Repository Public Research preview
1acharya2017measuring -> 2016 Review of Financial Studies v30(1) p2-47 DOI 10.1093/rfs/hhw088 | Measuring Systemic Risk2an2014joint -> 2010 vNone(None) pNone DOI 10.2139/ssrn.1533089 | The Joint Cross Section of Stocks and Options3andersen2003modeling -> 2001 vNone(None) pNone DOI 10.3386/w8160 | Modeling and Forecasting Realized Volatility4avellaneda2003weighted -> 2003 Quantitative Finance v3(6) p417-425 DOI 10.1088/1469-7688/3/6/301 | A market-induced mechanism for stock pinning5barbon2022option -> 2020 vNone(None) pNone DOI 10.2139/ssrn.3725454 | Gamma Fragility6bekaert2014asymmetric -> 2013 vNone(None) pNone DOI 10.3386/w18995 | The VIX, the Variance Premium and Stock Market Volatility7black1975fact -> 1975 Financial Analysts Journal v31(4) p36-41 DOI 10.2469/faj.v31.n4.36 | Fact and Fantasy in the Use of Options8black1973pricing -> 1973 Journal of Political Economy v81(3) p637-654 DOI 10.1086/260062 | The Pricing of Options and Corporate Liabilities9blair2001forecasting -> 2001 Journal of Econometrics v105(1) p5-26 DOI 10.1016/s0304-4076(01)00068-9 | Forecasting S&P 100 volatility: the incremental information conten10bollerslev2009expected -> 2006 vNone(None) pNone DOI 10.2139/ssrn.948309 | Expected Stock Returns and Variance Risk Premia11bucci2020realized -> 2020 Journal of Financial Econometrics v18(3) p502-531 DOI 10.1093/jjfinec/nbaa008 | Realized Volatility Forecasting with Neural Networks12busch2011role -> 2011 Journal of Econometrics v160(1) p48-57 DOI 10.1016/j.jeconom.2010.03.014 | The role of implied volatility in forecasting future realized volatili13buss2012more -> 2008 vNone(None) pNone DOI 10.2139/ssrn.1301437 | Measuring Equity Risk with Option-Implied Correlations14cameron2011robust -> 2011 Journal of Business & Economic Stati v29(2) p238-249 DOI 10.1198/jbes.2010.07136 | Robust Inference With Multiway Clustering15cao2005informational -> 2005 The Journal of Business v78(3) p1073-1109 DOI 10.1086/429654 | Informational Content of Option Volume Prior to Takeovers16carr2009variance -> 2008 Review of Financial Studies v22(3) p1311-1341 DOI 10.1093/rfs/hhn038 | Variance Risk Premiums17christensen1998relation -> 1998 Journal of Financial Economics v50(2) p125-150 DOI 10.1016/s0304-405x(98)00034-8 | The relation between implied and realized volatility18christensen2023machine -> 2022 Journal of Financial Econometrics v21(5) p1680-1727 DOI 10.1093/jjfinec/nbac020 | A Machine Learning Approach to Volatility Forecasting19corsi2009simple -> 2008 Journal of Financial Econometrics v7(2) p174-196 DOI 10.1093/jjfinec/nbp001 | A Simple Approximate Long-Memory Model of Realized Volatility20cremers2010deviations -> 2010 Journal of Financial and Quantitative An v45(2) p335-367 DOI 10.1017/s002210901000013x | Deviations from Put-Call Parity and Stock Return Predictability21diebold1995comparing -> 2002 Journal of Business & Economic Stati v20(1) p134-144 DOI 10.1198/073500102753410444 | Comparing Predictive Accuracy22driessen2009price -> 2005 vNone(None) pNone DOI 10.2139/ssrn.673425 | The Price of Correlation Risk: Evidence from Equity Options23easley1998option -> 1998 The Journal of Finance v53(2) p431-465 DOI 10.1111/0022-1082.194060 | Option Volume and Stock Prices: Evidence on Where Informed Traders Tra24fama1973risk -> 1973 Journal of Political Economy v81(3) p607-636 DOI 10.1086/260061 | Risk, Return, and Equilibrium: Empirical Tests25ge2016informed -> 2014 vNone(None) pNone DOI 10.2139/ssrn.2329714 | Why Does the Option to Stock Volume Ratio Predict Stock Returns?26gu2020empirical -> 2018 vNone(None) pNone DOI 10.3386/w25398 | Empirical Asset Pricing via Machine Learning27hansen2012realized -> 2011 Journal of Applied Econometrics v27(6) p877-906 DOI 10.1002/jae.1234 | Realized GARCH: a joint model for returns and realized measures of vol28hu2014does -> 2014 Journal of Financial Economics v111(3) p625-645 DOI 10.1016/j.jfineco.2013.12.004 | Does option trading convey stock price information?29johnson2012option -> 2012 Journal of Financial Economics v106(2) p262-286 DOI 10.1016/j.jfineco.2012.05.008 | The option to stock volume ratio and future returns30kelly2014tail -> 2014 Review of Financial Studies v27(10) p2841-2871 DOI 10.1093/rfs/hhu039 | Tail Risk and Asset Prices31manaster1982option -> 1982 The Journal of Finance v37(4) p1043 DOI 10.2307/2327766 | Option Prices as Predictors of Equilibrium Stock Prices32ni2009does -> 2004 vNone(None) pNone DOI 10.2139/ssrn.519044 | Stock Price Clustering on Option Expiration Dates33ni2021pervasive -> 2007 vNone(None) pNone DOI 10.2139/ssrn.970592 | Does Option Trading Have a Pervasive Impact on Underlying Stock Prices34pan2006information -> 2004 vNone(None) pNone DOI 10.3386/w10925 | The Information of Option Volume for Future Stock Prices35patton2015good -> 2015 Review of Economics and Statistics v97(3) p683-697 DOI 10.1162/rest_a_00503 | Good Volatility, Bad Volatility: Signed Jumps and The Persistence of V36stilger2017puzzle -> 2014 vNone(None) pNone DOI 10.2139/ssrn.2417021 | What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?37xing2010does -> 2008 vNone(None) pNone DOI 10.2139/ssrn.1107464 | What Does Individual Option Volatility Smirk Tell Us About Future Equi38white1980heteroskedasticity -> 1980 Econometrica v48(4) p817 DOI 10.2307/1912934 | A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Dire39newey1987simple -> 1987 Econometrica v55(3) p703 DOI 10.2307/1913610 | A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelati40petersen2009estimating -> 2005 vNone(None) pNone DOI 10.3386/w11280 | Estimating Standard Errors in Finance Panel Data Sets: Comparing Appro41koenker1978regression -> 1978 Econometrica v46(1) p33 DOI 10.2307/1913643 | Regression Quantiles42harvey2016and -> 2015 Review of Financial Studies v29(1) p5-68 DOI 10.1093/rfs/hhv059 | … and the Cross-Section of Expected Returns43welch2008comprehensive -> 2007 Review of Financial Studies v21(4) p1455-1508 DOI 10.1093/rfs/hhm014 | A Comprehensive Look at The Empirical Performance of Equity Premium Pr44campbell2008predicting -> 2007 Review of Financial Studies v21(4) p1509-1531 DOI 10.1093/rfs/hhm055 | Predicting Excess Stock Returns Out of Sample: Can Anything Beat the H45fama2008dissecting -> 2008 The Journal of Finance v63(4) p1653-1678 DOI 10.1111/j.1540-6261.2008.01371.x | Dissecting Anomalies46bakshi2003stock -> 2001 vNone(None) pNone DOI 10.2139/ssrn.282451 | Stock Return Characteristics, Skew Laws, and the Differential Pricing 47bakshi2000spanning -> 2000 Journal of Financial Economics v55(2) p205-238 DOI 10.1016/s0304-405x(99)00050-1 | Spanning and derivative-security valuation48conrad2013exante -> 2009 SSRN Electronic Journal vNone(None) pNone DOI 10.2139/ssrn.1522218 | Ex Ante Skewness and Expected Stock Returns49christoffersen2013forecasting -> 2013 Handbook of Economic Forecasting vNone(None) p581-656 DOI 10.1016/b978-0-444-53683-9.00010-4 | Forecasting with Option-Implied Information50jiang2005modelfree -> 2005 Review of Financial Studies v18(4) p1305-1342 DOI 10.1093/rfs/hhi027 | The Model-Free Implied Volatility and Its Information Content51brittenjones2000option -> 2000 The Journal of Finance v55(2) p839-866 DOI 10.1111/0022-1082.00228 | Option Prices, Implied Price Processes, and Stochastic Volatility52andersen1998answering -> 1998 International Economic Review v39(4) p885 DOI 10.2307/2527343 | Answering the Skeptics: Yes, Standard Volatility Models do Provide Acc53bollerslev2016exploiting -> 2016 Journal of Econometrics v192(1) p1-18 DOI 10.1016/j.jeconom.2015.10.007 | Exploiting the errors: A simple approach for improved volatility forec54martin2019expected -> 2016 vNone(None) pNone DOI 10.2139/ssrn.2771464 | What is the Expected Return on a Stock?55martin2017expected -> 2016 The Quarterly Journal of Economics v132(1) p367-433 DOI 10.1093/qje/qjw034 | What is the Expected Return on the Market?*56bali2009volatility -> 2007 vNone(None) pNone DOI 10.2139/ssrn.1029197 | Volatility Spreads and Expected Stock Returns57dennis2002riskneutral -> 2002 The Journal of Financial and Quantitativ v37(3) p471 DOI 10.2307/3594989 | Risk-Neutral Skewness: Evidence from Stock Options58hansen2005forecast -> 2001 vNone(None) pNone DOI 10.2139/ssrn.264571 | A Forecast Comparison of Volatility Models: Does Anything Beat a Garch59patton2011volatility -> 2010 vNone(None) pNone DOI 10.2139/ssrn.932890 | Volatility Forecast Comparison Using Imperfect Volatility Proxies60giacomini2006tests -> 2006 Econometrica v74(6) p1545-1578 DOI 10.1111/j.1468-0262.2006.00718.x | Tests of Conditional Predictive Ability61hansen1980forward -> 1980 Journal of Political Economy v88(5) p829-853 DOI 10.1086/260910 | Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An 62jegadeesh1993returns -> 1993 The Journal of Finance v48(1) p65-91 DOI 10.1111/j.1540-6261.1993.tb04702.x | Returns to Buying Winners and Selling Losers: Implications for Stock M63lo2002statistics -> 2002 Financial Analysts Journal v58(4) p36-52 DOI 10.2469/faj.v58.n4.2453 | The Statistics of Sharpe Ratios64novymarx2016taxonomy -> 2014 vNone(None) pNone DOI 10.3386/w20721 | A Taxonomy of Anomalies and their Trading Costs65hou2020replicating -> 2018 The Review of Financial Studies v33(5) p2019-2133 DOI 10.1093/rfs/hhy131 | Replicating Anomalies66goyal2009cross -> 2009 Journal of Financial Economics v94(2) p310-326 DOI 10.1016/j.jfineco.2009.01.001 | Cross-section of option returns and volatility☆67skintzi2005implied -> 2004 Journal of Futures Markets v25(2) p171-197 DOI 10.1002/fut.20137 | Implied correlation index: A new measure of diversification68pollet2010average -> 2010 Journal of Financial Economics v96(3) p364-380 DOI 10.1016/j.jfineco.2010.02.011 | Average correlation and stock market returns69granger1969investigating -> 1969 Econometrica v37(3) p424 DOI 10.2307/1912791 | Investigating Causal Relations by Econometric Models and