Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Bjørn Eraker"'
Autor:
Bjørn Eraker, Daniela Osterrieder
Publikováno v:
Journal of Financial Econometrics.
We present empirical evidence showing that option-implied risk measures (OIRMs) are substantially impacted by bid–ask spreads in underlying options. Asking prices are more sensitive to shocks than bids, leading to highly skewed distributions of spr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ec2d8b80a8c0aa0cdf83c1c308d07aeb
https://doi.org/10.1093/jjfinec/nbac025
https://doi.org/10.1093/jjfinec/nbac025
Autor:
Bjørn Eraker, Yue Wu
Publikováno v:
Journal of Financial Economics. 125:72-98
We study the returns to investing in VIX futures, VIX Exchange Traded Notes (ETNs), and variance swaps. We document substantial negative return premia for these assets. For example, the constant maturity portfolio of 1-month VIX futures loses about 3
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dcf661c538be2c2cd121c5ce6855f524
https://doi.org/10.1016/j.jfineco.2017.04.007
https://doi.org/10.1016/j.jfineco.2017.04.007
Autor:
Bjørn Eraker, Aoxiang Yang
Publikováno v:
SSRN Electronic Journal.
We develop a tractable equilibrium pricing model to explain observed characteristics in equity returns, VIX futures, S&P 500 options, and VIX options data based on affine jump- diffusive state dynamics and representative agents endowed with Duffie-Ep
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5a0625f10bc9dd69f1c7118397cfb730
https://doi.org/10.2139/ssrn.3520256
https://doi.org/10.2139/ssrn.3520256
Autor:
Bjørn Eraker
Publikováno v:
The Quarterly Journal of Finance. 11:2150014
The difference, average risk-neutral and physical volatility, is substantial and translates into a large return premium for sellers of index options. This paper studies a general equilibrium model based on long-run risk in an effort to explain the pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ead877f1b8f8a94c8f734fefcd52c4ad
https://doi.org/10.1142/s2010139221500142
https://doi.org/10.1142/s2010139221500142
Publikováno v:
Review of Financial Studies. 29:193-231
High expected inflation is known to predict low future real growth. We show that, relative to nondurable goods sectors of the economy, such predictability is significantly more pronounced in durable sectors. Consistent with this macroeconomic evidenc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f6dda86f6641f70320ea1209ff98da0d
https://doi.org/10.1093/rfs/hhv049
https://doi.org/10.1093/rfs/hhv049
Publikováno v:
Journal of Financial Econometrics. 13(3):698-721
Economic data are collected at various frequencies but econometric estimation typically uses the coarsest frequency. This article develops a Gibbs sampler for estimating vector autoregression (VAR) models with mixed and irregularly sampled data. The
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dee6efc14f4a86b31fa9c1da5a5d8705
http://hdl.handle.net/10.1093/jjfinec/nbu027
http://hdl.handle.net/10.1093/jjfinec/nbu027
Autor:
Bjørn Eraker
Publikováno v:
Review of Derivatives Research. 16:1-23
This paper analyzes returns to trading strategies in options markets that exploit information given by a theoretical asset pricing model. We examine trading strategies in which a positive portfolio weight is assigned to assets which market prices exc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::639a2e692cfb29c72a77a7c31e7a9976
https://doi.org/10.1007/s11147-012-9079-8
https://doi.org/10.1007/s11147-012-9079-8
Autor:
Bjørn Eraker
Publikováno v:
Management Science. 54:2068-2080
No-arbitrage models are extremely flexible modelling tools, but often lack economic motivation. This paper describes an equilibrium consumption based CAPM framework based on Epstein-Zin preferences, which produces analytic pricing formulas for stocks
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::14ac643bd3461f6250d681a90ffe36e4
https://doi.org/10.1287/mnsc.1070.0796
https://doi.org/10.1287/mnsc.1070.0796
Autor:
Bjørn Eraker, Ivan Shaliastovich
Publikováno v:
Mathematical Finance. 18:519-543
The paper examines equilibrium models based on Epstein–Zin preferences in a framework in which exogenous state variables follow affine jump diffusion processes. A main insight is that the equilibrium asset prices can be computed using a standard ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6d6b0574a681d1a4657f482b7769ec44
https://doi.org/10.1111/j.1467-9965.2008.00346.x
https://doi.org/10.1111/j.1467-9965.2008.00346.x
Autor:
Bjørn Eraker
Publikováno v:
The Journal of Finance. 59:1367-1403
This paper examines the empirical performance of jump diffusion models of stock price dynamics from joint options and stock markets data. The paper introduces a model with discontinuous correlated jumps in stock prices and stock price volatility, and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d297f2fcf1a64c2b303d1c387df88738
https://doi.org/10.1111/j.1540-6261.2004.00666.x
https://doi.org/10.1111/j.1540-6261.2004.00666.x