A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options

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Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements (2006, unknown): “20 A good analysis of this tradeoff and the issues it entails is given by Shanker and Balakrishnan (2005). 21 For more details on SPAN systems, see, e.”
Improving Portfolio Selection Using Option-Implied Volatility and Skewness (2013, unknown): “Our sample period is from January 1996 to October 2010.5”
The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing (2011, unknown): “12 It has been argued that E-VaR is a more general measure risk since it incorporates the market’s evaluation of risk, the demand–supply effects, and the probabilities that correspond to extreme losses (Panigirtzoglou and Skiadopoulos 2004).”
Stochastic Local Volatility (2008, methodology): “8 It is interesting to compare this with the dynamics of Panigirtzoglou and Skiadopoulos (2004), who propose a simple mean-reverting model for the entire implied risk-neutral distribution based principal component analysis.”
Estimating option implied risk‐neutral densities using spline and hypergeometric functions (2007, unknown): “6See Bliss and Panigirtzoglou (2004) and Panigirtzoglou and Skiadopoulos (2004).”