Repository Public Research preview
1{2 "acharya2017measuring": {3 "query": "Acharya Pedersen Philippon Richardson Measuring systemic risk Review of Financial Studies",4 "expected_year": 2017,5 "hits": [6 {7 "doi": "10.1093/rfs/hhw088",8 "title": "Measuring Systemic Risk",9 "container": "Review of Financial Studies",10 "year": 2016,11 "volume": "30",12 "issue": "1",13 "page": "2-47",14 "authors": [15 "Acharya",16 "Pedersen",17 "Philippon",18 "Richardson"19 ],20 "type": "journal-article"21 },22 {23 "doi": "10.2139/ssrn.1573171",24 "title": "Measuring Systemic Risk",25 "container": "",26 "year": 2010,27 "volume": null,28 "issue": null,29 "page": null,30 "authors": [31 "Acharya",32 "Pedersen",33 "Philippon",34 "Richardson"35 ],36 "type": "posted-content"37 },38 {39 "doi": "10.26509/frbc-wp-201002",40 "title": "Measuring Systemic Risk",41 "container": "Working paper (Federal Reserve Bank of Cleveland)",42 "year": 2010,43 "volume": null,44 "issue": null,45 "page": null,46 "authors": [47 "Acharya",48 "Pedersen",49 "Philippon",50 "Richardson"51 ],52 "type": "report"53 }54 ]55 },56 "an2014joint": {57 "query": "An Ang Bali Cakici The joint cross section of stocks and options Journal of Finance",58 "expected_year": 2014,59 "hits": [60 {61 "doi": "10.2139/ssrn.1533089",62 "title": "The Joint Cross Section of Stocks and Options",63 "container": "",64 "year": 2010,65 "volume": null,66 "issue": null,67 "page": null,68 "authors": [69 "Ang",70 "Bali",71 "Cakici"72 ],73 "type": "posted-content"74 },75 {76 "doi": "10.3386/w19590",77 "title": "The Joint Cross Section of Stocks and Options",78 "container": "",79 "year": 2013,80 "volume": null,81 "issue": null,82 "page": null,83 "authors": [84 "An",85 "Ang",86 "Bali",87 "Cakici"88 ],89 "type": "report"90 },91 {92 "doi": "10.2139/ssrn.2008902",93 "title": "The Joint Cross Section of Stocks and Options",94 "container": "",95 "year": 2012,96 "volume": null,97 "issue": null,98 "page": null,99 "authors": [100 "An",101 "Ang",102 "Bali",103 "Cakici"104 ],105 "type": "posted-content"106 }107 ]108 },109 "andersen2003modeling": {110 "query": "Andersen Bollerslev Diebold Labys Modeling and forecasting realized volatility Econometrica",111 "expected_year": 2003,112 "hits": [113 {114 "doi": "10.3386/w8160",115 "title": "Modeling and Forecasting Realized Volatility",116 "container": "",117 "year": 2001,118 "volume": null,119 "issue": null,120 "page": null,121 "authors": [122 "Andersen",123 "Bollerslev",124 "Diebold",125 "Labys"126 ],127 "type": "report"128 },129 {130 "doi": "10.1111/1468-0262.00418",131 "title": "Modeling and Forecasting Realized Volatility",132 "container": "Econometrica",133 "year": 2003,134 "volume": "71",135 "issue": "2",136 "page": "579-625",137 "authors": [138 "Andersen",139 "Bollerslev",140 "Diebold",141 "Labys"142 ],143 "type": "journal-article"144 },145 {146 "doi": "10.2139/ssrn.267792",147 "title": "Modeling and Forecasting Realized Volatility",148 "container": "",149 "year": 2001,150 "volume": null,151 "issue": null,152 "page": null,153 "authors": [154 "Andersen",155 "Bollerslev",156 "Diebold",157 "Labys"158 ],159 "type": "posted-content"160 }161 ]162 },163 "avellaneda2003weighted": {164 "query": "Avellaneda Lipkin A market-induced mechanism for stock pinning Quantitative Finance",165 "expected_year": 2003,166 "hits": [167 {168 "doi": "10.1088/1469-7688/3/6/301",169 "title": "A market-induced mechanism for stock pinning",170 "container": "Quantitative Finance",171 "year": 2003,172 "volume": "3",173 "issue": "6",174 "page": "417-425",175 "authors": [176 "Avellaneda",177 "Lipkin"178 ],179 "type": "journal-article"180 },181 {182 "doi": "10.2139/ssrn.458020",183 "title": "A Market-Induced Mechanism for Stock Pinning",184 "container": "",185 "year": 2003,186 "volume": null,187 "issue": null,188 "page": null,189 "authors": [190 "Avellaneda",191 "Lipkin"192 ],193 "type": "posted-content"194 },195 {196 "doi": "10.1002/9780470061602.eqf07023",197 "title": "Stock Pinning",198 "container": "Encyclopedia of Quantitative Finance",199 "year": 2010,200 "volume": null,201 "issue": null,202 "page": null,203 "authors": [204 "Lipkin"205 ],206 "type": "other"207 }208 ]209 },210 "barbon2022option": {211 "query": "Barbon Buraschi Gamma fragility",212 "expected_year": 2022,213 "hits": [214 {215 "doi": "10.2139/ssrn.3725454",216 "title": "Gamma Fragility",217 "container": "",218 "year": 2020,219 "volume": null,220 "issue": null,221 "page": null,222 "authors": [223 "Barbon",224 "Buraschi"225 ],226 "type": "posted-content"227 },228 {229 "doi": "10.2139/ssrn.3925725",230 "title": "The Role of Leveraged ETFs and Option Market Imbalances on End-of-Day Price Dynamics",231 "container": "SSRN Electronic Journal",232 "year": 2021,233 "volume": null,234 "issue": null,235 "page": null,236 "authors": [237 "Barbon",238 "Beckmeyer",239 "Buraschi",240 "Moerke"241 ],242 "type": "journal-article"243 },244 {245 "doi": "10.58275/aha.25post1372422.pc.gr.227251",246 "title": "",247 "container": "",248 "year": 2025,249 "volume": null,250 "issue": null,251 "page": null,252 "authors": [],253 "type": "grant"254 }255 ]256 },257 "bekaert2014asymmetric": {258 "query": "Bekaert Hoerova The VIX the variance premium and stock market volatility Journal of Econometrics",259 "expected_year": 2014,260 "hits": [261 {262 "doi": "10.3386/w18995",263 "title": "The VIX, the Variance Premium and Stock Market Volatility",264 "container": "",265 "year": 2013,266 "volume": null,267 "issue": null,268 "page": null,269 "authors": [270 "Bekaert",271 "Hoerova"272 ],273 "type": "report"274 },275 {276 "doi": "10.1016/j.jeconom.2014.05.008",277 "title": "The VIX, the variance premium and stock market volatility",278 "container": "Journal of Econometrics",279 "year": 2014,280 "volume": "183",281 "issue": "2",282 "page": "181-192",283 "authors": [284 "Bekaert",285 "Hoerova"286 ],287 "type": "journal-article"288 },289 {290 "doi": "10.2139/ssrn.2252209",291 "title": "The VIX, the Variance Premium and Stock Market Volatility",292 "container": "SSRN Electronic Journal",293 "year": 2013,294 "volume": null,295 "issue": null,296 "page": null,297 "authors": [298 "Bekaert",299 "Hoerova"300 ],301 "type": "journal-article"302 }303 ]304 },305 "black1975fact": {306 "query": "Black Fact and fantasy in the use of options Financial Analysts Journal",307 "expected_year": 1975,308 "hits": [309 {310 "doi": "10.2469/faj.v31.n4.36",311 "title": "Fact and Fantasy in the Use of Options",312 "container": "Financial Analysts Journal",313 "year": 1975,314 "volume": "31",315 "issue": "4",316 "page": "36-41",317 "authors": [318 "Black"319 ],320 "type": "journal-article"321 },322 {323 "doi": "10.2469/faj.v46.n1.33",324 "title": "A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options",325 "container": "Financial Analysts Journal",326 "year": 1990,327 "volume": "46",328 "issue": "1",329 "page": "33-39",330 "authors": [331 "Black",332 "Derman",333 "Toy"334 ],335 "type": "journal-article"336 },337 {338 "doi": "10.2469/faj.v11.n1.77",339 "title": "Investing in Options",340 "container": "Financial Analysts Journal",341 "year": 1955,342 "volume": "11",343 "issue": "1",344 "page": "77-78",345 "authors": [346 "Filer"347 ],348 "type": "journal-article"349 }350 ]351 },352 "black1973pricing": {353 "query": "Black Scholes The pricing of options and corporate liabilities Journal of Political Economy",354 "expected_year": 1973,355 "hits": [356 {357 "doi": "10.1086/260062",358 "title": "The Pricing of Options and Corporate Liabilities",359 "container": "Journal of Political Economy",360 "year": 1973,361 "volume": "81",362 "issue": "3",363 "page": "637-654",364 "authors": [365 "Black",366 "Scholes"367 ],368 "type": "journal-article"369 },370 {371 "doi": "10.2139/ssrn.3068888",372 "title": "Pricing the American Options Using the Black-Scholes Pricing Formula",373 "container": "",374 "year": 2017,375 "volume": null,376 "issue": null,377 "page": null,378 "authors": [379 "Alghalith"380 ],381 "type": "posted-content"382 },383 {384 "doi": "10.1057/9781137026149.0021",385 "title": "The Black-Scholes Options Pricing Theory",386 "container": "The Rise of the Quants",387 "year": null,388 "volume": null,389 "issue": null,390 "page": null,391 "authors": [],392 "type": "book-chapter"393 }394 ]395 },396 "blair2001forecasting": {397 "query": "Blair Poon Taylor Forecasting S&P 100 volatility Journal of Econometrics",398 "expected_year": 2001,399 "hits": [400 {401 "doi": "10.1016/s0304-4076(01)00068-9",402 "title": "Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns",403 "container": "Journal of Econometrics",404 "year": 2001,405 "volume": "105",406 "issue": "1",407 "page": "5-26",408 "authors": [409 "Blair",410 "Poon",411 "Taylor"412 ],413 "type": "journal-article"414 },415 {416 "doi": "10.2139/ssrn.182128",417 "title": "Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns",418 "container": "",419 "year": 1999,420 "volume": null,421 "issue": null,422 "page": null,423 "authors": [424 "Blair",425 "Poon",426 "Taylor"427 ],428 "type": "posted-content"429 },430 {431 "doi": "10.1007/978-0-387-77117-5_88",432 "title": "Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High-Frequency Index Returns",433 "container": "Handbook of Quantitative Finance and Risk Management",434 "year": 2010,435 "volume": null,436 "issue": null,437 "page": "1333-1344",438 "authors": [439 "Blair",440 "Poon",441 "Taylor"442 ],443 "type": "book-chapter"444 }445 ]446 },447 "bollerslev2009expected": {448 "query": "Bollerslev Tauchen Zhou Expected stock returns and variance risk premia Review of Financial Studies",449 "expected_year": 2009,450 "hits": [451 {452 "doi": "10.2139/ssrn.948309",453 "title": "Expected Stock Returns and Variance Risk Premia",454 "container": "",455 "year": 2006,456 "volume": null,457 "issue": null,458 "page": null,459 "authors": [460 "Bollerslev",461 "Tauchen",462 "Zhou"463 ],464 "type": "posted-content"465 },466 {467 "doi": "10.1093/rfs/hhp008",468 "title": "Expected Stock Returns and Variance Risk Premia",469 "container": "Review of Financial Studies",470 "year": 2009,471 "volume": "22",472 "issue": "11",473 "page": "4463-4492",474 "authors": [475 "Bollerslev",476 "Tauchen",477 "Zhou"478 ],479 "type": "journal-article"480 },481 {482 "doi": "10.2139/ssrn.1315328",483 "title": "Expected Stock Returns and Variance Risk Premia",484 "container": "",485 "year": 2009,486 "volume": null,487 "issue": null,488 "page": null,489 "authors": [490 "Bollerslev",491 "Zhou"492 ],493 "type": "posted-content"494 }495 ]496 },497 "bucci2020realized": {498 "query": "Bucci Realized volatility forecasting with neural networks Journal of Financial Econometrics",499 "expected_year": 2020,500 "hits": [501 {502 "doi": "10.1093/jjfinec/nbaa008",503 "title": "Realized Volatility Forecasting with Neural Networks",504 "container": "Journal of Financial Econometrics",505 "year": 2020,506 "volume": "18",507 "issue": "3",508 "page": "502-531",509 "authors": [510 "Bucci"511 ],512 "type": "journal-article"513 },514 {515 "doi": "10.2139/ssrn.3824136",516 "title": "Combining Dimensionality Reduction with Neural Networks for Realized Volatility Forecasting",517 "container": "",518 "year": 2021,519 "volume": null,520 "issue": null,521 "page": null,522 "authors": [523 "He",524 "Bucci",525 "Liu"526 ],527 "type": "posted-content"528 },529 {530 "doi": "10.1007/s10479-023-05544-7",531 "title": "Combining dimensionality reduction methods with neural networks for realized volatility forecasting",532 "container": "Annals of Operations Research",533 "year": 2023,534 "volume": null,535 "issue": null,536 "page": null,537 "authors": [538 "Bucci",539 "He",540 "Liu"541 ],542 "type": "journal-article"543 }544 ]545 },546 "busch2011role": {547 "query": "Busch Christensen Nielsen The role of implied volatility in forecasting future realized volatility Journal of Econometrics",548 "expected_year": 2011,549 "hits": [550 {551 "doi": "10.1016/j.jeconom.2010.03.014",552 "title": "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets",553 "container": "Journal of Econometrics",554 "year": 2011,555 "volume": "160",556 "issue": "1",557 "page": "48-57",558 "authors": [559 "Busch",560 "Christensen",561 "Nielsen"562 ],563 "type": "journal-article"564 },565 {566 "doi": "10.2139/ssrn.1148738",567 "title": "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets",568 "container": "",569 "year": 2008,570 "volume": null,571 "issue": null,572 "page": null,573 "authors": [574 "Busch",575 "Christensen",576 "Nielsen"577 ],578 "type": "posted-content"579 },580 {581 "doi": "10.2139/ssrn.686021",582 "title": "The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices",583 "container": "",584 "year": 2005,585 "volume": null,586 "issue": null,587 "page": null,588 "authors": [589 "Christensen",590 "Nielsen"591 ],592 "type": "posted-content"593 }594 ]595 },596 "buss2012more": {597 "query": "Buss Vilkov Measuring equity risk with option-implied correlations Review of Financial Studies",598 "expected_year": 2012,599 "hits": [600 {601 "doi": "10.2139/ssrn.1301437",602 "title": "Measuring Equity Risk with Option-Implied Correlations",603 "container": "",604 "year": 2008,605 "volume": null,606 "issue": null,607 "page": null,608 "authors": [609 "Buss",610 "Vilkov"611 ],612 "type": "posted-content"613 },614 {615 "doi": "10.1093/rfs/hhs087",616 "title": "Measuring Equity Risk with Option-implied Correlations",617 "container": "Review of Financial Studies",618 "year": 2012,619 "volume": "25",620 "issue": "10",621 "page": "3113-3140",622 "authors": [623 "Buss",624 "Vilkov"625 ],626 "type": "journal-article"627 },628 {629 "doi": "10.2139/ssrn.2906484",630 "title": "Option-Implied Correlations, Factor Models, and Market Risk",631 "container": "SSRN Electronic Journal",632 "year": 2016,633 "volume": null,634 "issue": null,635 "page": null,636 "authors": [637 "Buss",638 "Schoenleber",639 "Vilkov"640 ],641 "type": "journal-article"642 }643 ]644 },645 "cameron2011robust": {646 "query": "Cameron Gelbach Miller Robust inference with multiway clustering Journal of Business Economic Statistics",647 "expected_year": 2011,648 "hits": [649 {650 "doi": "10.1198/jbes.2010.07136",651 "title": "Robust Inference With Multiway Clustering",652 "container": "Journal of Business & Economic Statistics",653 "year": 2011,654 "volume": "29",655 "issue": "2",656 "page": "238-249",657 "authors": [658 "Cameron",659 "Gelbach",660 "Miller"661 ],662 "type": "journal-article"663 },664 {665 "doi": "10.3386/t0327",666 "title": "Robust Inference with Multi-way Clustering",667 "container": "",668 "year": 2006,669 "volume": null,670 "issue": null,671 "page": null,672 "authors": [673 "Cameron",674 "Gelbach",675 "Miller"676 ],677 "type": "report"678 },679 {680 "doi": "10.1080/07350015.2025.2546454",681 "title": "Wild Bootstrap Inference with Multiway Clustering and Serially Correlated Time Effects",682 "container": "Journal of Business & Economic Statistics",683 "year": 2025,684 "volume": "44",685 "issue": "2",686 "page": "601-612",687 "authors": [688 "Hounyo",689 "Lin"690 ],691 "type": "journal-article"692 }693 ]694 },695 "cao2005informational": {696 "query": "Cao Chen Griffin Informational content of option volume prior to takeovers Journal of Business",697 "expected_year": 2005,698 "hits": [699 {700 "doi": "10.1086/429654",701 "title": "Informational Content of Option Volume Prior to Takeovers",702 "container": "The Journal of Business",703 "year": 2005,704 "volume": "78",705 "issue": "3",706 "page": "1073-1109",707 "authors": [708 "Cao",709 "Chen",710 "Griffin"711 ],712 "type": "journal-article"713 },714 {715 "doi": "10.2139/ssrn.1260250",716 "title": "Is Option Market Only Informative Prior to Extreme Informational Event? Empirical Analysis of Option Volume Before Earnings Announcement",717 "container": "",718 "year": 2008,719 "volume": null,720 "issue": null,721 "page": null,722 "authors": [723 "Cheung",724 "Zhang"725 ],726 "type": "posted-content"727 },728 {729 "doi": "10.2139/ssrn.606121",730 "title": "Informational Content of Trading Volume and Open Interest - an Empirical Study of Stock Option Market in India",731 "container": "",732 "year": 2004,733 "volume": null,734 "issue": null,735 "page": null,736 "authors": [737 "Srivastava"738 ],739 "type": "posted-content"740 }741 ]742 },743 "carr2009variance": {744 "query": "Carr Wu Variance risk premiums Review of Financial Studies",745 "expected_year": 2009,746 "hits": [747 {748 "doi": "10.1093/rfs/hhn038",749 "title": "Variance Risk Premiums",750 "container": "Review of Financial Studies",751 "year": 2008,752 "volume": "22",753 "issue": "3",754 "page": "1311-1341",755 "authors": [756 "Carr",757 "Wu"758 ],759 "type": "journal-article"760 },761 {762 "doi": "10.2139/ssrn.577222",763 "title": "Variance Risk Premia",764 "container": "",765 "year": 2004,766 "volume": null,767 "issue": null,768 "page": null,769 "authors": [770 "Wu",771 "Carr"772 ],773 "type": "posted-content"774 },775 {776 "doi": "10.1016/j.jfineco.2006.12.001",777 "title": "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies",778 "container": "Journal of Financial Economics",779 "year": 2008,780 "volume": "87",781 "issue": "1",782 "page": "132-156",783 "authors": [784 "Bakshi",785 "Carr",786 "Wu"787 ],788 "type": "journal-article"789 }790 ]791 },792 "christensen1998relation": {793 "query": "Christensen Prabhala The relation between implied and realized volatility Journal of Financial Economics",794 "expected_year": 1998,795 "hits": [796 {797 "doi": "10.1016/s0304-405x(98)00034-8",798 "title": "The relation between implied and realized volatility",799 "container": "Journal of Financial Economics",800 "year": 1998,801 "volume": "50",802 "issue": "2",803 "page": "125-150",804 "authors": [805 "Christensen",806 "Prabhala"807 ],808 "type": "journal-article"809 },810 {811 "doi": "10.2139/ssrn.686021",812 "title": "The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices",813 "container": "",814 "year": 2005,815 "volume": null,816 "issue": null,817 "page": null,818 "authors": [819 "Christensen",820 "Nielsen"821 ],822 "type": "posted-content"823 },824 {825 "doi": "10.2139/ssrn.279883",826 "title": "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation",827 "container": "",828 "year": 2001,829 "volume": null,830 "issue": null,831 "page": null,832 "authors": [833 "Christensen",834 "Nielsen"835 ],836 "type": "posted-content"837 }838 ]839 },840 "christensen2023machine": {841 "query": "Christensen Siggaard Veliyev A machine learning approach to volatility forecasting Journal of Financial Econometrics",842 "expected_year": 2023,843 "hits": [844 {845 "doi": "10.1093/jjfinec/nbac020",846 "title": "A Machine Learning Approach to Volatility Forecasting",847 "container": "Journal of Financial Econometrics",848 "year": 2022,849 "volume": "21",850 "issue": "5",851 "page": "1680-1727",852 "authors": [853 "Christensen",854 "Siggaard",855 "Veliyev"856 ],857 "type": "journal-article"858 },859 {860 "doi": "10.1093/jjfinec/nbac032",861 "title": "Correction to: A Machine Learning Approach to Volatility Forecasting",862 "container": "Journal of Financial Econometrics",863 "year": 2022,864 "volume": "23",865 "issue": "1",866 "page": null,867 "authors": [],868 "type": "journal-article"869 },870 {871 "doi": "10.1016/j.jeconom.2022.06.009",872 "title": "A GMM approach to estimate the roughness of stochastic volatility",873 "container": "Journal of Econometrics",874 "year": 2023,875 "volume": "235",876 "issue": "2",877 "page": "745-778",878 "authors": [879 "Bolko",880 "Christensen",881 "Pakkanen",882 "Veliyev"883 ],884 "type": "journal-article"885 }886 ]887 },888 "corsi2009simple": {889 "query": "Corsi A simple approximate long-memory model of realized volatility Journal of Financial Econometrics",890 "expected_year": 2009,891 "hits": [892 {893 "doi": "10.1093/jjfinec/nbp001",894 "title": "A Simple Approximate Long-Memory Model of Realized Volatility",895 "container": "Journal of Financial Econometrics",896 "year": 2008,897 "volume": "7",898 "issue": "2",899 "page": "174-196",900 "authors": [901 "Corsi"902 ],903 "type": "journal-article"904 },905 {906 "doi": "10.2139/ssrn.626064",907 "title": "A Simple Long Memory Model of Realized Volatility",908 "container": "",909 "year": 2004,910 "volume": null,911 "issue": null,912 "page": null,913 "authors": [914 "Corsi"915 ],916 "type": "posted-content"917 },918 {919 "doi": "10.1093/jjfinec/nbl003",920 "title": "Long Memory and the Relation Between Implied and Realized Volatility",921 "container": "Journal of Financial Econometrics",922 "year": 2006,923 "volume": "4",924 "issue": "4",925 "page": "636-670",926 "authors": [927 "Bandi",928 "Perron"929 ],930 "type": "journal-article"931 }932 ]933 },934 "cremers2010deviations": {935 "query": "Cremers Weinbaum Deviations from put-call parity and stock return predictability",936 "expected_year": 2010,937 "hits": [938 {939 "doi": "10.1017/s002210901000013x",940 "title": "Deviations from Put-Call Parity and Stock Return Predictability",941 "container": "Journal of Financial and Quantitative Analysis",942 "year": 2010,943 "volume": "45",944 "issue": "2",945 "page": "335-367",946 "authors": [947 "Cremers",948 "Weinbaum"949 ],950 "type": "journal-article"951 },952 {953 "doi": "10.2139/ssrn.1884119",954 "title": "Put-Call Parity Violations and Return Predictability: Evidence from the 2008 Short Sale Ban",955 "container": "",956 "year": 2011,957 "volume": null,958 "issue": null,959 "page": null,960 "authors": [961 "Nishiotis",962 "Rompolis"963 ],964 "type": "posted-content"965 },966 {967 "doi": "10.2139/ssrn.2544344",968 "title": "Where Do Informed Traders Trade (First)? Option Trading Activity, News Releases, and Stock Return Predictability",969 "container": "SSRN Electronic Journal",970 "year": 2014,971 "volume": null,972 "issue": null,973 "page": null,974 "authors": [975 "Cremers",976 "Fodor",977 "Weinbaum"978 ],979 "type": "journal-article"980 }981 ]982 },983 "diebold1995comparing": {984 "query": "Diebold Mariano Comparing predictive accuracy Journal of Business Economic Statistics",985 "expected_year": 1995,986 "hits": [987 {988 "doi": "10.1198/073500102753410444",989 "title": "Comparing Predictive Accuracy",990 "container": "Journal of Business & Economic Statistics",991 "year": 2002,992 "volume": "20",993 "issue": "1",994 "page": "134-144",995 "authors": [996 "Diebold",997 "Mariano"998 ],999 "type": "journal-article"1000 },1001 {1002 "doi": "10.1080/07350015.1995.10524599",1003 "title": "Comparing Predictive Accuracy",1004 "container": "Journal of Business & Economic Statistics",1005 "year": 1995,1006 "volume": "13",1007 "issue": "3",1008 "page": "253-263",1009 "authors": [1010 "Diebold",1011 "Mariano"1012 ],1013 "type": "journal-article"1014 },1015 {1016 "doi": "10.1080/07350015.2014.983236",1017 "title": "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold\u2013Mariano Tests",1018 "container": "Journal of Business & Economic Statistics",1019 "year": 2015,1020 "volume": "33",1021 "issue": "1",1022 "page": "1-1",1023 "authors": [1024 "Diebold"1025 ],1026 "type": "journal-article"1027 }1028 ]1029 },1030 "driessen2009price": {1031 "query": "Driessen Maenhout Vilkov The price of correlation risk Journal of Finance",1032 "expected_year": 2009,1033 "hits": [1034 {1035 "doi": "10.2139/ssrn.673425",1036 "title": "The Price of Correlation Risk: Evidence from Equity Options",1037 "container": "",1038 "year": 2005,1039 "volume": null,1040 "issue": null,1041 "page": null,1042 "authors": [1043 "Driessen",1044 "Maenhout",1045 "Vilkov"1046 ],1047 "type": "posted-content"1048 },1049 {1050 "doi": "10.2139/ssrn.2359380",1051 "title": "Option-Implied Correlations and the Price of Correlation Risk",1052 "container": "",1053 "year": 2013,1054 "volume": null,1055 "issue": null,1056 "page": null,1057 "authors": [1058 "Driessen",1059 "Maenhout",1060 "Vilkov"1061 ],1062 "type": "posted-content"1063 },1064 {1065 "doi": "10.1111/j.1540-6261.2009.01467.x",1066 "title": "The Price of Correlation Risk: Evidence from Equity Options",1067 "container": "The Journal of Finance",1068 "year": 2009,1069 "volume": "64",1070 "issue": "3",1071 "page": "1377-1406",1072 "authors": [1073 "DRIESSEN",1074 "MAENHOUT",1075 "VILKOV"1076 ],1077 "type": "journal-article"1078 }1079 ]1080 },1081 "easley1998option": {1082 "query": "Easley O'Hara Srinivas Option volume and stock prices Journal of Finance",1083 "expected_year": 1998,1084 "hits": [1085 {1086 "doi": "10.1111/0022-1082.194060",1087 "title": "Option Volume and Stock Prices: Evidence on Where Informed Traders Trade",1088 "container": "The Journal of Finance",1089 "year": 1998,1090 "volume": "53",1091 "issue": "2",1092 "page": "431-465",1093 "authors": [1094 "Easley",1095 "O'Hara",1096 "Srinivas"1097 ],1098 "type": "journal-article"1099 },1100 {1101 "doi": "10.2307/2327766",1102 "title": "Option Prices as Predictors of Equilibrium Stock Prices",1103 "container": "The Journal of Finance",1104 "year": 1982,1105 "volume": "37",1106 "issue": "4",1107 "page": "1043",1108 "authors": [1109 "Manaster",1110 "Rendleman"1111 ],1112 "type": "journal-article"1113 },1114 {1115 "doi": "10.3386/w10925",1116 "title": "The Information of Option Volume for Future Stock Prices",1117 "container": "",1118 "year": 2004,1119 "volume": null,1120 "issue": null,1121 "page": null,1122 "authors": [1123 "Pan",1124 "Poteshman"1125 ],1126 "type": "report"1127 }1128 ]1129 },1130 "fama1973risk": {1131 "query": "Fama MacBeth Risk return and equilibrium empirical tests Journal of Political Economy",1132 "expected_year": 1973,1133 "hits": [1134 {1135 "doi": "10.1086/260061",1136 "title": "Risk, Return, and Equilibrium: Empirical Tests",1137 "container": "Journal of Political Economy",1138 "year": 1973,1139 "volume": "81",1140 "issue": "3",1141 "page": "607-636",1142 "authors": [1143 "Fama",1144 "MacBeth"1145 ],1146 "type": "journal-article"1147 },1148 {1149 "doi": "10.1086/259723",1150 "title": "Risk, Return, and Equilibrium",1151 "container": "Journal of Political Economy",1152 "year": 1971,1153 "volume": "79",1154 "issue": "1",1155 "page": "30-55",1156 "authors": [1157 "Fama"1158 ],1159 "type": "journal-article"1160 },1161 {1162 "doi": "10.1086/260445",1163 "title": "A Note on Risk, Return, and Equilibrium: Empirical Tests",1164 "container": "Journal of Political Economy",1165 "year": 1976,1166 "volume": "84",1167 "issue": "2",1168 "page": "407-409",1169 "authors": [1170 "Brenner"1171 ],1172 "type": "journal-article"1173 }1174 ]1175 },1176 "ge2016informed": {1177 "query": "Ge Lin Pearson Why does the option to stock volume ratio predict stock returns Journal of Financial Economics",1178 "expected_year": 2016,1179 "hits": [1180 {1181 "doi": "10.2139/ssrn.2329714",1182 "title": "Why Does the Option to Stock Volume Ratio Predict Stock Returns?",1183 "container": "",1184 "year": 2014,1185 "volume": null,1186 "issue": null,1187 "page": null,1188 "authors": [1189 "Ge",1190 "Lin",1191 "Pearson"1192 ],1193 "type": "posted-content"1194 },1195 {1196 "doi": "10.1016/j.jfineco.2015.08.019",1197 "title": "Why does the option to stock volume ratio predict stock returns?",1198 "container": "Journal of Financial Economics",1199 "year": 2016,1200 "volume": "120",1201 "issue": "3",1202 "page": "601-622",1203 "authors": [1204 "Ge",1205 "Lin",1206 "Pearson"1207 ],1208 "type": "journal-article"1209 },1210 {1211 "doi": "10.1016/j.jfineco.2025.104153",1212 "title": "Why does options market information predict stock returns?",1213 "container": "Journal of Financial Economics",1214 "year": 2025,1215 "volume": "172",1216 "issue": null,1217 "page": "104153",1218 "authors": [1219 "Muravyev",1220 "Pearson",1221 "Pollet"1222 ],1223 "type": "journal-article"1224 }1225 ]1226 },1227 "gu2020empirical": {1228 "query": "Gu Kelly Xiu Empirical asset pricing via machine learning Review of Financial Studies",1229 "expected_year": 2020,1230 "hits": [1231 {1232 "doi": "10.3386/w25398",1233 "title": "Empirical Asset Pricing via Machine Learning",1234 "container": "",1235 "year": 2018,1236 "volume": null,1237 "issue": null,1238 "page": null,1239 "authors": [1240 "Gu",1241 "Kelly",1242 "Xiu"1243 ],1244 "type": "report"1245 },1246 {1247 "doi": "10.2139/ssrn.3159577",1248 "title": "Empirical Asset Pricing via Machine Learning",1249 "container": "",1250 "year": 2018,1251 "volume": null,1252 "issue": null,1253 "page": null,1254 "authors": [1255 "Gu",1256 "Kelly",1257 "Xiu"1258 ],1259 "type": "posted-content"1260 },1261 {1262 "doi": "10.1093/rfs/hhaa009",1263 "title": "Empirical Asset Pricing via Machine Learning",1264 "container": "The Review of Financial Studies",1265 "year": 2020,1266 "volume": "33",1267 "issue": "5",1268 "page": "2223-2273",1269 "authors": [1270 "Gu",1271 "Kelly",1272 "Xiu"1273 ],1274 "type": "journal-article"1275 }1276 ]1277 },1278 "hansen2012realized": {1279 "query": "Hansen Huang Shek Realized GARCH joint model for returns and realized measures of volatility Journal of Applied Econometrics",1280 "expected_year": 2012,1281 "hits": [1282 {1283 "doi": "10.1002/jae.1234",1284 "title": "Realized GARCH: a joint model for returns and realized measures of volatility",1285 "container": "Journal of Applied Econometrics",1286 "year": 2011,1287 "volume": "27",1288 "issue": "6",1289 "page": "877-906",1290 "authors": [1291 "Hansen",1292 "Huang",1293 "Shek"1294 ],1295 "type": "journal-article"1296 },1297 {1298 "doi": "10.2139/ssrn.1533475",1299 "title": "Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility",1300 "container": "SSRN Electronic Journal",1301 "year": 2010,1302 "volume": null,1303 "issue": null,1304 "page": null,1305 "authors": [1306 "Hansen",1307 "Huang",1308 "Shek"1309 ],1310 "type": "journal-article"1311 },1312 {1313 "doi": "10.1002/jae.2389",1314 "title": "REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY",1315 "container": "Journal of Applied Econometrics",1316 "year": 2014,1317 "volume": "29",1318 "issue": "5",1319 "page": "774-799",1320 "authors": [1321 "Hansen",1322 "Lunde",1323 "Voev"1324 ],1325 "type": "journal-article"1326 }1327 ]1328 },1329 "hu2014does": {1330 "query": "Hu Does option trading convey stock price information Journal of Financial Economics",1331 "expected_year": 2014,1332 "hits": [1333 {1334 "doi": "10.1016/j.jfineco.2013.12.004",1335 "title": "Does option trading convey stock price information?",1336 "container": "Journal of Financial Economics",1337 "year": 2014,1338 "volume": "111",1339 "issue": "3",1340 "page": "625-645",1341 "authors": [1342 "Hu"1343 ],1344 "type": "journal-article"1345 },1346 {1347 "doi": "10.2139/ssrn.1970702",1348 "title": "Does Option Trading Convey Stock Price Information?",1349 "container": "",1350 "year": 2011,1351 "volume": null,1352 "issue": null,1353 "page": null,1354 "authors": [1355 "Hu"1356 ],1357 "type": "posted-content"1358 },1359 {1360 "doi": "10.2139/ssrn.2022913",1361 "title": "Does Option Trading Convey Stock Price Information?",1362 "container": "",1363 "year": 2012,1364 "volume": null,1365 "issue": null,1366 "page": null,1367 "authors": [1368 "Hu"1369 ],1370 "type": "posted-content"1371 }1372 ]1373 },1374 "johnson2012option": {1375 "query": "Johnson So The option to stock volume ratio and future returns Journal of Financial Economics",1376 "expected_year": 2012,1377 "hits": [1378 {1379 "doi": "10.1016/j.jfineco.2012.05.008",1380 "title": "The option to stock volume ratio and future returns",1381 "container": "Journal of Financial Economics",1382 "year": 2012,1383 "volume": "106",1384 "issue": "2",1385 "page": "262-286",1386 "authors": [1387 "Johnson",1388 "So"1389 ],1390 "type": "journal-article"1391 },1392 {1393 "doi": "10.2139/ssrn.1624062",1394 "title": "The Option to Stock Volume Ratio and Future Returns",1395 "container": "",1396 "year": 2010,1397 "volume": null,1398 "issue": null,1399 "page": null,1400 "authors": [1401 "Johnson",1402 "So"1403 ],1404 "type": "posted-content"1405 },1406 {1407 "doi": "10.1016/j.jfineco.2015.08.019",1408 "title": "Why does the option to stock volume ratio predict stock returns?",1409 "container": "Journal of Financial Economics",1410 "year": 2016,1411 "volume": "120",1412 "issue": "3",1413 "page": "601-622",1414 "authors": [1415 "Ge",1416 "Lin",1417 "Pearson"1418 ],1419 "type": "journal-article"1420 }1421 ]1422 },1423 "kelly2014tail": {1424 "query": "Kelly Jiang Tail risk and asset prices Review of Financial Studies",1425 "expected_year": 2014,1426 "hits": [1427 {1428 "doi": "10.1093/rfs/hhu039",1429 "title": "Tail Risk and Asset Prices",1430 "container": "Review of Financial Studies",1431 "year": 2014,1432 "volume": "27",1433 "issue": "10",1434 "page": "2841-2871",1435 "authors": [1436 "Kelly",1437 "Jiang"1438 ],1439 "type": "journal-article"1440 },1441 {1442 "doi": "10.3386/w19375",1443 "title": "Tail Risk and Asset Prices",1444 "container": "",1445 "year": 2013,1446 "volume": null,1447 "issue": null,1448 "page": null,1449 "authors": [1450 "Kelly",1451 "Jiang"1452 ],1453 "type": "report"1454 },1455 {1456 "doi": "10.2139/ssrn.2321243",1457 "title": "Tail Risk and Asset Prices",1458 "container": "",1459 "year": 2013,1460 "volume": null,1461 "issue": null,1462 "page": null,1463 "authors": [1464 "Kelly",1465 "Jiang"1466 ],1467 "type": "posted-content"1468 }1469 ]1470 },1471 "manaster1982option": {1472 "query": "Manaster Rendleman Option prices as predictors of equilibrium stock prices Journal of Finance",1473 "expected_year": 1982,1474 "hits": [1475 {1476 "doi": "10.2307/2327766",1477 "title": "Option Prices as Predictors of Equilibrium Stock Prices",1478 "container": "The Journal of Finance",1479 "year": 1982,1480 "volume": "37",1481 "issue": "4",1482 "page": "1043",1483 "authors": [1484 "Manaster",1485 "Rendleman"1486 ],1487 "type": "journal-article"1488 },1489 {1490 "doi": "10.1111/j.1540-6261.1982.tb03597.x",1491 "title": "Option Prices as Predictors of Equilibrium Stock Prices",1492 "container": "The Journal of Finance",1493 "year": 1982,1494 "volume": "37",1495 "issue": "4",1496 "page": "1043-1057",1497 "authors": [1498 "MANASTER",1499 "RENDLEMAN"1500 ],1501 "type": "journal-article"1502 },1503 {1504 "doi": "10.2307/2326608",1505 "title": "Standard Deviations of Stock Price Ratios Implied in Option Prices",1506 "container": "The Journal of Finance",1507 "year": 1976,1508 "volume": "31",1509 "issue": "2",1510 "page": "369",1511 "authors": [1512 "Latane",1513 "Rendleman"1514 ],1515 "type": "journal-article"1516 }1517 ]1518 },1519 "ni2009does": {1520 "query": "Ni Pearson Poteshman Stock price clustering on option expiration dates Journal of Financial Economics",1521 "expected_year": 2005,1522 "hits": [1523 {1524 "doi": "10.2139/ssrn.519044",1525 "title": "Stock Price Clustering on Option Expiration Dates",1526 "container": "",1527 "year": 2004,1528 "volume": null,1529 "issue": null,1530 "page": null,1531 "authors": [1532 "Ni",1533 "Pearson",1534 "Poteshman"1535 ],1536 "type": "posted-content"1537 },1538 {1539 "doi": "10.1016/j.jfineco.2004.08.005",1540 "title": "Stock price clustering on option expiration dates",1541 "container": "Journal of Financial Economics",1542 "year": 2005,1543 "volume": "78",1544 "issue": "1",1545 "page": "49-87",1546 "authors": [1547 "XIAOYANNI",1548 "PEARSON",1549 "POTESHMAN"1550 ],1551 "type": "journal-article"1552 },1553 {1554 "doi": "10.2469/dig.v36.n2.4133",1555 "title": "Stock Price Clustering on Option Expiration Dates",1556 "container": "CFA Digest",1557 "year": 2006,1558 "volume": "36",1559 "issue": "2",1560 "page": "101-101",1561 "authors": [1562 "Horan"1563 ],1564 "type": "journal-article"1565 }1566 ]1567 },1568 "ni2021pervasive": {1569 "query": "Ni Pearson Poteshman White Does option trading have a pervasive impact on underlying stock prices Review of Financial Studies",1570 "expected_year": 2021,1571 "hits": [1572 {1573 "doi": "10.2139/ssrn.970592",1574 "title": "Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?",1575 "container": "",1576 "year": 2007,1577 "volume": null,1578 "issue": null,1579 "page": null,1580 "authors": [1581 "Pearson",1582 "Poteshman",1583 "White"1584 ],1585 "type": "posted-content"1586 },1587 {1588 "doi": "10.1093/rfs/hhaa082",1589 "title": "Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?",1590 "container": "The Review of Financial Studies",1591 "year": 2020,1592 "volume": "34",1593 "issue": "4",1594 "page": "1952-1986",1595 "authors": [1596 "Ni",1597 "Pearson",1598 "Poteshman",1599 "White"1600 ],1601 "type": "journal-article"1602 },1603 {1604 "doi": "10.2139/ssrn.2867461",1605 "title": "Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?",1606 "container": "SSRN Electronic Journal",1607 "year": 2016,1608 "volume": null,1609 "issue": null,1610 "page": null,1611 "authors": [1612 "Ni",1613 "Poteshman",1614 "White"1615 ],1616 "type": "journal-article"1617 }1618 ]1619 },1620 "pan2006information": {1621 "query": "Pan Poteshman The information in option volume for future stock prices Review of Financial Studies",1622 "expected_year": 2006,1623 "hits": [1624 {1625 "doi": "10.3386/w10925",1626 "title": "The Information of Option Volume for Future Stock Prices",1627 "container": "",1628 "year": 2004,1629 "volume": null,1630 "issue": null,1631 "page": null,1632 "authors": [1633 "Pan",1634 "Poteshman"1635 ],1636 "type": "report"1637 },1638 {1639 "doi": "10.1093/rfs/hhj024",1640 "title": "The Information in Option Volume for Future Stock Prices",1641 "container": "Review of Financial Studies",1642 "year": 2006,1643 "volume": "19",1644 "issue": "3",1645 "page": "871-908",1646 "authors": [1647 "Pan",1648 "Poteshman"1649 ],1650 "type": "journal-article"1651 },1652 {1653 "doi": "10.2139/ssrn.368980",1654 "title": "The Information in Option Volume for Stock Prices",1655 "container": "",1656 "year": 2003,1657 "volume": null,1658 "issue": null,1659 "page": null,1660 "authors": [1661 "Poteshman",1662 "Pan"1663 ],1664 "type": "posted-content"1665 }1666 ]1667 },1668 "patton2015good": {1669 "query": "Patton Sheppard Good volatility bad volatility signed jumps and the persistence of volatility Review of Economics and Statistics",1670 "expected_year": 2015,1671 "hits": [1672 {1673 "doi": "10.1162/rest_a_00503",1674 "title": "Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility",1675 "container": "Review of Economics and Statistics",1676 "year": 2015,1677 "volume": "97",1678 "issue": "3",1679 "page": "683-697",1680 "authors": [1681 "Patton",1682 "Sheppard"1683 ],1684 "type": "journal-article"1685 },1686 {1687 "doi": "10.1016/j.iref.2022.03.013",1688 "title": "Good oil volatility, bad oil volatility, and stock return predictability",1689 "container": "International Review of Economics & Finance",1690 "year": 2022,1691 "volume": "80",1692 "issue": null,1693 "page": "953-966",1694 "authors": [1695 "Xiao",1696 "Wang"1697 ],1698 "type": "journal-article"1699 },1700 {1701 "doi": "10.2139/ssrn.2741267",1702 "title": "Good Volatility, Bad Volatility and Option Pricing",1703 "container": "SSRN Electronic Journal",1704 "year": 2016,1705 "volume": null,1706 "issue": null,1707 "page": null,1708 "authors": [1709 "Feunou",1710 "Okou"1711 ],1712 "type": "journal-article"1713 }1714 ]1715 },1716 "stilger2017puzzle": {1717 "query": "Stilger Kostakis Poon What does risk-neutral skewness tell us about future stock returns Management Science",1718 "expected_year": 2017,1719 "hits": [1720 {1721 "doi": "10.2139/ssrn.2417021",1722 "title": "What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?",1723 "container": "",1724 "year": 2014,1725 "volume": null,1726 "issue": null,1727 "page": null,1728 "authors": [1729 "Stilger",1730 "Kostakis",1731 "Poon"1732 ],1733 "type": "posted-content"1734 },1735 {1736 "doi": "10.1287/mnsc.2015.2379",1737 "title": "What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?",1738 "container": "Management Science",1739 "year": 2017,1740 "volume": "63",1741 "issue": "6",1742 "page": "1814-1834",1743 "authors": [1744 "Stilger",1745 "Kostakis",1746 "Poon"1747 ],1748 "type": "journal-article"1749 },1750 {1751 "doi": "10.2139/ssrn.3258211",1752 "title": "What Does the Value of Corporate Votes Tell Us About Future Stock Returns?",1753 "container": "SSRN Electronic Journal",1754 "year": 2018,1755 "volume": null,1756 "issue": null,1757 "page": null,1758 "authors": [1759 "Jang",1760 "Kim",1761 "Mohseni"1762 ],1763 "type": "journal-article"1764 }1765 ]1766 },1767 "xing2010does": {1768 "query": "Xing Zhang Zhao What does the individual option volatility smirk tell us about future equity returns",1769 "expected_year": 2010,1770 "hits": [1771 {1772 "doi": "10.2139/ssrn.1107464",1773 "title": "What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?",1774 "container": "",1775 "year": 2008,1776 "volume": null,1777 "issue": null,1778 "page": null,1779 "authors": [1780 "Zhang",1781 "Zhao",1782 "Xing"1783 ],1784 "type": "posted-content"1785 },1786 {1787 "doi": "10.1017/s0022109010000220",1788 "title": "What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?",1789 "container": "Journal of Financial and Quantitative Analysis",1790 "year": 2010,1791 "volume": "45",1792 "issue": "3",1793 "page": "641-662",1794 "authors": [1795 "Xing",1796 "Zhang",1797 "Zhao"1798 ],1799 "type": "journal-article"1800 },1801 {1802 "doi": "10.2469/dig.v41.n1.2",1803 "title": "What Does the Individual Option Volatility Smirk Tell Us about Future Equity Returns?",1804 "container": "CFA Digest",1805 "year": 2011,1806 "volume": "41",1807 "issue": "1",1808 "page": "18-19",1809 "authors": [1810 "Sule"1811 ],1812 "type": "journal-article"1813 }1814 ]1815 },1816 "white1980heteroskedasticity": {1817 "query": "White A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity Econometrica",1818 "expected_year": 1980,1819 "hits": [1820 {1821 "doi": "10.2307/1912934",1822 "title": "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity",1823 "container": "Econometrica",1824 "year": 1980,1825 "volume": "48",1826 "issue": "4",1827 "page": "817",1828 "authors": [1829 "White"1830 ],1831 "type": "journal-article"1832 },1833 {1834 "doi": "10.4337/9781035363339.00007",1835 "title": "A Heteroskedasticity-Consistent Covariance Matrix Estimator and A Direct Test for Heteroskedasticity",1836 "container": "New Perspectives in Econometric Theory",1837 "year": 2004,1838 "volume": null,1839 "issue": null,1840 "page": "3-25",1841 "authors": [1842 "White"1843 ],1844 "type": "book-chapter"1845 },1846 {1847 "doi": "10.2307/1911269",1848 "title": "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator",1849 "container": "Econometrica",1850 "year": 1987,1851 "volume": "55",1852 "issue": "5",1853 "page": "1217",1854 "authors": [1855 "Chesher",1856 "Jewitt"1857 ],1858 "type": "journal-article"1859 }1860 ]1861 },1862 "newey1987simple": {1863 "query": "Newey West A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix Econometrica",1864 "expected_year": 1987,1865 "hits": [1866 {1867 "doi": "10.2307/1913610",1868 "title": "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix",1869 "container": "Econometrica",1870 "year": 1987,1871 "volume": "55",1872 "issue": "3",1873 "page": "703",1874 "authors": [1875 "Newey",1876 "West"1877 ],1878 "type": "journal-article"1879 },1880 {1881 "doi": "10.3386/t0055",1882 "title": "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix",1883 "container": "",1884 "year": 1986,1885 "volume": null,1886 "issue": null,1887 "page": null,1888 "authors": [1889 "Newey",1890 "West"1891 ],1892 "type": "report"1893 },1894 {1895 "doi": "10.3386/t0183",1896 "title": "Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator",1897 "container": "",1898 "year": 1995,1899 "volume": null,1900 "issue": null,1901 "page": null,1902 "authors": [1903 "West"1904 ],1905 "type": "report"1906 }1907 ]1908 },1909 "petersen2009estimating": {1910 "query": "Petersen Estimating standard errors in finance panel data sets comparing approaches Review of Financial Studies",1911 "expected_year": 2009,1912 "hits": [1913 {1914 "doi": "10.3386/w11280",1915 "title": "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches",1916 "container": "",1917 "year": 2005,1918 "volume": null,1919 "issue": null,1920 "page": null,1921 "authors": [1922 "Petersen"1923 ],1924 "type": "report"1925 },1926 {1927 "doi": "10.1093/rfs/hhn053",1928 "title": "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches",1929 "container": "Review of Financial Studies",1930 "year": 2008,1931 "volume": "22",1932 "issue": "1",1933 "page": "435-480",1934 "authors": [1935 "Petersen"1936 ],1937 "type": "journal-article"1938 },1939 {1940 "doi": "10.2139/ssrn.661481",1941 "title": "Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches",1942 "container": "SSRN Electronic Journal",1943 "year": 2006,1944 "volume": null,1945 "issue": null,1946 "page": null,1947 "authors": [1948 "Petersen"1949 ],1950 "type": "journal-article"1951 }1952 ]1953 },1954 "koenker1978regression": {1955 "query": "Koenker Bassett Regression quantiles Econometrica",1956 "expected_year": 1978,1957 "hits": [1958 {1959 "doi": "10.2307/1913643",1960 "title": "Regression Quantiles",1961 "container": "Econometrica",1962 "year": 1978,1963 "volume": "46",1964 "issue": "1",1965 "page": "33",1966 "authors": [1967 "Koenker",1968 "Bassett"1969 ],1970 "type": "journal-article"1971 },1972 {1973 "doi": "10.2307/1912528",1974 "title": "Robust Tests for Heteroscedasticity Based on Regression Quantiles",1975 "container": "Econometrica",1976 "year": 1982,1977 "volume": "50",1978 "issue": "1",1979 "page": "43",1980 "authors": [1981 "Koenker",1982 "Bassett"1983 ],1984 "type": "journal-article"1985 },1986 {1987 "doi": "10.1017/s0266466600011488",1988 "title": "Strong Consistency of Regression Quantiles and Related Empirical Processes",1989 "container": "Econometric Theory",1990 "year": 1986,1991 "volume": "2",1992 "issue": "2",1993 "page": "191-201",1994 "authors": [1995 "Bassett",1996 "Koenker"1997 ],1998 "type": "journal-article"1999 }2000 ]2001 },2002 "harvey2016and": {2003 "query": "Harvey Liu Zhu and the cross-section of expected returns Review of Financial Studies",2004 "expected_year": 2016,2005 "hits": [2006 {2007 "doi": "10.1093/rfs/hhv059",2008 "title": "\u2026 and the Cross-Section of Expected Returns",2009 "container": "Review of Financial Studies",2010 "year": 2015,2011 "volume": "29",2012 "issue": "1",2013 "page": "5-68",2014 "authors": [2015 "Harvey",2016 "Liu",2017 "Zhu"2018 ],2019 "type": "journal-article"2020 },2021 {2022 "doi": "10.3386/w20592",2023 "title": ". . . and the Cross-Section of Expected Returns",2024 "container": "",2025 "year": 2014,2026 "volume": null,2027 "issue": null,2028 "page": null,2029 "authors": [2030 "Harvey",2031 "Liu",2032 "Zhu"2033 ],2034 "type": "report"2035 },2036 {2037 "doi": "10.2139/ssrn.2249314",2038 "title": "\u2026and the Cross-Section of Expected Returns",2039 "container": "",2040 "year": 2013,2041 "volume": null,2042 "issue": null,2043 "page": null,2044 "authors": [2045 "Harvey",2046 "Liu",2047 "Zhu"2048 ],2049 "type": "posted-content"2050 }2051 ]2052 },2053 "welch2008comprehensive": {2054 "query": "Welch Goyal A comprehensive look at the empirical performance of equity premium prediction Review of Financial Studies",2055 "expected_year": 2008,2056 "hits": [2057 {2058 "doi": "10.1093/rfs/hhm014",2059 "title": "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction",2060 "container": "Review of Financial Studies",2061 "year": 2007,2062 "volume": "21",2063 "issue": "4",2064 "page": "1455-1508",2065 "authors": [2066 "Welch",2067 "Goyal"2068 ],2069 "type": "journal-article"2070 },2071 {2072 "doi": "10.2139/ssrn.3929119",2073 "title": "A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction",2074 "container": "",2075 "year": 2021,2076 "volume": null,2077 "issue": null,2078 "page": null,2079 "authors": [2080 "Goyal",2081 "Welch",2082 "Zafirov"2083 ],2084 "type": "posted-content"2085 },2086 {2087 "doi": "10.1093/rfs/hhae044",2088 "title": "A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction",2089 "container": "The Review of Financial Studies",2090 "year": 2024,2091 "volume": "37",2092 "issue": "11",2093 "page": "3490-3557",2094 "authors": [2095 "Goyal",2096 "Welch",2097 "Zafirov"2098 ],2099 "type": "journal-article"2100 }2101 ]2102 },2103 "campbell2008predicting": {2104 "query": "Campbell Thompson Predicting excess stock returns out of sample can anything beat the historical average Review of Financial Studies",2105 "expected_year": 2008,2106 "hits": [2107 {2108 "doi": "10.1093/rfs/hhm055",2109 "title": "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?",2110 "container": "Review of Financial Studies",2111 "year": 2007,2112 "volume": "21",2113 "issue": "4",2114 "page": "1509-1531",2115 "authors": [2116 "Campbell",2117 "Thompson"2118 ],2119 "type": "journal-article"2120 },2121 {2122 "doi": "10.3386/w11468",2123 "title": "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?",2124 "container": "",2125 "year": 2005,2126 "volume": null,2127 "issue": null,2128 "page": null,2129 "authors": [2130 "Campbell",2131 "Thompson"2132 ],2133 "type": "report"2134 },2135 {2136 "doi": "10.2469/dig.v39.n1.49",2137 "title": "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?",2138 "container": "CFA Digest",2139 "year": 2009,2140 "volume": "39",2141 "issue": "1",2142 "page": "78-80",2143 "authors": [2144 "O\u2019Connell"2145 ],2146 "type": "journal-article"2147 }2148 ]2149 },2150 "fama2008dissecting": {2151 "query": "Fama French Dissecting anomalies Journal of Finance",2152 "expected_year": 2008,2153 "hits": [2154 {2155 "doi": "10.1111/j.1540-6261.2008.01371.x",2156 "title": "Dissecting Anomalies",2157 "container": "The Journal of Finance",2158 "year": 2008,2159 "volume": "63",2160 "issue": "4",2161 "page": "1653-1678",2162 "authors": [2163 "FAMA",2164 "FRENCH"2165 ],2166 "type": "journal-article"2167 },2168 {2169 "doi": "10.2139/ssrn.2503174",2170 "title": "Dissecting Anomalies with a Five-Factor Model",2171 "container": "",2172 "year": 2014,2173 "volume": null,2174 "issue": null,2175 "page": null,2176 "authors": [2177 "Fama",2178 "French"2179 ],2180 "type": "posted-content"2181 },2182 {2183 "doi": "10.2139/ssrn.911960",2184 "title": "Dissecting Anomalies",2185 "container": "SSRN Electronic Journal",2186 "year": 2007,2187 "volume": null,2188 "issue": null,2189 "page": null,2190 "authors": [2191 "Fama",2192 "French"2193 ],2194 "type": "journal-article"2195 }2196 ]2197 },2198 "bakshi2003stock": {2199 "query": "Bakshi Kapadia Madan Stock return characteristics skew laws and the differential pricing of individual equity options Review of Financial Studies",2200 "expected_year": 2003,2201 "hits": [2202 {2203 "doi": "10.2139/ssrn.282451",2204 "title": "Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options",2205 "container": "",2206 "year": 2001,2207 "volume": null,2208 "issue": null,2209 "page": null,2210 "authors": [2211 "Bakshi",2212 "Kapadia",2213 "Madan"2214 ],2215 "type": "posted-content"2216 },2217 {2218 "doi": "10.2139/ssrn.239528",2219 "title": "Stock Return Characteristics, Skew Laws, and the Differential\r\nPricing of Individual Equity Options",2220 "container": "",2221 "year": 2000,2222 "volume": null,2223 "issue": null,2224 "page": null,2225 "authors": [2226 "Kapadia",2227 "Bakshi",2228 "Madan"2229 ],2230 "type": "posted-content"2231 },2232 {2233 "doi": "10.1093/rfs/16.1.0101",2234 "title": "Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options",2235 "container": "Review of Financial Studies",2236 "year": 2003,2237 "volume": "16",2238 "issue": "1",2239 "page": "101-143",2240 "authors": [2241 "Bakshi",2242 "Kapadia",2243 "Madan"2244 ],2245 "type": "journal-article"2246 }2247 ]2248 },2249 "bakshi2000spanning": {2250 "query": "Bakshi Madan Spanning and derivative-security valuation Journal of Financial Economics",2251 "expected_year": 2000,2252 "hits": [2253 {2254 "doi": "10.1016/s0304-405x(99)00050-1",2255 "title": "Spanning and derivative-security valuation",2256 "container": "Journal of Financial Economics",2257 "year": 2000,2258 "volume": "55",2259 "issue": "2",2260 "page": "205-238",2261 "authors": [2262 "Bakshi",2263 "Madan"2264 ],2265 "type": "journal-article"2266 },2267 {2268 "doi": "10.2139/ssrn.153908",2269 "title": "Spanning and Derivative-Security Valuation",2270 "container": "",2271 "year": 1999,2272 "volume": null,2273 "issue": null,2274 "page": null,2275 "authors": [2276 "Madan",2277 "Bakshi"2278 ],2279 "type": "posted-content"2280 },2281 {2282 "doi": "10.1016/s0304-405x(96)00009-8",2283 "title": "An alternative valuation model for contingent claims",2284 "container": "Journal of Financial Economics",2285 "year": 1997,2286 "volume": "44",2287 "issue": "1",2288 "page": "123-165",2289 "authors": [2290 "Bakshi",2291 "Chen"2292 ],2293 "type": "journal-article"2294 }2295 ]2296 },2297 "conrad2013exante": {2298 "query": "Conrad Dittmar Ghysels Ex ante skewness and expected stock returns Journal of Finance",2299 "expected_year": 2013,2300 "hits": [2301 {2302 "doi": "10.2139/ssrn.1522218",2303 "title": "Ex Ante Skewness and Expected Stock Returns",2304 "container": "SSRN Electronic Journal",2305 "year": 2009,2306 "volume": null,2307 "issue": null,2308 "page": null,2309 "authors": [2310 "Conrad",2311 "Dittmar",2312 "Ghysels"2313 ],2314 "type": "journal-article"2315 },2316 {2317 "doi": "10.1111/j.1540-6261.2012.01795.x",2318 "title": "Ex Ante Skewness and Expected Stock Returns",2319 "container": "The Journal of Finance",2320 "year": 2013,2321 "volume": "68",2322 "issue": "1",2323 "page": "85-124",2324 "authors": [2325 "CONRAD",2326 "DITTMAR",2327 "GHYSELS"2328 ],2329 "type": "journal-article"2330 },2331 {2332 "doi": "10.2139/ssrn.972699",2333 "title": "Skewness and the Bubble",2334 "container": "",2335 "year": 2007,2336 "volume": null,2337 "issue": null,2338 "page": null,2339 "authors": [2340 "Dittmar",2341 "Ghysels",2342 "Conrad"2343 ],2344 "type": "posted-content"2345 }2346 ]2347 },2348 "christoffersen2013forecasting": {2349 "query": "Christoffersen Jacobs Chang Forecasting with option-implied information Handbook of Economic Forecasting",2350 "expected_year": 2013,2351 "hits": [2352 {2353 "doi": "10.1016/b978-0-444-53683-9.00010-4",2354 "title": "Forecasting with Option-Implied Information",2355 "container": "Handbook of Economic Forecasting",2356 "year": 2013,2357 "volume": null,2358 "issue": null,2359 "page": "581-656",2360 "authors": [2361 "Christoffersen",2362 "Jacobs",2363 "Chang"2364 ],2365 "type": "book-chapter"2366 },2367 {2368 "doi": "10.2139/ssrn.1969863",2369 "title": "Forecasting with Option-Implied Information",2370 "container": "",2371 "year": 2011,2372 "volume": null,2373 "issue": null,2374 "page": null,2375 "authors": [2376 "Christoffersen",2377 "Jacobs",2378 "Chang"2379 ],2380 "type": "posted-content"2381 },2382 {2383 "doi": "10.2139/ssrn.1416753",2384 "title": "Option-Implied Measures of Equity Risk",2385 "container": "",2386 "year": 2009,2387 "volume": null,2388 "issue": null,2389 "page": null,2390 "authors": [2391 "Chang",2392 "Christoffersen",2393 "Jacobs",2394 "Vainberg"2395 ],2396 "type": "posted-content"2397 }2398 ]2399 },2400 "jiang2005modelfree": {2401 "query": "Jiang Tian The model-free implied volatility and its information content Review of Financial Studies",2402 "expected_year": 2005,2403 "hits": [2404 {2405 "doi": "10.1093/rfs/hhi027",2406 "title": "The Model-Free Implied Volatility and Its Information Content",2407 "container": "Review of Financial Studies",2408 "year": 2005,2409 "volume": "18",2410 "issue": "4",2411 "page": "1305-1342",2412 "authors": [2413 "Jiang",2414 "Tian"2415 ],2416 "type": "journal-article"2417 },2418 {2419 "doi": "10.2139/ssrn.2667489",2420 "title": "Entropy-Based Implied Volatility and its Information Content",2421 "container": "",2422 "year": 2015,2423 "volume": null,2424 "issue": null,2425 "page": null,2426 "authors": [2427 "Xiao",2428 "Zhou"2429 ],2430 "type": "posted-content"2431 },2432 {2433 "doi": "10.2139/ssrn.1102269",2434 "title": "The Information Content of Implied Volatilities and Model-Free Volatility Expectations: Evidence from Options Written on Individual Stocks",2435 "container": "",2436 "year": 2008,2437 "volume": null,2438 "issue": null,2439 "page": null,2440 "authors": [2441 "Taylor",2442 "Yadav",2443 "Zhang"2444 ],2445 "type": "posted-content"2446 }2447 ]2448 },2449 "brittenjones2000option": {2450 "query": "Britten-Jones Neuberger Option prices implied price processes and stochastic volatility Journal of Finance",2451 "expected_year": 2000,2452 "hits": [2453 {2454 "doi": "10.1111/0022-1082.00228",2455 "title": "Option Prices, Implied Price Processes, and Stochastic Volatility",2456 "container": "The Journal of Finance",2457 "year": 2000,2458 "volume": "55",2459 "issue": "2",2460 "page": "839-866",2461 "authors": [2462 "Britten\u2010Jones",2463 "Neuberger"2464 ],2465 "type": "journal-article"2466 },2467 {2468 "doi": "10.1142/s0219024902001286",2469 "title": "THE BRITTEN-JONES AND NEUBERGER SMILE-CONSISTENT WITH STOCHASTIC VOLATILITY OPTION PRICING MODEL: A FURTHER ANALYSIS",2470 "container": "International Journal of Theoretical and Applied Finance",2471 "year": 2002,2472 "volume": "05",2473 "issue": "01",2474 "page": "1-31",2475 "authors": [2476 "ROSSI"2477 ],2478 "type": "journal-article"2479 },2480 {2481 "doi": "10.31390/gradschool_disstheses.5166",2482 "title": "Implied Volatility and Risk Preference From Option Prices.",2483 "container": "",2484 "year": null,2485 "volume": null,2486 "issue": null,2487 "page": null,2488 "authors": [2489 "",2490 "Bartunek"2491 ],2492 "type": "dissertation"2493 }2494 ]2495 },2496 "andersen1998answering": {2497 "query": "Andersen Bollerslev Answering the skeptics yes standard volatility models do provide accurate forecasts International Economic Review",2498 "expected_year": 1998,2499 "hits": [2500 {2501 "doi": "10.2307/2527343",2502 "title": "Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts",2503 "container": "International Economic Review",2504 "year": 1998,2505 "volume": "39",2506 "issue": "4",2507 "page": "885",2508 "authors": [2509 "Andersen",2510 "Bollerslev"2511 ],2512 "type": "journal-article"2513 },2514 {2515 "doi": "10.3386/w6023",2516 "title": "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts",2517 "container": "",2518 "year": 1997,2519 "volume": null,2520 "issue": null,2521 "page": null,2522 "authors": [2523 "Andersen",2524 "Bollerslev"2525 ],2526 "type": "report"2527 },2528 {2529 "doi": "10.1111/j.0020-6598.2004.00298.x",2530 "title": "ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*",2531 "container": "International Economic Review",2532 "year": 2004,2533 "volume": "45",2534 "issue": "4",2535 "page": "1079-1110",2536 "authors": [2537 "Andersen",2538 "Bollerslev",2539 "Meddahi"2540 ],2541 "type": "journal-article"2542 }2543 ]2544 },2545 "bollerslev2016exploiting": {2546 "query": "Bollerslev Patton Quaedvlieg Exploiting the errors a simple approach for improved volatility forecasting Journal of Econometrics",2547 "expected_year": 2016,2548 "hits": [2549 {2550 "doi": "10.1016/j.jeconom.2015.10.007",2551 "title": "Exploiting the errors: A simple approach for improved volatility forecasting",2552 "container": "Journal of Econometrics",2553 "year": 2016,2554 "volume": "192",2555 "issue": "1",2556 "page": "1-18",2557 "authors": [2558 "Bollerslev",2559 "Patton",2560 "Quaedvlieg"2561 ],2562 "type": "journal-article"2563 },2564 {2565 "doi": "10.1016/j.jeconom.2018.05.004",2566 "title": "Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions",2567 "container": "Journal of Econometrics",2568 "year": 2018,2569 "volume": "207",2570 "issue": "1",2571 "page": "71-91",2572 "authors": [2573 "Bollerslev",2574 "Patton",2575 "Quaedvlieg"2576 ],2577 "type": "journal-article"2578 },2579 {2580 "doi": "10.1016/j.jeconom.2025.106034",2581 "title": "Granular betas and risk premium functions",2582 "container": "Journal of Econometrics",2583 "year": 2025,2584 "volume": null,2585 "issue": null,2586 "page": "106034",2587 "authors": [2588 "Bollerslev",2589 "Patton",2590 "Quaedvlieg"2591 ],2592 "type": "journal-article"2593 }2594 ]2595 },2596 "martin2019expected": {2597 "query": "Martin Wagner What is the expected return on a stock Journal of Finance",2598 "expected_year": 2019,2599 "hits": [2600 {2601 "doi": "10.2139/ssrn.2771464",2602 "title": "What is the Expected Return on a Stock?",2603 "container": "",2604 "year": 2016,2605 "volume": null,2606 "issue": null,2607 "page": null,2608 "authors": [2609 "Martin",2610 "Wagner"2611 ],2612 "type": "posted-content"2613 },2614 {2615 "doi": "10.1111/jofi.12778",2616 "title": "What Is the Expected Return on a Stock?",2617 "container": "The Journal of Finance",2618 "year": 2019,2619 "volume": "74",2620 "issue": "4",2621 "page": "1887-1929",2622 "authors": [2623 "MARTIN",2624 "WAGNER"2625 ],2626 "type": "journal-article"2627 },2628 {2629 "doi": "10.2139/ssrn.2772101",2630 "title": "What Is the Expected Return on the Market?",2631 "container": "SSRN Electronic Journal",2632 "year": 2016,2633 "volume": null,2634 "issue": null,2635 "page": null,2636 "authors": [2637 "Martin"2638 ],2639 "type": "journal-article"2640 }2641 ]2642 },2643 "martin2017expected": {2644 "query": "Martin What is the expected return on the market Quarterly Journal of Economics",2645 "expected_year": 2017,2646 "hits": [2647 {2648 "doi": "10.1093/qje/qjw034",2649 "title": "What is the Expected Return on the Market?*",2650 "container": "The Quarterly Journal of Economics",2651 "year": 2016,2652 "volume": "132",2653 "issue": "1",2654 "page": "367-433",2655 "authors": [2656 "Martin"2657 ],2658 "type": "journal-article"2659 },2660 {2661 "doi": "10.2139/ssrn.2772101",2662 "title": "What Is the Expected Return on the Market?",2663 "container": "SSRN Electronic Journal",2664 "year": 2016,2665 "volume": null,2666 "issue": null,2667 "page": null,2668 "authors": [2669 "Martin"2670 ],2671 "type": "journal-article"2672 },2673 {2674 "doi": "10.2139/ssrn.2771464",2675 "title": "What is the Expected Return on a Stock?",2676 "container": "",2677 "year": 2016,2678 "volume": null,2679 "issue": null,2680 "page": null,2681 "authors": [2682 "Martin",2683 "Wagner"2684 ],2685 "type": "posted-content"2686 }2687 ]2688 },2689 "bali2009volatility": {2690 "query": "Bali Hovakimian Volatility spreads and expected stock returns Management Science",2691 "expected_year": 2009,2692 "hits": [2693 {2694 "doi": "10.2139/ssrn.1029197",2695 "title": "Volatility Spreads and Expected Stock Returns",2696 "container": "",2697 "year": 2007,2698 "volume": null,2699 "issue": null,2700 "page": null,2701 "authors": [2702 "Bali",2703 "Hovakimian"2704 ],2705 "type": "posted-content"2706 },2707 {2708 "doi": "10.1287/mnsc.1090.1063",2709 "title": "Volatility Spreads and Expected Stock Returns",2710 "container": "Management Science",2711 "year": 2009,2712 "volume": "55",2713 "issue": "11",2714 "page": "1797-1812",2715 "authors": [2716 "Bali",2717 "Hovakimian"2718 ],2719 "type": "journal-article"2720 },2721 {2722 "doi": "10.2139/ssrn.1511970",2723 "title": "Implied Volatility Spreads, Skewness and Expected Market Returns",2724 "container": "",2725 "year": 2009,2726 "volume": null,2727 "issue": null,2728 "page": null,2729 "authors": [2730 "Atilgan",2731 "Bali",2732 "Demirtas"2733 ],2734 "type": "posted-content"2735 }2736 ]2737 },2738 "dennis2002riskneutral": {2739 "query": "Dennis Mayhew Risk-neutral skewness evidence from stock options Journal of Financial and Quantitative Analysis",2740 "expected_year": 2002,2741 "hits": [2742 {2743 "doi": "10.2307/3594989",2744 "title": "Risk-Neutral Skewness: Evidence from Stock Options",2745 "container": "The Journal of Financial and Quantitative Analysis",2746 "year": 2002,2747 "volume": "37",2748 "issue": "3",2749 "page": "471",2750 "authors": [2751 "Dennis",2752 "Mayhew"2753 ],2754 "type": "journal-article"2755 },2756 {2757 "doi": "10.1108/jdqs-01-2013-b0004",2758 "title": "Information Flow between Stock Skew and Options Risk Neutral Skew: Evidence from KOSPI200 Options",2759 "container": "Journal of Derivatives and Quantitative Studies",2760 "year": 2013,2761 "volume": "21",2762 "issue": "1",2763 "page": "97-133",2764 "authors": [2765 "Kim",2766 "Park",2767 "Eom"2768 ],2769 "type": "journal-article"2770 },2771 {2772 "doi": "10.1017/s0022109020000551",2773 "title": "Risk-Neutral Skewness, Informed Trading, and the Cross Section of Stock Returns",2774 "container": "Journal of Financial and Quantitative Analysis",2775 "year": 2020,2776 "volume": "56",2777 "issue": "5",2778 "page": "1713-1737",2779 "authors": [2780 "Chordia",2781 "Lin",2782 "Xiang"2783 ],2784 "type": "journal-article"2785 }2786 ]2787 },2788 "hansen2005forecast": {2789 "query": "Hansen Lunde A forecast comparison of volatility models does anything beat a GARCH(1,1) Journal of Applied Econometrics",2790 "expected_year": 2005,2791 "hits": [2792 {2793 "doi": "10.2139/ssrn.264571",2794 "title": "A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?",2795 "container": "",2796 "year": 2001,2797 "volume": null,2798 "issue": null,2799 "page": null,2800 "authors": [2801 "Hansen",2802 "Lunde"2803 ],2804 "type": "posted-content"2805 },2806 {2807 "doi": "10.1002/jae.800",2808 "title": "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?",2809 "container": "Journal of Applied Econometrics",2810 "year": 2005,2811 "volume": "20",2812 "issue": "7",2813 "page": "873-889",2814 "authors": [2815 "Hansen",2816 "Lunde"2817 ],2818 "type": "journal-article"2819 },2820 {2821 "doi": "10.1109/cifer.2003.1196275",2822 "title": "Does anything beat a GARCH(1,1)? A comparison based on test for superior predictive ability",2823 "container": "2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings.",2824 "year": null,2825 "volume": null,2826 "issue": null,2827 "page": "301-307",2828 "authors": [2829 "Reinhard Hansen",2830 "Lunde"2831 ],2832 "type": "proceedings-article"2833 }2834 ]2835 },2836 "patton2011volatility": {2837 "query": "Patton Volatility forecast comparison using imperfect volatility proxies Journal of Econometrics",2838 "expected_year": 2011,2839 "hits": [2840 {2841 "doi": "10.2139/ssrn.932890",2842 "title": "Volatility Forecast Comparison Using Imperfect Volatility Proxies",2843 "container": "",2844 "year": 2010,2845 "volume": null,2846 "issue": null,2847 "page": null,2848 "authors": [2849 "Patton"2850 ],2851 "type": "posted-content"2852 },2853 {2854 "doi": "10.1016/j.jeconom.2010.03.034",2855 "title": "Volatility forecast comparison using imperfect volatility proxies",2856 "container": "Journal of Econometrics",2857 "year": 2011,2858 "volume": "160",2859 "issue": "1",2860 "page": "246-256",2861 "authors": [2862 "Patton"2863 ],2864 "type": "journal-article"2865 },2866 {2867 "doi": "10.2139/ssrn.675322",2868 "title": "Volatility Forecast Evaluation and Comparison Using Imperfect Volatility Proxies",2869 "container": "",2870 "year": 2005,2871 "volume": null,2872 "issue": null,2873 "page": null,2874 "authors": [2875 "Patton"2876 ],2877 "type": "posted-content"2878 }2879 ]2880 },2881 "giacomini2006tests": {2882 "query": "Giacomini White Tests of conditional predictive ability Econometrica",2883 "expected_year": 2006,2884 "hits": [2885 {2886 "doi": "10.1111/j.1468-0262.2006.00718.x",2887 "title": "Tests of Conditional Predictive Ability",2888 "container": "Econometrica",2889 "year": 2006,2890 "volume": "74",2891 "issue": "6",2892 "page": "1545-1578",2893 "authors": [2894 "Giacomini",2895 "White"2896 ],2897 "type": "journal-article"2898 },2899 {2900 "doi": "10.1093/oxfordhb/9780195398649.013.0016",2901 "title": "Testing Conditional Predictive Ability",2902 "container": "The Oxford Handbook of Economic Forecasting",2903 "year": 2012,2904 "volume": null,2905 "issue": null,2906 "page": "441-456",2907 "authors": [2908 "Giacomini"2909 ],2910 "type": "book-chapter"2911 },2912 {2913 "doi": "10.20955/wp.2019.011",2914 "title": "Tests of Conditional Predictive Ability: Some Simulation Evidence",2915 "container": "",2916 "year": 2019,2917 "volume": null,2918 "issue": null,2919 "page": null,2920 "authors": [2921 "McCracken"2922 ],2923 "type": "report"2924 }2925 ]2926 },2927 "hansen1980forward": {2928 "query": "Hansen Hodrick Forward exchange rates as optimal predictors of future spot rates an econometric analysis Journal of Political Economy",2929 "expected_year": 1980,2930 "hits": [2931 {2932 "doi": "10.1086/260910",2933 "title": "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis",2934 "container": "Journal of Political Economy",2935 "year": 1980,2936 "volume": "88",2937 "issue": "5",2938 "page": "829-853",2939 "authors": [2940 "Hansen",2941 "Hodrick"2942 ],2943 "type": "journal-article"2944 },2945 {2946 "doi": "10.3386/w1749",2947 "title": "The Covariation of Risk Premiums and Expected Future Spot Exchange Rates",2948 "container": "",2949 "year": 1985,2950 "volume": null,2951 "issue": null,2952 "page": null,2953 "authors": [2954 "Hodrick",2955 "Srivastava"2956 ],2957 "type": "report"2958 },2959 {2960 "doi": "10.17578/12-1/2-1",2961 "title": "Are Forward Exchange Rates Rational Forecasts of Future Spot Rates? An Improved Econometric Analysis for the Major Currencies",2962 "container": "Multinational Finance Journal",2963 "year": 2008,2964 "volume": "12",2965 "issue": "1/2",2966 "page": "1-20",2967 "authors": [2968 "",2969 "Aggarwal",2970 "Lin",2971 "",2972 "Mohanty",2973 ""2974 ],2975 "type": "journal-article"2976 }2977 ]2978 },2979 "jegadeesh1993returns": {2980 "query": "Jegadeesh Titman Returns to buying winners and selling losers implications for stock market efficiency Journal of Finance",2981 "expected_year": 1993,2982 "hits": [2983 {2984 "doi": "10.1111/j.1540-6261.1993.tb04702.x",2985 "title": "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency",2986 "container": "The Journal of Finance",2987 "year": 1993,2988 "volume": "48",2989 "issue": "1",2990 "page": "65-91",2991 "authors": [2992 "JEGADEESH",2993 "TITMAN"2994 ],2995 "type": "journal-article"2996 },2997 {2998 "doi": "10.2139/ssrn.485216",2999 "title": "The Periodic Structure of Returns to Buying Winners and Selling Losers",3000 "container": "",3001 "year": 2004,3002 "volume": null,3003 "issue": null,3004 "page": null,3005 "authors": [3006 "Heston",3007 "Sadka"3008 ],3009 "type": "posted-content"3010 },3011 {3012 "doi": "10.67929/ecgi-fin-061-2004",3013 "title": "Management Turnover in Stock Market Winners and Losers: A Clinical Investigation",3014 "container": "",3015 "year": 2004,3016 "volume": null,3017 "issue": null,3018 "page": null,3019 "authors": [3020 "Dissanaike",3021 "Papazian"3022 ],3023 "type": "posted-content"3024 }3025 ]3026 },3027 "lo2002statistics": {3028 "query": "Lo The statistics of Sharpe ratios Financial Analysts Journal",3029 "expected_year": 2002,3030 "hits": [3031 {3032 "doi": "10.2469/faj.v58.n4.2453",3033 "title": "The Statistics of Sharpe Ratios",3034 "container": "Financial Analysts Journal",3035 "year": 2002,3036 "volume": "58",3037 "issue": "4",3038 "page": "36-52",3039 "authors": [3040 "Lo"3041 ],3042 "type": "journal-article"3043 },3044 {3045 "doi": "10.2469/faj.v58.n6.2481",3046 "title": "\u201cThe Statistics of Sharpe Ratios\u201d: Author's Response",3047 "container": "Financial Analysts Journal",3048 "year": 2002,3049 "volume": "58",3050 "issue": "6",3051 "page": "18-18",3052 "authors": [3053 "Lo"3054 ],3055 "type": "journal-article"3056 },3057 {3058 "doi": "10.2469/faj.v59.n5.2557",3059 "title": "\u201cThe Statistics of Sharpe Ratios\u201d: Author's Response",3060 "container": "Financial Analysts Journal",3061 "year": 2003,3062 "volume": "59",3063 "issue": "5",3064 "page": "17-17",3065 "authors": [3066 "Lo"3067 ],3068 "type": "journal-article"3069 }3070 ]3071 },3072 "novymarx2016taxonomy": {3073 "query": "Novy-Marx Velikov A taxonomy of anomalies and their trading costs Review of Financial Studies",3074 "expected_year": 2016,3075 "hits": [3076 {3077 "doi": "10.3386/w20721",3078 "title": "A Taxonomy of Anomalies and their Trading Costs",3079 "container": "",3080 "year": 2014,3081 "volume": null,3082 "issue": null,3083 "page": null,3084 "authors": [3085 "Novy-Marx",3086 "Velikov"3087 ],3088 "type": "report"3089 },3090 {3091 "doi": "10.1093/rfs/hhv063",3092 "title": "A Taxonomy of Anomalies and Their Trading Costs",3093 "container": "Review of Financial Studies",3094 "year": 2015,3095 "volume": "29",3096 "issue": "1",3097 "page": "104-147",3098 "authors": [3099 "Novy-Marx",3100 "Velikov"3101 ],3102 "type": "journal-article"3103 },3104 {3105 "doi": "10.2139/ssrn.4338007",3106 "title": "Assaying Anomalies",3107 "container": "",3108 "year": 2023,3109 "volume": null,3110 "issue": null,3111 "page": null,3112 "authors": [3113 "Novy-Marx",3114 "Velikov"3115 ],3116 "type": "posted-content"3117 }3118 ]3119 },3120 "hou2020replicating": {3121 "query": "Hou Xue Zhang Replicating anomalies Review of Financial Studies",3122 "expected_year": 2020,3123 "hits": [3124 {3125 "doi": "10.1093/rfs/hhy131",3126 "title": "Replicating Anomalies",3127 "container": "The Review of Financial Studies",3128 "year": 2018,3129 "volume": "33",3130 "issue": "5",3131 "page": "2019-2133",3132 "authors": [3133 "Hou",3134 "Xue",3135 "Zhang"3136 ],3137 "type": "journal-article"3138 },3139 {3140 "doi": "10.3386/w23394",3141 "title": "Replicating Anomalies",3142 "container": "",3143 "year": 2017,3144 "volume": null,3145 "issue": null,3146 "page": null,3147 "authors": [3148 "Hou",3149 "Xue",3150 "Zhang"3151 ],3152 "type": "report"3153 },3154 {3155 "doi": "10.2139/ssrn.2961979",3156 "title": "Replicating Anomalies",3157 "container": "SSRN Electronic Journal",3158 "year": 2017,3159 "volume": null,3160 "issue": null,3161 "page": null,3162 "authors": [3163 "Hou",3164 "Xue",3165 "Zhang"3166 ],3167 "type": "journal-article"3168 }3169 ]3170 },3171 "goyal2009cross": {3172 "query": "Goyal Saretto Cross-section of option returns and volatility Journal of Financial Economics",3173 "expected_year": 2009,3174 "hits": [3175 {3176 "doi": "10.1016/j.jfineco.2009.01.001",3177 "title": "Cross-section of option returns and volatility\u2606",3178 "container": "Journal of Financial Economics",3179 "year": 2009,3180 "volume": "94",3181 "issue": "2",3182 "page": "310-326",3183 "authors": [3184 "Goyal",3185 "Saretto"3186 ],3187 "type": "journal-article"3188 },3189 {3190 "doi": "10.2139/ssrn.889947",3191 "title": "Option Returns and Volatility Mispricing",3192 "container": "",3193 "year": 2006,3194 "volume": null,3195 "issue": null,3196 "page": null,3197 "authors": [3198 "Goyal",3199 "Saretto"3200 ],3201 "type": "posted-content"3202 },3203 {3204 "doi": "10.1016/j.jfineco.2012.11.010",3205 "title": "Cross section of option returns and idiosyncratic stock volatility",3206 "container": "Journal of Financial Economics",3207 "year": 2013,3208 "volume": "108",3209 "issue": "1",3210 "page": "231-249",3211 "authors": [3212 "Cao",3213 "Han"3214 ],3215 "type": "journal-article"3216 }3217 ]3218 },3219 "skintzi2005implied": {3220 "query": "Skintzi Refenes Implied correlation index a new measure of diversification Journal of Futures Markets",3221 "expected_year": 2005,3222 "hits": [3223 {3224 "doi": "10.1002/fut.20137",3225 "title": "Implied correlation index: A new measure of diversification",3226 "container": "Journal of Futures Markets",3227 "year": 2004,3228 "volume": "25",3229 "issue": "2",3230 "page": "171-197",3231 "authors": [3232 "Skintzi",3233 "Refenes"3234 ],3235 "type": "journal-article"3236 },3237 {3238 "doi": "10.2139/ssrn.460080",3239 "title": "Implied Correlation Index: A New Measure of Diversification",3240 "container": "",3241 "year": 2003,3242 "volume": null,3243 "issue": null,3244 "page": null,3245 "authors": [3246 "Skintzi",3247 "Refenes"3248 ],3249 "type": "posted-content"3250 },3251 {3252 "doi": "10.2139/ssrn.493962",3253 "title": "Volatility Spillovers and Dynamic Correlation in European Bond Markets",3254 "container": "",3255 "year": 2004,3256 "volume": null,3257 "issue": null,3258 "page": null,3259 "authors": [3260 "Skintzi",3261 "Refenes"3262 ],3263 "type": "posted-content"3264 }3265 ]3266 },3267 "pollet2010average": {3268 "query": "Pollet Wilson Average correlation and stock market returns Journal of Financial Economics",3269 "expected_year": 2010,3270 "hits": [3271 {3272 "doi": "10.1016/j.jfineco.2010.02.011",3273 "title": "Average correlation and stock market returns",3274 "container": "Journal of Financial Economics",3275 "year": 2010,3276 "volume": "96",3277 "issue": "3",3278 "page": "364-380",3279 "authors": [3280 "Pollet",3281 "Wilson"3282 ],3283 "type": "journal-article"3284 },3285 {3286 "doi": "10.2139/ssrn.965354",3287 "title": "Average Correlation and Stock Market Returns",3288 "container": "",3289 "year": 2008,3290 "volume": null,3291 "issue": null,3292 "page": null,3293 "authors": [3294 "Pollet",3295 "Wilson"3296 ],3297 "type": "posted-content"3298 },3299 {3300 "doi": "10.1016/j.jfineco.2025.104153",3301 "title": "Why does options market information predict stock returns?",3302 "container": "Journal of Financial Economics",3303 "year": 2025,3304 "volume": "172",3305 "issue": null,3306 "page": "104153",3307 "authors": [3308 "Muravyev",3309 "Pearson",3310 "Pollet"3311 ],3312 "type": "journal-article"3313 }3314 ]3315 },3316 "granger1969investigating": {3317 "query": "Granger Investigating causal relations by econometric models and cross-spectral methods Econometrica",3318 "expected_year": 1969,3319 "hits": [3320 {3321 "doi": "10.2307/1912791",3322 "title": "Investigating Causal Relations by Econometric Models and Cross-spectral Methods",3323 "container": "Econometrica",3324 "year": 1969,3325 "volume": "37",3326 "issue": "3",3327 "page": "424",3328 "authors": [3329 "Granger"3330 ],3331 "type": "journal-article"3332 },3333 {3334 "doi": "10.1017/ccol052179207x.002",3335 "title": "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods",3336 "container": "Essays in Econometrics vol II: Collected Papers of Clive W. J. Granger",3337 "year": null,3338 "volume": null,3339 "issue": null,3340 "page": "31-47",3341 "authors": [3342 "Granger"3343 ],3344 "type": "book-chapter"3345 },3346 {3347 "doi": "10.1017/cbo9780511753978.002",3348 "title": "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods",3349 "container": "Essays in Econometrics",3350 "year": null,3351 "volume": null,3352 "issue": null,3353 "page": "31-47",3354 "authors": [3355 "Granger"3356 ],3357 "type": "book-chapter"3358 }3359 ]3360 },3361 "sims1980macroeconomics": {3362 "query": "Sims Macroeconomics and reality Econometrica",3363 "expected_year": 1980,3364 "hits": [3365 {3366 "doi": "10.2307/1912017",3367 "title": "Macroeconomics and Reality",3368 "container": "Econometrica",3369 "year": 1980,3370 "volume": "48",3371 "issue": "1",3372 "page": "1",3373 "authors": [3374 "Sims"3375 ],3376 "type": "journal-article"3377 },3378 {3379 "doi": "10.2307/1906911",3380 "title": "A Note on Macroeconomics",3381 "container": "Econometrica",3382 "year": 1946,3383 "volume": "14",3384 "issue": "4",3385 "page": "299",3386 "authors": [3387 "Pu"3388 ],3389 "type": "journal-article"3390 },3391 {3392 "doi": "10.2307/1909958",3393 "title": "Macroeconomics and Programming",3394 "container": "Econometrica",3395 "year": 1966,3396 "volume": "34",3397 "issue": "2",3398 "page": "520",3399 "authors": [3400 "Bruno",3401 "Kurihara"3402 ],3403 "type": "journal-article"3404 }3405 ]3406 },3407 "bollerslev1986generalized": {3408 "query": "Bollerslev Generalized autoregressive conditional