| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs |
0 |
0 |
0 |
361 |
0 |
0 |
2 |
1,247 |
| A no-arbitrage analysis of economic determinants of the credit spread term structure |
0 |
0 |
1 |
272 |
1 |
2 |
5 |
798 |
| Accouting for Biases in Black-Scholes |
0 |
0 |
1 |
642 |
0 |
2 |
4 |
2,621 |
| Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? |
0 |
0 |
0 |
486 |
0 |
0 |
4 |
1,238 |
| Asset Pricing Under The Quadratic Class |
0 |
0 |
1 |
395 |
1 |
1 |
5 |
850 |
| Contagion in Financial Markets |
0 |
1 |
2 |
533 |
0 |
1 |
2 |
1,194 |
| Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns |
0 |
0 |
1 |
241 |
0 |
1 |
2 |
768 |
| Design and Estimation of Affine Yield Models |
0 |
0 |
1 |
221 |
0 |
0 |
1 |
645 |
| Design and Estimation of Affine Yield Models |
1 |
1 |
1 |
173 |
1 |
1 |
1 |
453 |
| Design and Estimation of Quadratic Term Structure Models |
0 |
0 |
0 |
480 |
0 |
0 |
2 |
1,308 |
| Macroeconomic Foundations of Higher Moments in Bond Yields |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
157 |
| Markov Chain Approximations For Term Structure Models |
0 |
0 |
1 |
588 |
0 |
1 |
4 |
1,425 |
| Predictable Changes in Yields and Forward Rates |
0 |
0 |
2 |
456 |
1 |
2 |
7 |
1,933 |
| Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes |
0 |
1 |
2 |
494 |
0 |
2 |
3 |
1,394 |
| Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes |
0 |
0 |
0 |
146 |
0 |
0 |
6 |
540 |
| Static Hedging of Standard Options |
0 |
0 |
3 |
1,230 |
0 |
4 |
16 |
3,676 |
| Stochastic Skew in Currency Options |
0 |
0 |
1 |
529 |
0 |
0 |
2 |
1,638 |
| Taking Positive Interest Rates Seriously |
0 |
0 |
0 |
113 |
0 |
1 |
1 |
393 |
| Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives |
0 |
0 |
1 |
1,521 |
0 |
0 |
3 |
6,088 |
| The Finite Moment Log Stable Process and Option Pricing |
0 |
0 |
2 |
481 |
0 |
0 |
4 |
1,267 |
| The Potential Approach to Bond and Currency Pricing |
0 |
0 |
0 |
488 |
0 |
1 |
2 |
1,597 |
| Time-Changed Levy Processes and Option Pricing |
0 |
0 |
0 |
1,206 |
0 |
0 |
6 |
2,473 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
0 |
3 |
609 |
1 |
1 |
8 |
1,560 |
| Uncovered Interest Rate Parity Over the Past Two Centuries |
0 |
0 |
1 |
1,691 |
0 |
1 |
8 |
6,045 |
| Using Machine Learning to Predict Realized Variance |
0 |
0 |
3 |
63 |
0 |
1 |
8 |
85 |
| Variance Risk Premia |
0 |
0 |
0 |
554 |
0 |
3 |
16 |
1,409 |
| What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities |
0 |
0 |
1 |
591 |
0 |
0 |
1 |
1,201 |
| What Type of Process Underlies Options? A Simple Robust Test |
0 |
0 |
1 |
332 |
1 |
1 |
4 |
730 |
| Total Working Papers |
1 |
3 |
29 |
14,896 |
6 |
26 |
127 |
44,733 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives |
0 |
0 |
0 |
32 |
0 |
0 |
0 |
98 |
| A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure |
0 |
0 |
0 |
23 |
1 |
1 |
3 |
83 |
| A Simple Robust Link Between American Puts and Credit Protection |
0 |
0 |
3 |
36 |
0 |
0 |
7 |
121 |
| A comprehensive analysis of the short-term interest-rate dynamics |
0 |
0 |
0 |
45 |
0 |
1 |
3 |
163 |
| Analyzing volatility risk and risk premium in option contracts: A new theory |
0 |
1 |
5 |
119 |
0 |
6 |
26 |
428 |
| Anchoring Credit Default Swap Spreads to Firm Fundamentals |
0 |
0 |
0 |
17 |
0 |
0 |
3 |
60 |
| Asset Pricing under the Quadratic Class |
0 |
0 |
0 |
45 |
1 |
2 |
3 |
133 |
| Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns |
0 |
0 |
0 |
62 |
0 |
0 |
3 |
397 |
