatility},
  journal = {Journal of Financial Economics},
  volume  = {50},
  number  = {2},
  pages   = {125--150},
}

@article{christensen2023machine,
  author  = {Christensen, Kim and Siggaard, Mathias and Veliyev, Bezirgen},
  year    = {2023},
  title   = {A machine learning approach to volatility forecasting},
  journal = {Journal of Financial Econometrics},
  volume  = {21},
  number  = {5},
  pages   = {1680--1727},
}

@article{corsi2009simple,
  author  = {Corsi, Fulvio},
  year    = {2009},
  title   = {A simple approximate long-memory model of realized volatility},
  journal = {Journal of Financial Econometrics},
  volume  = {7},
  number  = {2},
  pages   = {174--196},
}

@article{cremers2010deviations,
  author  = {Cremers, Martijn and Weinbaum, David},
  year    = {2010},
  title   = {Deviations from put-call parity and stock return predictability},
  journal = {Journal of Financial and Quantitative Analysis},
  volume  = {45},
  number  = {2},
  pages   = {335--367},
}

@article{diebold1995comparing,
  author  = {Diebold, Francis X. and Mariano, Roberto S.},
  year    = {1995},
  title   = {Comparing predictive accuracy},
  journal = {Journal of Business \& Economic Statistics},
  volume  = {13},
  number  = {3},
  pages   = {253--263},
}

@article{driessen2009price,
  author  = {Driessen, Joost and Maenhout, Pascal J. and Vilkov, Grigory},
  year    = {2009},
  title   = {The price of correlation risk},
  journal = {Journal of Finance},
  volume  = {64},
  number  = {3},
  pages   = {1377--1406},
}

@article{easley1998option,
  author  = {Easley, David and O'Hara, Maureen and Srinivas, P.S.},
  year    = {1998},
  title   = {Option volume and stock prices},
  journal = {Journal of Finance},
  volume  = {53},
  number  = {2},
  pages   = {431--465},
}

@article{fama1973risk,
  author  = {Fama, Eugene F. and MacBeth, James D.},
  year    = {1973},
  title   = {Risk, return, and equilibrium: {E}mpirical tests},
  journal = {Journal of Political Economy},
  volume  = {81},
  number  = {3},
  pages   = {607--636},
}

@article{ge2016informed,
  author  = {Ge, Li and Lin, Tse-Chun and Pearson, Neil D.},
  year    = {2016},
  title   = {Why does the option to stock volume ratio predict stock returns?},
  journal = {Journal of Financial Economics},
  volume  = {120},
  number  = {3},
  pages   = {601--622},
}

@article{gu2020empirical,
  author  = {Gu, Shihao and Kelly, Bryan and Xiu, Dacheng},
  year    = {2020},
  title   = {Empirical asset pricing via machine learning},
  journal = {Review of Financial Studies},
  volume  = {33},
  number  = {5},
  pages   = {2223--2273},
}

@article{hansen2012realized,
  author  = {Hansen, Peter R. and Huang, Zhuo and Shek, Howard H.},
  year    = {2012},
  title   = {Realized {GARCH}: {A} joint model for returns and realized measures of volatility},
  journal = {Journal of Applied Econometrics},
  volume  = {27},
  number  = {6},
  pages   = {877--906},
}

@article{hu2014does,
  author  = {Hu, Jianfeng},
  year    = {2014},
  title   = {Does option trading convey stock price information?},
  journal = {Journal of Financial Economics},
  volume  = {111},
  number  = {3},
  pages   = {625--645},
}

@article{johnson2012option,
  author  = {Johnson, Travis L. and So, Eric C.},
  year    = {2012},
  title   = {The option to stock volume ratio and future returns},
  journal = {Journal of Financial Economics},
  volume  = {106},
  number  = {2},
  pages   = {262--286},
}

@article{kelly2014tail,
  author  = {Kelly, Bryan and Jiang, Hao},
  year    = {2014},
  title   = {Tail risk and asset prices},
  journal = {Review of Financial Studies},
  volume  = {27},
  number  = {10},
  pages   = {2841--2871},
}

