Accounting information systems (AIS) research data may suffer from severe non-normality,
which, if not handled properly, may lead to incorrect statistical inferences. To address this …

We explore whether the market variance risk premium (VRP) can be predicted. We measure
VRP by distinguishing the investment horizon from the variance swap's maturity. We extract …

This study empirically investigates the relationship between realized higher-order moments
and the Fear and Greed Index as a measure of sentiments. We estimate daily realized …

Managers and capital masters of companies and factories try to adopt methods that
maximize their profit and minimize their costs. A way for increasing profit is risk …

We investigate the predictability of payoffs from selling variance swaps on the S&P500, US
10‐year treasuries, gold, and crude oil. In‐sample analysis shows that structural breaks are …

We suggest that the term structure of VIX futures shows a clear pattern of dependence on the
current level of VIX index. At the low levels of VIX (below 20), the term structure is highly …

This thesis introduces a general framework for model-free discretisation-invariant swaps. In
the first main chapter a novel design for swap contracts is developed where the realised leg …

We suggest that the term structure of volatility futures (eg VIX futures) shows a clear pattern
of dependence on the current level of VIX index. At the low level of VIX (below 20) the term …

This thesis consists of three empirical essays on pricing credit derivatives and the impact of
liquidity on the prices of credit derivatives. In essay one, I investigate empirically the pricing …