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...
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,...