Cross-spectra70sims1980macroeconomics -> 1980 Econometrica v48(1) p1 DOI 10.2307/1912017 | Macroeconomics and Reality71bollerslev1986generalized -> 1986 Journal of Econometrics v31(3) p307-327 DOI 10.1016/0304-4076(86)90063-1 | Generalized autoregressive conditional heteroskedasticity72liu2015does -> 2015 Journal of Econometrics v187(1) p293-311 DOI 10.1016/j.jeconom.2015.02.008 | Does anything beat 5-minute RV? A comparison of realized measures acro73andersen2001distribution -> 2000 vNone(None) pNone DOI 10.3386/w7933 | The Distribution of Stock Return Volatility74poon2003forecasting -> 2003 Journal of Economic Literature v41(2) p478-539 DOI 10.1257/jel.41.2.478 | Forecasting Volatility in Financial Markets: A Review75chordia2020anomalies -> 2017 vNone(None) pNone DOI 10.2139/ssrn.3017677 | Anomalies and False Rejections76golez2012pinning -> 2012 Journal of Financial Economics v106(3) p566-585 DOI 10.1016/j.jfineco.2012.06.010 | Pinning in the S&P 500 futures77baltussen2021hedging -> 2021 vNone(None) pNone DOI 10.2139/ssrn.3760365 | Hedging Demand and Market Intraday Momentum78bali2013riskneutral -> 2012 vNone(None) pNone DOI 10.2139/ssrn.1993321 | Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option 79mclean2016does -> 2012 vNone(None) pNone DOI 10.2139/ssrn.2080900 | Does Academic Research Destroy Stock Return Predictability?80hansen2011model -> 2004 vNone(None) pNone DOI 10.2139/ssrn.522382 | The Model Confidence Set81clark2007approximately -> 2006 vNone(None) pNone DOI 10.3386/t0326 | Approximately Normal Tests for Equal Predictive Accuracy in Nested Mod82kilian2017structural -> 2017 vNone(None) pNone DOI 10.1017/9781108164818 | Structural Vector Autoregressive Analysis83buraschi2014when -> 2009 vNone(None) pNone DOI 10.2139/ssrn.1344368 | When Uncertainty Blows in the Orchard: Comovement and Equilibrium Vola84faria2022correlation -> 2022 Journal of Banking & Finance v136(None) p106399 DOI 10.1016/j.jbankfin.2021.106399 | The Correlation Risk Premium: International Evidence85ni2008volatility -> 2005 vNone(None) pNone DOI 10.2139/ssrn.809107 | Volatility Information Trading in the Option Market86rehman2012risk -> 2008 vNone(None) pNone DOI 10.2139/ssrn.1301648 | Risk-Neutral Skewness: Return Predictability and Its Sources87borochin2020what -> 2020 Journal of Empirical Finance v58(None) p247-274 DOI 10.1016/j.jempfin.2020.06.003 | The information content of the term structure of risk-neutral skewness88vasquez2017equity -> 2011 vNone(None) pNone DOI 10.2139/ssrn.1944298 | Equity Volatility Term Structures and the Cross-Section of Option Retu89mixon2007implied -> 2007 Journal of Empirical Finance v14(3) p333-354 DOI 10.1016/j.jempfin.2006.06.003 | The implied volatility term structure of stock index options90bollerslev2011tails -> 2009 vNone(None) pNone DOI 10.2139/ssrn.1418488 | Tails, Fears and Risk Premia91muravyev2016order -> 2016 The Journal of Finance v71(2) p673-708 DOI 10.1111/jofi.12380 | Order Flow and Expected Option Returns92muravyev2013options -> 2013 Journal of Financial Economics v107(2) p259-283 DOI 10.1016/j.jfineco.2012.09.003 | Is there price discovery in equity options?93chakravarty2004informed -> 2004 The Journal of Finance v59(3) p1235-1257 DOI 10.1111/j.1540-6261.2004.00661.x | Informed Trading in Stock and Option Markets94