heteroskedasticity Journal of Econometrics",3409 "expected_year": 1986,3410 "hits": [3411 {3412 "doi": "10.1016/0304-4076(86)90063-1",3413 "title": "Generalized autoregressive conditional heteroskedasticity",3414 "container": "Journal of Econometrics",3415 "year": 1986,3416 "volume": "31",3417 "issue": "3",3418 "page": "307-327",3419 "authors": [3420 "Bollerslev"3421 ],3422 "type": "journal-article"3423 },3424 {3425 "doi": "10.1016/j.jeconom.2023.02.001",3426 "title": "Reprint of: Generalized Autoregressive Conditional Heteroskedasticity",3427 "container": "Journal of Econometrics",3428 "year": 2023,3429 "volume": "234",3430 "issue": null,3431 "page": "25-37",3432 "authors": [3433 "Bollerslev"3434 ],3435 "type": "journal-article"3436 },3437 {3438 "doi": "10.1016/s0304-4076(95)01749-6",3439 "title": "Fractionally integrated generalized autoregressive conditional heteroskedasticity",3440 "container": "Journal of Econometrics",3441 "year": 1996,3442 "volume": "74",3443 "issue": "1",3444 "page": "3-30",3445 "authors": [3446 "Baillie",3447 "Bollerslev",3448 "Mikkelsen"3449 ],3450 "type": "journal-article"3451 }3452 ]3453 },3454 "liu2015does": {3455 "query": "Liu Patton Sheppard Does anything beat 5-minute RV a comparison of realized measures across multiple asset classes Journal of Econometrics",3456 "expected_year": 2015,3457 "hits": [3458 {3459 "doi": "10.1016/j.jeconom.2015.02.008",3460 "title": "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes",3461 "container": "Journal of Econometrics",3462 "year": 2015,3463 "volume": "187",3464 "issue": "1",3465 "page": "293-311",3466 "authors": [3467 "Liu",3468 "Patton",3469 "Sheppard"3470 ],3471 "type": "journal-article"3472 },3473 {3474 "doi": "10.2139/ssrn.2214997",3475 "title": "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes",3476 "container": "SSRN Electronic Journal",3477 "year": 2012,3478 "volume": null,3479 "issue": null,3480 "page": null,3481 "authors": [3482 "Liu",3483 "Patton",3484 "Sheppard"3485 ],3486 "type": "journal-article"3487 },3488 {3489 "doi": "10.2139/ssrn.3416106",3490 "title": "Does 5-Minute RV Outperform Other Realized Measures in the Cryptocurrency Market?",3491 "container": "",3492 "year": 2019,3493 "volume": null,3494 "issue": null,3495 "page": null,3496 "authors": [3497 "Hattori"3498 ],3499 "type": "posted-content"3500 }3501 ]3502 },3503 "andersen2001distribution": {3504 "query": "Andersen Bollerslev Diebold Ebens The distribution of realized stock return volatility Journal of Financial Economics",3505 "expected_year": 2001,3506 "hits": [3507 {3508 "doi": "10.3386/w7933",3509 "title": "The Distribution of Stock Return Volatility",3510 "container": "",3511 "year": 2000,3512 "volume": null,3513 "issue": null,3514 "page": null,3515 "authors": [3516 "Andersen",3517 "Bollerslev",3518 "Diebold",3519 "Ebens"3520 ],3521 "type": "report"3522 },3523 {3524 "doi": "10.1016/s0304-405x(01)00055-1",3525 "title": "The distribution of realized stock return volatility",3526 "container": "Journal of Financial Economics",3527 "year": 2001,3528 "volume": "61",3529 "issue": "1",3530 "page": "43-76",3531 "authors": [3532 "Andersen"3533 ],3534 "type": "journal-article"3535 },3536 {3537 "doi": "10.2139/ssrn.267791",3538 "title": "The Distribution of Realized Exchange Rate Volatility",3539 "container": "",3540 "year": 2001,3541 "volume": null,3542 "issue": null,3543 "page": null,3544 "authors": [3545 "Andersen",3546 "Bollerslev",3547 "Diebold",3548 "Labys"3549 ],3550 "type": "posted-content"3551 }3552 ]3553 },3554 "poon2003forecasting": {3555 "query": "Poon Granger Forecasting volatility in financial markets a review Journal of Economic Literature",3556 "expected_year": 2003,3557 "hits": [3558 {3559 "doi": "10.1257/jel.41.2.478",3560 "title": "Forecasting Volatility in Financial Markets: A Review",3561 "container": "Journal of Economic Literature",3562 "year": 2003,3563 "volume": "41",3564 "issue": "2",3565 "page": "478-539",3566 "authors": [3567 "Poon",3568 "Granger"3569 ],3570 "type": "journal-article"3571 },3572 {3573 "doi": "10.2139/ssrn.331800",3574 "title": "Forecasting Volatility in Financial Markets: A Review (Revised Edition)",3575 "container": "",3576 "year": 2002,3577 "volume": null,3578 "issue": null,3579 "page": null,3580 "authors": [3581 "Granger",3582 "Poon"3583 ],3584 "type": "posted-content"3585 },3586 {3587 "doi": "10.2139/ssrn.268866",3588 "title": "Forecasting Financial Market Volatility: A Review",3589 "container": "",3590 "year": 2001,3591 "volume": null,3592 "issue": null,3593 "page": null,3594 "authors": [3595 "Granger",3596 "Poon"3597 ],3598 "type": "posted-content"3599 }3600 ]3601 },3602 "chordia2020anomalies": {3603 "query": "Chordia Goyal Saretto Anomalies and false rejections Review of Financial Studies",3604 "expected_year": 2020,3605 "hits": [3606 {3607 "doi": "10.2139/ssrn.3017677",3608 "title": "Anomalies and False Rejections",3609 "container": "",3610 "year": 2017,3611 "volume": null,3612 "issue": null,3613 "page": null,3614 "authors": [3615 "Chordia",3616 "Goyal",3617 "Saretto"3618 ],3619 "type": "posted-content"3620 },3621 {3622 "doi": "10.1093/rfs/hhaa018",3623 "title": "Anomalies and False Rejections",3624 "container": "The Review of Financial Studies",3625 "year": 2020,3626 "volume": "33",3627 "issue": "5",3628 "page": "2134-2179",3629 "authors": [3630 "Chordia",3631 "Goyal",3632 "Saretto"3633 ],3634 "type": "journal-article"3635 },3636 {3637 "doi": "10.1093/rfs/hhj025",3638 "title": "Asset Pricing Models and Financial Market Anomalies",3639 "container": "Review of Financial Studies",3640 "year": 2006,3641 "volume": "19",3642 "issue": "3",3643 "page": "1001-1040",3644 "authors": [3645 "Avramov",3646 "Chordia"3647 ],3648 "type": "journal-article"3649 }3650 ]3651 },3652 "golez2012pinning": {3653 "query": "Golez Jackwerth Pinning in the S&P 500 futures Journal of Financial Economics",3654 "expected_year": 2012,3655 "hits": [3656 {3657 "doi": "10.1016/j.jfineco.2012.06.010",3658 "title": "Pinning in the S&P 500 futures",3659 "container": "Journal of Financial Economics",3660 "year": 2012,3661 "volume": "106",3662 "issue": "3",3663 "page": "566-585",3664 "authors": [3665 "Golez",3666 "Jackwerth"3667 ],3668 "type": "journal-article"3669 },3670 {3671 "doi": "10.2139/ssrn.1664261",3672 "title": "Pinning in the S&P 500 Futures",3673 "container": "",3674 "year": 2010,3675 "volume": null,3676 "issue": null,3677 "page": null,3678 "authors": [3679 "Golez",3680 "Jackwerth"3681 ],3682 "type": "posted-content"3683 },3684 {3685 "doi": "10.3390/risks12090149",3686 "title": "Funding Illiquidity Implied by S&P 500 Derivatives",3687 "container": "Risks",3688 "year": 2024,3689 "volume": "12",3690 "issue": "9",3691 "page": "149",3692 "authors": [3693 "Golez",3694 "Jackwerth",3695 "Slavutskaya"3696 ],3697 "type": "journal-article"3698 }3699 ]3700 },3701 "baltussen2021hedging": {3702 "query": "Baltussen Da Lammers Martens Hedging demand and market intraday momentum Journal of Financial Economics",3703 "expected_year": 2021,3704 "hits": [3705 {3706 "doi": "10.2139/ssrn.3760365",3707 "title": "Hedging Demand and Market Intraday Momentum",3708 "container": "",3709 "year": 2021,3710 "volume": null,3711 "issue": null,3712 "page": null,3713 "authors": [3714 "Baltussen",3715 "Da",3716 "Lammers",3717 "Martens"3718 ],3719 "type": "posted-content"3720 },3721 {3722 "doi": "10.1016/j.jfineco.2021.04.029",3723 "title": "Hedging demand and market intraday momentum",3724 "container": "Journal of Financial Economics",3725 "year": 2021,3726 "volume": "142",3727 "issue": "1",3728 "page": "377-403",3729 "authors": [3730 "Baltussen",3731 "Da",3732 "Lammers",3733 "Martens"3734 ],3735 "type": "journal-article"3736 },3737 {3738 "doi": "10.1016/j.jfineco.2018.05.009",3739 "title": "Market intraday momentum",3740 "container": "Journal of Financial Economics",3741 "year": 2018,3742 "volume": "129",3743 "issue": "2",3744 "page": "394-414",3745 "authors": [3746 "Gao",3747 "Han",3748 "Zhengzi Li",3749 "Zhou"3750 ],3751 "type": "journal-article"3752 }3753 ]3754 },3755 "bali2013riskneutral": {3756 "query": "Bali Murray Does risk-neutral skewness predict the cross-section of equity option portfolio returns Journal of Financial and Quantitative Analysis",3757 "expected_year": 2013,3758 "hits": [3759 {3760 "doi": "10.2139/ssrn.1993321",3761 "title": "Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?",3762 "container": "",3763 "year": 2012,3764 "volume": null,3765 "issue": null,3766 "page": null,3767 "authors": [3768 "Bali",3769 "Murray"3770 ],3771 "type": "posted-content"3772 },3773 {3774 "doi": "10.2139/ssrn.1572827",3775 "title": "Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?",3776 "container": "SSRN Electronic Journal",3777 "year": 2012,3778 "volume": null,3779 "issue": null,3780 "page": null,3781 "authors": [3782 "Bali",3783 "Murray"3784 ],3785 "type": "journal-article"3786 },3787 {3788 "doi": "10.1017/s0022109013000410",3789 "title": "Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?",3790 "container": "Journal of Financial and Quantitative Analysis",3791 "year": 2013,3792 "volume": "48",3793 "issue": "4",3794 "page": "1145-1171",3795 "authors": [3796 "Bali",3797 "Murray"3798 ],3799 "type": "journal-article"3800 }3801 ]3802 },3803 "mclean2016does": {3804 "query": "McLean Pontiff Does academic research destroy stock return predictability Journal of Finance",3805 "expected_year": 2016,3806 "hits": [3807 {3808 "doi": "10.2139/ssrn.2080900",3809 "title": "Does Academic Research Destroy Stock Return Predictability?",3810 "container": "",3811 "year": 2012,3812 "volume": null,3813 "issue": null,3814 "page": null,3815 "authors": [3816 "McLean",3817 "Pontiff"3818 ],3819 "type": "posted-content"3820 },3821 {3822 "doi": "10.2139/ssrn.2018687",3823 "title": "Does Academic Research Destroy Stock Return Predictability?",3824 "container": "SSRN Electronic Journal",3825 "year": 2012,3826 "volume": null,3827 "issue": null,3828 "page": null,3829 "authors": [3830 "McLean",3831 "Pontiff"3832 ],3833 "type": "journal-article"3834 },3835 {3836 "doi": "10.1111/jofi.12365",3837 "title": "Does Academic Research Destroy Stock Return Predictability?",3838 "container": "The Journal of Finance",3839 "year": 2016,3840 "volume": "71",3841 "issue": "1",3842 "page": "5-32",3843 "authors": [3844 "MCLEAN",3845 "PONTIFF"3846 ],3847 "type": "journal-article"3848 }3849 ]3850 },3851 "hansen2011model": {3852 "query": "Hansen Lunde Nason The model confidence set Econometrica",3853 "expected_year": 2011,3854 "hits": [3855 {3856 "doi": "10.2139/ssrn.522382",3857 "title": "The Model Confidence Set",3858 "container": "",3859 "year": 2004,3860 "volume": null,3861 "issue": null,3862 "page": null,3863 "authors": [3864 "Hansen",3865 "Lunde",3866 "Nason"3867 ],3868 "type": "posted-content"3869 },3870 {3871 "doi": "10.2139/ssrn.399060",3872 "title": "Choosing the Best Volatility Models: The Model Confidence Set Approach",3873 "container": "",3874 "year": 2003,3875 "volume": null,3876 "issue": null,3877 "page": null,3878 "authors": [3879 "Hansen",3880 "Lunde",3881 "Nason"3882 ],3883 "type": "posted-content"3884 },3885 {3886 "doi": "10.1046/j.0305-9049.2003.00086.x",3887 "title": "Choosing the Best Volatility Models: The Model Confidence Set Approach*",3888 "container": "Oxford Bulletin of Economics and Statistics",3889 "year": 2003,3890 "volume": "65",3891 "issue": "s1",3892 "page": "839-861",3893 "authors": [3894 "Hansen",3895 "Lunde",3896 "Nason"3897 ],3898 "type": "journal-article"3899 }3900 ]3901 },3902 "clark2007approximately": {3903 "query": "Clark West Approximately normal tests for equal predictive accuracy in nested models Journal of Econometrics",3904 "expected_year": 2007,3905 "hits": [3906 {3907 "doi": "10.3386/t0326",3908 "title": "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models",3909 "container": "",3910 "year": 2006,3911 "volume": null,3912 "issue": null,3913 "page": null,3914 "authors": [3915 "West",3916 "Clark"3917 ],3918 "type": "report"3919 },3920 {3921 "doi": "10.2139/ssrn.874146",3922 "title": "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models",3923 "container": "",3924 "year": 2006,3925 "volume": null,3926 "issue": null,3927 "page": null,3928 "authors": [3929 "Clark",3930 "West"3931 ],3932 "type": "posted-content"3933 },3934 {3935 "doi": "10.1016/j.jeconom.2006.05.023",3936 "title": "Approximately normal tests for equal predictive accuracy in nested models",3937 "container": "Journal of Econometrics",3938 "year": 2007,3939 "volume": "138",3940 "issue": "1",3941 "page": "291-311",3942 "authors": [3943 "Clark",3944 "West"3945 ],3946 "type": "journal-article"3947 }3948 ]3949 },3950 "kilian2017structural": {3951 "query": "Kilian Lutkepohl Structural Vector Autoregressive Analysis Cambridge University Press",3952 "expected_year": 2017,3953 "hits": [3954 {3955 "doi": "10.1017/9781108164818",3956 "title": "Structural Vector Autoregressive Analysis",3957 "container": "",3958 "year": 2017,3959 "volume": null,3960 "issue": null,3961 "page": null,3962 "authors": [3963 "Kilian",3964 "L\u00fctkepohl"3965 ],3966 "type": "monograph"3967 },3968 {3969 "doi": "10.1017/9781108164818.001",3970 "title": "Preface",3971 "container": "Structural Vector