Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies

By Gurdip Bakshi, Peter P. Carr, Liuren Wu. 2008

178 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/30f1eebb69c2d5a8b8c741056e33b7505dc42fca

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Citations in the corpus

Correlation in Energy Markets (2017, methodology): “, in Bakshi et al. (2008). The model analysed in this paper is a two-asset variation of Trolle and Schwartz”
Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options (2007, background): “ously (Bates (1996), Carr and Wu (2005a), Daal and Madan (2005), and Bakshi, Carr, and Wu (2005) ).”
Crash-Neutral Currency Carry Trades (2014, unknown): “Journal of Financial Economics, 113 (3), 325-347.”
Bond Liquidity Premia (2012, methodology): “See Leippold and Wu [42] and Bakshi, Carr and Wu [6] for application in finance, Julier et al.”
Variance Risk-Premium Dynamics: The Role of Jumps (2010, result): “…5 suggests that µ is more likely of infinite activity, or at least of a very high-intensity finite activity jump process.16 This is in line with the results in Bakshi et al. (2008), who report evidence in favor of infinite activity jumps based on a very flexible parametric jump specification.”
Commodity Trade and the Carry Trade: a Tale of Two Countries (2017, background): “Therefore, under complete financial markets, the commodity country’s consumption is smoother than it would be in the 1See also Bakshi, Carr, and Wu (2008), Campbell, Medeiros, and Viceira (2010), Koijen, Pedersen, Moskowitz, and Vrugt (2012), and Lustig, Roussanov, and Verdelhan (2013) for…”
Countercyclical Currency Risk Premia (2013, unknown): “(2006), Bakshi et al. (2008), Colacito (2008), and Colacito and Croce (2011) emphasize the importance of a large common component in SDFs to make sense of the high volatility of SDFs and the relatively ‘low’ volatility of exchange rates. In addition, there is a lot of evidence that much of the stock”
Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives (2009, background): “For instance, Bates (2000) and Trolle and Schwartz (2009) develop and test models for pricing equity and interest rate derivatives, respectively, with multi-factor specifications for volatility.”
Variance Risk Premiums and the Forward Premium Puzzle (2012, unknown): “The predictive power of the 6-months world currency variance risk premium is maximized at a medium 4 (6)As pointed out by Bansal and Dahlquist (2000), a panel-data setup reduces the imprecision in the estimation of currency-specific parameters (Baillie and Bollerslev, 2000).”