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[HTML][HTML] Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach
This paper investigates the relationship between US stock market returns (S&P500) and
three indicators of the market, namely implied volatility, implied correlation and liquidity. It …
three indicators of the market, namely implied volatility, implied correlation and liquidity. It …
Risk-neutral densities: A review
Trading in options with a wide range of exercise prices and a single maturity allows a
researcher to extract the market's risk-neutral density (RND) over the underlying price at …
researcher to extract the market's risk-neutral density (RND) over the underlying price at …
Forecasting with option-implied information
This chapter surveys the methods available for extracting information from option prices that
can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and …
can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and …
A macroeconomic model with a financial sector
This article studies the full equilibrium dynamics of an economy with financial frictions. Due
to highly nonlinear amplification effects, the economy is prone to instability and occasionally …
to highly nonlinear amplification effects, the economy is prone to instability and occasionally …
[كتاب][B] Expected returns: An investor's guide to harvesting market rewards
A Ilmanen - 2011 - books.google.com
This comprehensive reference delivers a toolkit for harvesting market rewards from a wide
range of investments. Written by a world-renowned industry expert, the reference discusses …
range of investments. Written by a world-renowned industry expert, the reference discusses …
Cross-section of option returns and volatility
We study the cross-section of stock option returns by sorting stocks on the difference
between historical realized volatility and at-the-money implied volatility. We find that a zero …
between historical realized volatility and at-the-money implied volatility. We find that a zero …
Stock options as lotteries
We investigate the relationship between ex ante total skewness and holding returns on
individual equity options. Recent theoretical developments predict a negative relationship …
individual equity options. Recent theoretical developments predict a negative relationship …
What is the Expected Return on a Stock?
We derive a formula for the expected return on a stock in terms of the risk‐neutral variance of
the market and the stock's excess risk‐neutral variance relative to that of the average stock …
the market and the stock's excess risk‐neutral variance relative to that of the average stock …
Too-systemic-to-fail: What option markets imply about sector-wide government guarantees
We examine the pricing of financial crash insurance during the 2007–2009 financial crisis in
US option markets, and we show that a large amount of aggregate tail risk is missing from …
US option markets, and we show that a large amount of aggregate tail risk is missing from …
Cross section of option returns and idiosyncratic stock volatility
This paper presents a robust new finding that delta-hedged equity option return decreases
monotonically with an increase in the idiosyncratic volatility of the underlying stock. This …
monotonically with an increase in the idiosyncratic volatility of the underlying stock. This …