spb/wp7_uqo Public

1% =============================================================================2% Author: Simon-Pierre Boucher3% Contact: contact [at] spboucher.ai4%   (the at-sign is spelled out because BibTeX treats a literal one, even in5%    a comment line, as the start of a new entry)6% =============================================================================7% Converted from the manual thebibliography of the original draft (37 entries,8% all cited). Metadata reproduced faithfully from the author's entries.910@article{acharya2017measuring,11  author  = {Acharya, Viral V. and Pedersen, Lasse H. and Philippon, Thomas and Richardson, Matthew},12  year    = {2017},13  title   = {Measuring systemic risk},14  journal = {Review of Financial Studies},15  volume  = {30},16  number  = {1},17  pages   = {2--47},18}1920@article{an2014joint,21  author  = {An, Byeong-Je and Ang, Andrew and Bali, Turan G. and Cakici, Nusret},22  year    = {2014},23  title   = {The joint cross section of stocks and options},24  journal = {Journal of Finance},25  volume  = {69},26  number  = {5},27  pages   = {2279--2337},28}2930@article{andersen2003modeling,31  author  = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Labys, Paul},32  year    = {2003},33  title   = {Modeling and forecasting realized volatility},34  journal = {Econometrica},35  volume  = {71},36  number  = {2},37  pages   = {579--625},38}3940@article{avellaneda2003weighted,41  author  = {Avellaneda, Marco and Lipkin, Michael D.},42  year    = {2003},43  title   = {A market-induced mechanism for stock pinning},44  journal = {Quantitative Finance},45  volume  = {3},46  number  = {6},47  pages   = {417--425},48}4950@unpublished{bali2019option,51  author = {Bali, Turan G. and Hu, Jianfeng and Murray, Scott},52  year   = {2019},53  title  = {Option implied volatility, skewness, and kurtosis and the cross-section of expected stock returns},54  note   = {Working Paper, Georgetown University},55}5657@article{barbon2022option,58  author  = {Barbon, Andrea and Buraschi, Andrea},59  year    = {2022},60  title   = {Gamma fragility},61  journal = {Journal of Financial Economics},62  volume  = {143},63  number  = {1},64  pages   = {316--348},65}6667@article{bekaert2014asymmetric,68  author  = {Bekaert, Geert and Hoerova, Marie},69  year    = {2014},70  title   = {The {VIX}, the variance premium and stock market volatility},71  journal = {Journal of Econometrics},72  volume  = {183},73  number  = {2},74  pages   = {181--192},75}7677@article{black1975fact,78  author  = {Black, Fischer},79  year    = {1975},80  title   = {Fact and fantasy in the use of options},81  journal = {Financial Analysts Journal},82  volume  = {31},83  number  = {4},84  pages   = {36--41},85}8687@article{black1973pricing,88  author  = {Black, Fischer and Scholes, Myron},89  year    = {1973},90  title   = {The pricing of options and corporate liabilities},91  journal = {Journal of Political Economy},92  volume  = {81},93  number  = {3},94  pages   = {637--654},95}9697@article{blair2001forecasting,98  author  = {Blair, Bevan J. and Poon, Ser-Huang and Taylor, Stephen J.},99  year    = {2001},100  title   = {Forecasting {S\&P}~100 volatility},101  journal = {Journal of Econometrics},102  volume  = {105},103  number  = {1},104  pages   = {5--26},105}106107@article{bollerslev2009expected,108  author  = {Bollerslev, Tim and Tauchen, George and Zhou, Hao},109  year    = {2009},110  title   = {Expected stock returns and variance risk premia},111  journal = {Review of Financial Studies},112  volume  = {22},113  number  = {11},114  pages   = {4463--4492},115}116117@article{bucci2020realized,118  author  = {Bucci, Andrea},119  year    = {2020},120  title   = {Realized volatility forecasting with neural networks},121  journal = {Journal of Financial Econometrics},122  volume  = {18},123  number  = {3},124  pages   = {502--531},125}126127@article{busch2011role,128  author  = {Busch, Thomas and Christensen, Bent Jesper and Nielsen, Morten {\O}rregaard},129  year    = {2011},130  title   = {The role of implied volatility in forecasting future realized volatility},131  journal = {Journal of Econometrics},132  volume  = {160},133  number  = {1},134  pages   = {48--57},135}136137@article{buss2012more,138  author  = {Buss, Adrian and Vilkov, Grigory},139  year    = {2012},140  title   = {Measuring equity risk with option-implied correlations},141  journal = {Review of Financial Studies},142  volume  = {25},143  number  = {10},144  pages   = {3113--3140},145}146147@article{cameron2011robust,148  author  = {Cameron, A. 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{GARCH}: {A} joint model for returns and realized measures of volatility},281  journal = {Journal of Applied Econometrics},282  volume  = {27},283  number  = {6},284  pages   = {877--906},285}286287@article{hu2014does,288  author  = {Hu, Jianfeng},289  year    = {2014},290  title   = {Does option trading convey stock price information?},291  journal = {Journal of Financial Economics},292  volume  = {111},293  number  = {3},294  pages   = {625--645},295}296297@article{johnson2012option,298  author  = {Johnson, Travis L. and So, Eric C.},299  year    = {2012},300  title   = {The option to stock volume ratio and future returns},301  journal = {Journal of Financial Economics},302  volume  = {106},303  number  = {2},304  pages   = {262--286},305}306307@article{kelly2014tail,308  author  = {Kelly, Bryan and Jiang, Hao},309  year    = {2014},310  title   = {Tail risk and asset prices},311  journal = {Review of Financial Studies},312  volume  = {27},313  number  = {10},314  pages   = 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