@article{manaster1982option,
  author  = {Manaster, Steven and Rendleman, Richard J.},
  year    = {1982},
  title   = {Option prices as predictors of equilibrium stock prices},
  journal = {Journal of Finance},
  volume  = {37},
  number  = {4},
  pages   = {1043--1057},
}

@article{ni2009does,
  author  = {Ni, Sophie X. and Pearson, Neil D. and Poteshman, Allen M. and White, Joshua},
  year    = {2009},
  title   = {Does option trading convey stock price information?},
  journal = {Journal of Finance},
  volume  = {60},
  number  = {3},
  pages   = {1049--1084},
}

@article{pan2006information,
  author  = {Pan, Jun and Poteshman, Allen M.},
  year    = {2006},
  title   = {The information in option volume for future stock prices},
  journal = {Review of Financial Studies},
  volume  = {19},
  number  = {3},
  pages   = {871--908},
}

@article{patton2015good,
  author  = {Patton, Andrew J. and Sheppard, Kevin},
  year    = {2015},
  title   = {Good volatility, bad volatility},
  journal = {Review of Economics and Statistics},
  volume  = {97},
  number  = {3},
  pages   = {683--697},
}

@article{stilger2017puzzle,
  author  = {Stilger, Przemys{\l}aw S. and Kostakis, Alexandros and Poon, Ser-Huang},
  year    = {2017},
  title   = {What does risk-neutral skewness tell us about future stock returns?},
  journal = {Management Science},
  volume  = {63},
  number  = {6},
  pages   = {1814--1834},
}

@article{xing2010does,
  author  = {Xing, Yuhang and Zhang, Xiaoyan and Zhao, Rui},
  year    = {2010},
  title   = {What does the individual option volatility smirk tell us about future equity returns?},
  journal = {Journal of Financial and Quantitative Analysis},
  volume  = {45},
  number  = {3},
  pages   = {641--662},
}

% --- Added in revision 1.1 (extended robustness analyses) ---

@article{white1980heteroskedasticity,
  author  = {White, Halbert},
  year    = {1980},
  title   = {A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity},
  journal = {Econometrica},
  volume  = {48},
  number  = {4},
  pages   = {817--838},
}

@article{newey1987simple,
  author  = {Newey, Whitney K. and West, Kenneth D.},
  year    = {1987},
  title   = {A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix},
  journal = {Econometrica},
  volume  = {55},
  number  = {3},
  pages   = {703--708},
}

@article{petersen2009estimating,
  author  = {Petersen, Mitchell A.},
  year    = {2009},
  title   = {Estimating standard errors in finance panel data sets: {C}omparing approaches},
  journal = {Review of Financial Studies},
  volume  = {22},
  number  = {1},
  pages   = {435--480},
}

@article{koenker1978regression,
  author  = {Koenker, Roger and Bassett, Gilbert},
  year    = {1978},
  title   = {Regression quantiles},
  journal = {Econometrica},
  volume  = {46},
  number  = {1},
  pages   = {33--50},
}

@article{harvey2016and,
  author  = {Harvey, Campbell R. and Liu, Yan and Zhu, Heqing},
  year    = {2016},
  title   = {{\ldots} and the cross-section of expected returns},
  journal = {Review of Financial Studies},
  volume  = {29},
  number  = {1},
  pages   = {5--68},
}

@article{welch2008comprehensive,
  author  = {Welch, Ivo and Goyal, Amit},
  year    = {2008},
  title   = {A comprehensive look at the empirical performance of equity premium prediction},
  journal = {Review of Financial Studies},
  volume  = {21},
  number  = {4},
  pages   = {1455--1508},
}

@article{campbell2008predicting,
  author  = {Campbell, John Y. and Thompson, Samuel B.},
  year    = {2008},
  title   = {Predicting excess stock returns out of sample: {C}an anything beat the historical average?},
  journal = {Review of Financial Studies},
  volume  = {21},
  number  = {4},
  pages   = {1509--1531},
}

@article{fama2008dissecting,
  author  = {Fama, Eugene F. and French, Kenneth R.},
  year    = {2008},
  title   = {Dissecting anomalies},
  journal = {Journal of Finance},
  volume  = {63},
  number  = {4},
  pages   = {1653--1678},
}