| Decomposing Long Bond Returns: A Decentralized Theory* |
0 |
2 |
6 |
12 |
0 |
3 |
10 |
27 |
| Design and Estimation of Quadratic Term Structure Models |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
17 |
| Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* |
0 |
0 |
0 |
21 |
0 |
2 |
3 |
74 |
| Estimating risk-return relations with analysts price targets |
0 |
0 |
0 |
6 |
0 |
0 |
3 |
40 |
| Imports, Exports, Dollar Exposures, and Stock Returns |
0 |
0 |
1 |
10 |
0 |
0 |
3 |
75 |
| International capital asset pricing: Evidence from options |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
167 |
| Jumps and Dynamic Asset Allocation |
0 |
0 |
0 |
57 |
0 |
0 |
1 |
221 |
| Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
54 |
| Macroeconomic releases and the interest rate term structure |
1 |
1 |
2 |
86 |
1 |
3 |
13 |
247 |
| Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates |
0 |
0 |
0 |
13 |
0 |
1 |
2 |
64 |
| Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
29 |
| Option Profit and Loss Attribution and Pricing: A New Framework |
0 |
1 |
3 |
49 |
0 |
3 |
13 |
246 |
| Predictability of Interest Rates and Interest-Rate Portfolios |
0 |
0 |
0 |
33 |
0 |
1 |
2 |
128 |
| Predictable changes in yields and forward rates |
0 |
0 |
1 |
186 |
0 |
0 |
3 |
514 |
| Price discovery in the U.S. stock and stock options markets: A portfolio approach |
0 |
0 |
2 |
60 |
0 |
1 |
4 |
218 |
| Simple Robust Hedging with Nearby Contracts |
0 |
0 |
5 |
15 |
0 |
0 |
9 |
50 |
| Static Hedging of Standard Options |
0 |
0 |
0 |
16 |
0 |
1 |
3 |
59 |
| Static Hedging of Standard Options |
0 |
0 |
1 |
5 |
0 |
0 |
6 |
34 |
| Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics |
0 |
0 |
0 |
12 |
0 |
2 |
5 |
50 |
| Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies |
0 |
0 |
1 |
80 |
0 |
0 |
4 |
337 |
| Stochastic skew in currency options |
0 |
0 |
0 |
133 |
2 |
3 |
7 |
460 |
| Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation |
0 |
0 |
1 |
87 |
0 |
0 |
4 |
377 |
| The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period |
0 |
1 |
1 |
22 |
0 |
1 |
2 |
91 |
| The Finite Moment Log Stable Process and Option Pricing |
0 |
0 |
0 |
5 |
0 |
0 |
4 |
27 |
| The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments |
0 |
0 |
3 |
52 |
0 |
0 |
6 |
174 |
| The role of exchange rates in intertemporal risk-return relations |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
69 |
| The shale revolution and shifting crude dynamics |
0 |
0 |
0 |
2 |
0 |
0 |
3 |
18 |
| Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options |
0 |
0 |
2 |
50 |
0 |
1 |
3 |
172 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
0 |
3 |
109 |
1 |
3 |
14 |
407 |
| Time-changed Levy processes and option pricing |
0 |
1 |
1 |
243 |
0 |
1 |
5 |
736 |
| Uncovered interest-rate parity over the past two centuries |
0 |
1 |
6 |
352 |
0 |
2 |
15 |
1,008 |
| Variance Risk Premiums |
0 |
1 |
9 |
33 |
0 |
2 |
22 |
115 |
| Variance Risk Premiums |
1 |
2 |
6 |
159 |
4 |
8 |
28 |
537 |
| Variance dynamics: Joint evidence from options and high-frequency returns |
0 |
0 |
0 |
37 |
0 |
0 |
1 |
155 |
| Variance swaps on time-changed Lévy processes |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
64 |
| What Type of Process Underlies Options? A Simple Robust Test |
0 |
0 |
1 |
41 |
0 |
0 |
6 |
220 |
| Total Journal Articles |
2 |
11 |
63 |
2,431 |
10 |
48 |
257 |
8,764 |
LogEc is hosted by the
Örebro University School of Business.