Autoregressive Analysis",3972 "year": null,3973 "volume": null,3974 "issue": null,3975 "page": "xvii-xx",3976 "authors": [3977 "Kilian",3978 "L\u00fctkepohl"3979 ],3980 "type": "book-chapter"3981 },3982 {3983 "doi": "10.1017/9781108164818.003",3984 "title": "Vector Autoregressive Models",3985 "container": "Structural Vector Autoregressive Analysis",3986 "year": null,3987 "volume": null,3988 "issue": null,3989 "page": "19-74",3990 "authors": [],3991 "type": "book-chapter"3992 }3993 ]3994 },3995 "buraschi2014when": {3996 "query": "Buraschi Trojani Vedolin When uncertainty blows in the orchard comovement and equilibrium volatility risk premia Journal of Finance",3997 "expected_year": 2014,3998 "hits": [3999 {4000 "doi": "10.2139/ssrn.1344368",4001 "title": "When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia",4002 "container": "",4003 "year": 2009,4004 "volume": null,4005 "issue": null,4006 "page": null,4007 "authors": [4008 "Buraschi",4009 "Trojani",4010 "Vedolin"4011 ],4012 "type": "posted-content"4013 },4014 {4015 "doi": "10.1111/jofi.12095",4016 "title": "When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia",4017 "container": "The Journal of Finance",4018 "year": 2014,4019 "volume": "69",4020 "issue": "1",4021 "page": "101-137",4022 "authors": [4023 "BURASCHI",4024 "TROJANI",4025 "VEDOLIN"4026 ],4027 "type": "journal-article"4028 },4029 {4030 "doi": "10.2139/ssrn.1364518",4031 "title": "Comovement and Volatility Risk Premia",4032 "container": "SSRN Electronic Journal",4033 "year": 2009,4034 "volume": null,4035 "issue": null,4036 "page": null,4037 "authors": [4038 "Buraschi",4039 "Trojani",4040 "Vedolin"4041 ],4042 "type": "journal-article"4043 }4044 ]4045 },4046 "faria2022correlation": {4047 "query": "Faria Kosowski Wang The correlation risk premium international evidence Journal of Banking and Finance",4048 "expected_year": 2022,4049 "hits": [4050 {4051 "doi": "10.1016/j.jbankfin.2021.106399",4052 "title": "The Correlation Risk Premium: International Evidence",4053 "container": "Journal of Banking & Finance",4054 "year": 2022,4055 "volume": "136",4056 "issue": null,4057 "page": "106399",4058 "authors": [4059 "Faria",4060 "Kosowski",4061 "Wang"4062 ],4063 "type": "journal-article"4064 },4065 {4066 "doi": "10.2139/ssrn.3276601",4067 "title": "The Correlation Risk Premium: International Evidence",4068 "container": "",4069 "year": 2018,4070 "volume": null,4071 "issue": null,4072 "page": null,4073 "authors": [4074 "Faria",4075 "Kosowski",4076 "Wang"4077 ],4078 "type": "posted-content"4079 },4080 {4081 "doi": "10.1016/j.jbankfin.2009.10.012",4082 "title": "Volatility risk and the value premium: Evidence from the French stock market",4083 "container": "Journal of Banking & Finance",4084 "year": 2010,4085 "volume": "34",4086 "issue": "5",4087 "page": "975-983",4088 "authors": [4089 "Arisoy"4090 ],4091 "type": "journal-article"4092 }4093 ]4094 },4095 "ni2008volatility": {4096 "query": "Ni Pan Poteshman Volatility information trading in the option market Journal of Finance",4097 "expected_year": 2008,4098 "hits": [4099 {4100 "doi": "10.2139/ssrn.809107",4101 "title": "Volatility Information Trading in the Option Market",4102 "container": "",4103 "year": 2005,4104 "volume": null,4105 "issue": null,4106 "page": null,4107 "authors": [4108 "Ni",4109 "Pan",4110 "Poteshman"4111 ],4112 "type": "posted-content"4113 },4114 {4115 "doi": "10.1111/j.1540-6261.2008.01352.x",4116 "title": "Volatility Information Trading in the Option Market",4117 "container": "The Journal of Finance",4118 "year": 2008,4119 "volume": "63",4120 "issue": "3",4121 "page": "1059-1091",4122 "authors": [4123 "NI",4124 "PAN",4125 "POTESHMAN"4126 ],4127 "type": "journal-article"4128 },4129 {4130 "doi": "10.3386/w10925",4131 "title": "The Information of Option Volume for Future Stock Prices",4132 "container": "",4133 "year": 2004,4134 "volume": null,4135 "issue": null,4136 "page": null,4137 "authors": [4138 "Pan",4139 "Poteshman"4140 ],4141 "type": "report"4142 }4143 ]4144 },4145 "rehman2012risk": {4146 "query": "Rehman Vilkov Risk-neutral skewness return predictability and its sources",4147 "expected_year": 2012,4148 "hits": [4149 {4150 "doi": "10.2139/ssrn.1301648",4151 "title": "Risk-Neutral Skewness: Return Predictability and Its Sources",4152 "container": "",4153 "year": 2008,4154 "volume": null,4155 "issue": null,4156 "page": null,4157 "authors": [4158 "Rehman",4159 "Vilkov"4160 ],4161 "type": "posted-content"4162 },4163 {4164 "doi": "10.2139/ssrn.3134310",4165 "title": "Commodity Return Predictability: Evidence from Implied Variance, Skewness and their Risk Premia",4166 "container": "",4167 "year": 2018,4168 "volume": null,4169 "issue": null,4170 "page": null,4171 "authors": [4172 "Finta",4173 "Ornelas"4174 ],4175 "type": "posted-content"4176 },4177 {4178 "doi": "10.1007/s10436-016-0275-7",4179 "title": "The skewness risk premium in equilibrium and stock return predictability",4180 "container": "Annals of Finance",4181 "year": 2016,4182 "volume": "12",4183 "issue": "1",4184 "page": "95-133",4185 "authors": [4186 "Sasaki"4187 ],4188 "type": "journal-article"4189 }4190 ]4191 },4192 "borochin2020what": {4193 "query": "Borochin Chang Wu The information content of the term structure of risk-neutral skewness Journal of Empirical Finance",4194 "expected_year": 2020,4195 "hits": [4196 {4197 "doi": "10.1016/j.jempfin.2020.06.003",4198 "title": "The information content of the term structure of risk-neutral skewness",4199 "container": "Journal of Empirical Finance",4200 "year": 2020,4201 "volume": "58",4202 "issue": null,4203 "page": "247-274",4204 "authors": [4205 "Borochin",4206 "Chang",4207 "Wu"4208 ],4209 "type": "journal-article"4210 },4211 {4212 "doi": "10.2139/ssrn.2971057",4213 "title": "The Information Content of the Term Structure of Risk-Neutral Skewness",4214 "container": "SSRN Electronic Journal",4215 "year": 2017,4216 "volume": null,4217 "issue": null,4218 "page": null,4219 "authors": [4220 "Borochin",4221 "Chang",4222 "Wu"4223 ],4224 "type": "journal-article"4225 },4226 {4227 "doi": "10.1016/j.jempfin.2013.05.006",4228 "title": "The information content of risk-neutral skewness for volatility forecasting",4229 "container": "Journal of Empirical Finance",4230 "year": 2013,4231 "volume": "23",4232 "issue": null,4233 "page": "142-161",4234 "authors": [4235 "Byun",4236 "Kim"4237 ],4238 "type": "journal-article"4239 }4240 ]4241 },4242 "vasquez2017equity": {4243 "query": "Vasquez Equity volatility term structures and the cross section of option returns Journal of Financial and Quantitative Analysis",4244 "expected_year": 2017,4245 "hits": [4246 {4247 "doi": "10.2139/ssrn.1944298",4248 "title": "Equity Volatility Term Structures and the Cross-Section of Option Returns",4249 "container": "",4250 "year": 2011,4251 "volume": null,4252 "issue": null,4253 "page": null,4254 "authors": [4255 "Vasquez"4256 ],4257 "type": "posted-content"4258 },4259 {4260 "doi": "10.1017/s002210901700076x",4261 "title": "Equity Volatility Term Structures and the Cross Section of Option Returns",4262 "container": "Journal of Financial and Quantitative Analysis",4263 "year": 2017,4264 "volume": "52",4265 "issue": "6",4266 "page": "2727-2754",4267 "authors": [4268 "Vasquez"4269 ],4270 "type": "journal-article"4271 },4272 {4273 "doi": "10.2139/ssrn.1929358",4274 "title": "Volatility Term Structure and the Cross-Section of Option Returns",4275 "container": "SSRN Electronic Journal",4276 "year": 2011,4277 "volume": null,4278 "issue": null,4279 "page": null,4280 "authors": [4281 "Vasquez"4282 ],4283 "type": "journal-article"4284 }4285 ]4286 },4287 "mixon2007implied": {4288 "query": "Mixon The implied volatility term structure of stock index options Journal of Empirical Finance",4289 "expected_year": 2007,4290 "hits": [4291 {4292 "doi": "10.1016/j.jempfin.2006.06.003",4293 "title": "The implied volatility term structure of stock index options",4294 "container": "Journal of Empirical Finance",4295 "year": 2007,4296 "volume": "14",4297 "issue": "3",4298 "page": "333-354",4299 "authors": [4300 "Mixon"4301 ],4302 "type": "journal-article"4303 },4304 {4305 "doi": "10.1016/j.jempfin.2012.12.007",4306 "title": "No-arbitrage implied volatility functions: Empirical evidence from KOSPI 200 index options",4307 "container": "Journal of Empirical Finance",4308 "year": 2013,4309 "volume": "21",4310 "issue": null,4311 "page": "36-53",4312 "authors": [4313 "Kim",4314 "Lee"4315 ],4316 "type": "journal-article"4317 },4318 {4319 "doi": "10.1111/mafi.70057",4320 "title": "On Short\u2010Term Behavior of Implied Volatility for Index Options",4321 "container": "Mathematical Finance",4322 "year": 2026,4323 "volume": null,4324 "issue": null,4325 "page": null,4326 "authors": [4327 "Chau",4328 "Nguyen",4329 "Nguyen"4330 ],4331 "type": "journal-article"4332 }4333 ]4334 },4335 "bollerslev2011tails": {4336 "query": "Bollerslev Todorov Tails fears and risk premia Journal of Finance",4337 "expected_year": 2011,4338 "hits": [4339 {4340 "doi": "10.2139/ssrn.1418488",4341 "title": "Tails, Fears and Risk Premia",4342 "container": "",4343 "year": 2009,4344 "volume": null,4345 "issue": null,4346 "page": null,4347 "authors": [4348 "Bollerslev",4349 "Todorov"4350 ],4351 "type": "posted-content"4352 },4353 {4354 "doi": "10.1111/j.1540-6261.2011.01695.x",4355 "title": "Tails, Fears, and Risk Premia",4356 "container": "The Journal of Finance",4357 "year": 2011,4358 "volume": "66",4359 "issue": "6",4360 "page": "2165-2211",4361 "authors": [4362 "BOLLERSLEV",4363 "TODOROV"4364 ],4365 "type": "journal-article"4366 },4367 {4368 "doi": "10.2139/ssrn.1589753",4369 "title": "Estimation of Jump Tails",4370 "container": "",4371 "year": 2010,4372 "volume": null,4373 "issue": null,4374 "page": null,4375 "authors": [4376 "Bollerslev",4377 "Todorov"4378 ],4379 "type": "posted-content"4380 }4381 ]4382 },4383 "muravyev2016order": {4384 "query": "Muravyev Order flow and expected option returns Journal of Finance",4385 "expected_year": 2016,4386 "hits": [4387 {4388 "doi": "10.1111/jofi.12380",4389 "title": "Order Flow and Expected Option Returns",4390 "container": "The Journal of Finance",4391 "year": 2016,4392 "volume": "71",4393 "issue": "2",4394 "page": "673-708",4395 "authors": [4396 "MURAVYEV"4397 ],4398 "type": "journal-article"4399 },4400 {4401 "doi": "10.2139/ssrn.2021406",4402 "title": "Order Flow and Expected Option Returns",4403 "container": "SSRN Electronic Journal",4404 "year": 2011,4405 "volume": null,4406 "issue": null,4407 "page": null,4408 "authors": [4409 "Muravyev"4410 ],4411 "type": "journal-article"4412 },4413 {4414 "doi": "10.2139/ssrn.1963865",4415 "title": "Order Flow and Expected Option Returns",4416 "container": "SSRN Electronic Journal",4417 "year": 2011,4418 "volume": null,4419 "issue": null,4420 "page": null,4421 "authors": [4422 "Muravyev"4423 ],4424 "type": "journal-article"4425 }4426 ]4427 },4428 "muravyev2013options": {4429 "query": "Muravyev Pearson Broussard Is there price discovery in equity options Journal of Financial Economics",4430 "expected_year": 2013,4431 "hits": [4432 {4433 "doi": "10.1016/j.jfineco.2012.09.003",4434 "title": "Is there price discovery in equity options?",4435 "container": "Journal of Financial Economics",4436 "year": 2013,4437 "volume": "107",4438 "issue": "2",4439 "page": "259-283",4440 "authors": [4441 "Muravyev",4442 "Pearson",4443 "Paul Broussard"4444 ],4445 "type": "journal-article"4446 },4447 {4448 "doi": "10.2139/ssrn.1683587",4449 "title": "Is There Price Discovery in Equity Options?",4450 "container": "",4451 "year": 2010,4452 "volume": null,4453 "issue": null,4454 "page": null,4455 "authors": [4456 "Muravyev",4457 "Pearson",4458 "Broussard"4459 ],4460 "type": "posted-content"4461 },4462 {4463 "doi": "10.2139/ssrn.1744954",4464 "title": "Is There Price Discovery in Equity Options?",4465 "container": "SSRN Electronic Journal",4466 "year": 2011,4467 "volume": null,4468 "issue": null,4469 "page": null,4470 "authors": [4471 "Muravyev",4472 "Pearson",4473 "Broussard"4474 ],4475 "type": "journal-article"4476 }4477 ]4478 },4479 "chakravarty2004informed": {4480 "query": "Chakravarty Gulen Mayhew Informed trading in stock and option markets Journal of Finance",4481 "expected_year": 2004,4482 "hits": [4483 {4484 "doi": "10.1111/j.1540-6261.2004.00661.x",4485 "title": "Informed Trading in Stock and Option Markets",4486 "container": "The Journal of Finance",4487 "year": 2004,4488 "volume": "59",4489 "issue": "3",4490 "page": "1235-1257",4491 "authors": [4492 "Chakravarty",4493 "Gulen",4494 "Mayhew"4495 ],4496 "type": "journal-article"4497 },4498 {4499 "doi": "10.1002/1096-9934(200008)20:7<661::aid-fut3>3.0.co;2-r",4500 "title": "Stock index futures trading and volatility in international equity markets",4501 "container": "Journal of Futures Markets",4502 "year": 2000,4503 "volume": "20",4504 "issue": "7",4505 "page": "661-685",4506 "authors": [4507 "Gulen",4508 "Mayhew"4509 ],4510 "type": "journal-article"4511 },4512 {4513 "doi": "10.2307/2329329",4514 "title": "The Allocation of Informed Trading Across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements",4515 "container": "The Journal of 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