Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Dominique Toupin"'
Publikováno v:
Quantitative Finance. 22:255-271
Ross (2015) shows that options data can reveal the market’s true expectations. Adapting this approach to index options (S&P, FTSE, CAC, SMI and DAX), we separate option-implied volatility into Ross-recovered true expected volatility and a risk pref
Publikováno v:
Journal of Banking & Finance. 146:106701
Autor:
Étienne Beaudoin, Shaima Kaka, Elisabeth Gagnon, Andréanne Durivage, Isabelle Boulais, Geneviève Le Templier, Dominique Toupin, Grégoire Le Gal, Bobby Gouin
Publikováno v:
Thrombosis research. 212
Publikováno v:
Thrombosis Research. 187:122-124
Autor:
Zhiying Liang, Eddy Lang, Dominique Toupin, Adi J. Klil-Drori, Deepa Suryanarayan, Latifah Alothman, Meng Wang, Vicky Tagalakis, Dwip Prajapati
Publikováno v:
Medical Care. 57:e47-e52
Background Administrative health care databases are increasingly being used to study pulmonary embolism (PE), but the validity of single PE codes is variable. Using data from Quebec, Canada, we developed ASPECT (Algorithm for Suspected Pulmonary Embo
Publikováno v:
SSRN Electronic Journal.
This chapter investigates the contemporaneous pricing kernel obtained by applying the recovery theorem to options on the S&P500 index. Similarly to the literature on the pricing kernel puzzle, I find evidence that the recovered pricing kernels are U-
Publikováno v:
International Review of Financial Analysis. 47:243-255
This paper investigates international cointegration and financial integration among equity market indexes using index option data, providing an ex-ante analysis through investor anticipations. Daily time series of risk-neutral variance, skewness, and
Publikováno v:
SSRN Electronic Journal.
This paper investigates international index return predictability using option-implied information. We document the significant predictive power of the variance risk premium (VRP), Foster-Hart risk (FH), and higher-order moments for horizons ranging
Publikováno v:
Applied Economics Letters. 22:370-377
This article investigates the time series relationship between equity and crude oil markets using option-implied risk-neutral moments. We recover daily time series of constant-maturity risk-neutral volatility (RNV), skewness and kurtosis using option
Autor:
Dominique Toupin
Publikováno v:
IEEE Software. 28:87-91
With the increasing complexity of systems and the pervasive use of multicore technology, increasing numbers of problems can only be diagnosed via tracing tools. Author Dominique Toupin introduces the open source Linux Trace Toolkit Next Generation (L