Cover Image

Risks of heterogeneously persistent higher moments

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Barunik, Jozef, Kurka, Josef
Format:	Preprint
Published:	2021
Subjects:	General Finance Pricing of Securities
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Volatility Shocks and Currency Returns
by: Babiak, Mykola, et al.
Published: (2021)

Common Idiosyncratic Quantile Factors and Asset Prices
by: Barunik, Jozef, et al.
Published: (2022)

Fundamentals of Perpetual Futures
by: He, Songrun, et al.
Published: (2022)

Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data
by: Serafini, Simone, et al.
Published: (2025)

The Endogenous Constraint: Hysteresis, Stagflation, and the Structural Inhibition of Monetary Velocity in the Bitcoin Network (2016-2025)
by: Soleimani, Hamoon
Published: (2025)

Crypto Pricing with Hidden Factors
by: Brigida, Matthew
Published: (2026)

Fair sharing ratios of Profit and Loss sharing contracts
by: Sagna, Abass
Published: (2025)

An Explicit Solution to Black-Scholes Implied Volatility
by: Schadner, Wolfgang
Published: (2026)

Three Remarks On Asset Pricing
by: Olkhov, Victor
Published: (2021)

Market-Based Asset Price Probability
by: Olkhov, Victor
Published: (2022)

Efficient Hamiltonian Simulation for Solving Option Price Dynamics
by: Gonzalez-Conde, Javier, et al.
Published: (2021)

Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI
by: Huang, Allen Yikuan, et al.
Published: (2026)

Sovereign Debt Default and Climate Risk
by: Barucci, Emilio, et al.
Published: (2025)

Market-Based Price Autocorrelation
by: Olkhov, Victor
Published: (2022)

Skewness Dispersion and Stock Market Returns
by: Babiak, Mykola, et al.
Published: (2026)

Evaluating Investment Risks in LATAM AI Startups: Ranking of Investment Potential and Framework for Valuation
by: Ramos-Torres, Abraham, et al.
Published: (2024)

Identifying Risk Variables From Raw ESG Data Using Its Hierarchical Structure
by: Chen, Zhi, et al.
Published: (2025)

Risk-Neutral Generative Networks
by: Xian, Zhonghao, et al.
Published: (2024)

Time Instability of the Fama-French Multifactor Models: An International Evidence
by: Moriya, Koichiro, et al.
Published: (2022)

Information Leakages in the Green Bond Market
by: Shannon, Darren, et al.
Published: (2025)

Wartime Controls, Political Connections, and the Pricing of Zaibatsu Rents in Japan, 1930-1943
by: Morimoto, Keiichi, et al.
Published: (2026)

A Taxonomy of Event-Linked Perpetual Futures: Variant Designs Beyond the Single-Market Binary Case
by: Nechepurenko, Maksym
Published: (2026)

Heterogeneous Beliefs Model of Stock Market Predictability
by: Park, Jiho
Published: (2024)

Risk-Neutral Pricing Model of Uniswap Liquidity Providing Position: A Stopping Time Approach
by: Hou, Liang, et al.
Published: (2024)

Market-Based Portfolio Variance
by: Olkhov, Victor
Published: (2025)

Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions
by: Olkhov, Victor
Published: (2023)

Expressions of Market-Based Correlations Between Prices and Returns of Two Assets
by: Olkhov, Victor
Published: (2024)

Dynamic Asset Pricing Theory for Life Contingent Risks
by: Ling, Patrick
Published: (2025)

Ponzi Funds
by: van der Beck, Philippe, et al.
Published: (2024)

Designing funding rates for perpetual futures in cryptocurrency markets
by: Kim, Jaehyun, et al.
Published: (2025)

Asian Basket Spread Options: A New Approximation Based on Stochastic Taylor Expansions
by: Floc'h, Fabien Le
Published: (2025)

Amortizing Perpetual Options
by: Feinstein, Zachary
Published: (2025)

Super-efficiency and Stock Market Valuation: Evidence from Listed Banks in China (2006 to 2023)
by: Liao, Yun
Published: (2024)

Small Volatility Approximation and Multi-Factor HJM Models
by: Belyaev, V. M.
Published: (2025)

Analytic Pricing of SOFR Futures Contracts with Smile and Skew
by: Romero-Bermúdez, Aurelio, et al.
Published: (2024)

Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility
by: Cheng, Liexin, et al.
Published: (2024)

VIX and European options with jumps in the short-maturity regime
by: Guo, Desen, et al.
Published: (2026)

Multiplicative Langevin Process for Volatilities Produces Observed Q-Variance Regularities
by: Press, William H., et al.
Published: (2026)

Explicit Rational Formulae for Bachelier (Normal) Implied Volatility
by: Floc'h, Fabien Le
Published: (2026)

Social Media Emotions and Market Behavior
by: Vamossy, Domonkos F.
Published: (2024)