Jose Faias, Juan Arismendi Zambrano
- Nov 25, 2021
- 1 min
Equity Risk Premium Predictability from Cross-Sectoral Downturns
(Accepted for publication in "Review of Asset Pricing Studies") Abstract We illustrate the role of left tail dependence variables – left...
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Juan Arismendi, Janis Back, Marcel Prokopczuk
- Jan 23, 2016
- 1 min
Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options (JBF - Vol 66)
Abstract Many commodity markets contain a strong seasonal component not only at the price level, but also in volatility. In this paper,...
17 views