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Recent Posts

Recent Publications

• Publications

• Risk Premia in the Bitcoin Market

• Spectral Factor Model for Corporate Bonds

• Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach

• Dynamic Analysis of Multivariate Time Series Using Wavelet Dependence Graphs

• Functional Principal Component Analysis for Derivatives of Multivariate Curves

• Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle

• Option Implied Stock Return Distribution

• Shape Invariant Modeling of Pricing Kernels and Risk Aversion

• Nonparametric Estimation of Risk-Neutral Densities

• Parametric Estimation of Risk Neutral Density Functions