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Lévy jump risk: Evidence from options and returns

Journal of financial economics, 2014-04, Vol.112 (1), p.69-90

Ornthanalai, Chayawat

2014

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Fluctuating attention and financial contagion

Journal of monetary economics, 2018-11, Vol.99, p.106-123

2018

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Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options

Journal of financial economics, 2012-12, Vol.106 (3), p.447-472

2012

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Are Analysts' Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays

The Journal of finance (New York), 2014-04, Vol.69 (2), p.645-673

2014

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The Term Structure of Expected Recovery Rates

Journal of financial and quantitative analysis, 2018-12, Vol.53 (6), p.2619-2661

2018

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Speed and Expertise in Stock Picking: Older, Slower, and Wiser?

Journal of financial and quantitative analysis, 2023-06, Vol.58 (4), p.1612-1644

2023

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Option valuation with long-run and short-run volatility components

Journal of financial economics, 2008-12, Vol.90 (3), p.272-297

2008

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Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity

Review of Finance, 2021-07, Vol.25 (4), p.1261-1298

2021

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GARCH Option Valuation: Theory and Evidence

The Journal of derivatives, 2013, Vol.21 (2), p.8-41

2013

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Remembering Peter Christoffersen (1967–2018)

The Journal of derivatives, 2018-10, Vol.26 (1), p.109-111

2018

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GARCH Option Valuation: Theory and Evidence

The Journal of derivatives, 2013-11, p.131119045700004

2013

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Asymmetries and the Market for Put Options

SSRN Electronic Journal

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Asset pricing with Lévy jump processes

Ornthanalai, Chayawat

2009

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Lévy Jump Risk: Evidence from Options and Returns

SSRN Electronic Journal

Ornthanalai, Chayawat

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Information Disclosure and Intraday Price Discovery: Evidence from Jumps

SSRN Electronic Journal

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Options on Initial Public Offerings

SSRN Electronic Journal

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Speed and Expertise in Stock Picking: Older, Slower, and Wiser?

SSRN Electronic Journal

Volltextzugriff (PDF)

GARCH Option Valuation: Theory and Evidence

SSRN Electronic Journal

Volltextzugriff (PDF)

Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options

SSRN Electronic Journal

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Time-Varying Crash Risk: The Role of Stock Market Liquidity

SSRN Electronic Journal

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Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options

SSRN Electronic Journal

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Accounting Information Releases and CDS Spreads

SSRN Electronic Journal

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Fluctuating Attention and Contagion: Theory and Evidence from the U.S. Equity Market

SSRN Electronic Journal

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The Market Crash Risk Implicit in Individual Equity Options

SSRN Electronic Journal

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Option Valuation with Long-Run and Short-Run Volatility Components

SSRN Electronic Journal

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Lévy jump risk: Evidence from options and returns

Fluctuating attention and financial contagion

Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options

Are Analysts' Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays

The Term Structure of Expected Recovery Rates

Speed and Expertise in Stock Picking: Older, Slower, and Wiser?

Option valuation with long-run and short-run volatility components

Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity

GARCH Option Valuation: Theory and Evidence

Remembering Peter Christoffersen (1967–2018)

GARCH Option Valuation: Theory and Evidence

Asymmetries and the Market for Put Options

Asset pricing with Lévy jump processes

Lévy Jump Risk: Evidence from Options and Returns

Information Disclosure and Intraday Price Discovery: Evidence from Jumps

Options on Initial Public Offerings

Speed and Expertise in Stock Picking: Older, Slower, and Wiser?

GARCH Option Valuation: Theory and Evidence

Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options

Time-Varying Crash Risk: The Role of Stock Market Liquidity

Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options

Accounting Information Releases and CDS Spreads

Fluctuating Attention and Contagion: Theory and Evidence from the U.S. Equity Market

The Market Crash Risk Implicit in Individual Equity Options

Option Valuation with Long-Run and Short-Run Volatility Components

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