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How Bad Will the Potential Economic Disasters Be? Evidences from S&P 500 Index Options Data

https://doi.org/10.2139/ssrn.1150472
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-84628-696-4_13openalex-extracted
Brownian Motion and Stochastic Calculus
inferredcites →https://doi.org/10.1016/0304-3932(85)90061-3openalex-extracted
The equity premium: A puzzle
inferredcites →https://doi.org/10.1016/0304-3932(88)90172-9openalex-extracted
The equity risk premium a solution
inferredcites →https://doi.org/10.1016/0304-405x(88)90020-7openalex-extracted
Dividend yields and expected stock returns
inferredcites →https://doi.org/10.1016/0304-4076(91)90098-xopenalex-extracted
Simulation estimation of time-series models
inferredcites →https://doi.org/10.1016/j.frl.2005.08.001openalex-extracted
Solving models with external habit
inferredcites →https://doi.org/10.1016/j.jfineco.2003.12.001openalex-extracted
Corporate earnings and the equity premium
inferredcites →https://doi.org/10.1016/j.jfineco.2005.02.004openalex-extracted
A consumption-based model of the term structure of interest rates☆
inferredcites →https://doi.org/10.1016/s0165-1889(03)00041-1openalex-extracted
The Peso problem hypothesis and stock market returns
inferredcites →https://doi.org/10.1016/s0304-405x(01)00088-5openalex-extracted
The jump-risk premia implicit in options: evidence from an integrated time-series study
inferredcites →https://doi.org/10.1016/s0304-4076(99)00021-4openalex-extracted
Post-'87 crash fears in the S&P 500 futures option market
inferredcites →https://doi.org/10.1016/s0304-4076(99)00023-8openalex-extracted
Pricing and hedging long-term options
inferredcites →https://doi.org/10.1086/261141openalex-extracted
Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
inferredcites →https://doi.org/10.1086/261693openalex-extracted
Habit Formation: A Resolution of the Equity Premium Puzzle
inferredcites →https://doi.org/10.1086/379934openalex-extracted
Understanding Predictability
inferredcites →https://doi.org/10.1093/rfs/hhi011openalex-extracted
An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
inferredcites →https://doi.org/10.1093/rfs/hhj006openalex-extracted
Labor Income and Predictable Stock Returns
inferredcites →https://doi.org/10.1111/0022-1082.00227openalex-extracted
How Does Information Quality Affect Stock Returns?
inferredcites →https://doi.org/10.1111/0022-1082.215228openalex-extracted
Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices
inferredcites →https://doi.org/10.1111/1468-0262.00164openalex-extracted
Transform Analysis and Asset Pricing for Affine Jump-diffusions
inferredcites →https://doi.org/10.1111/1540-6261.00523openalex-extracted
Dynamic Asset Allocation with Event Risk
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb03775.xopenalex-extracted
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb00079.xopenalex-extracted
Implied Binomial Trees
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00666.xopenalex-extracted
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00670.xopenalex-extracted
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01006.xopenalex-extracted
Model Uncertainty and Option Markets with Heterogeneous Beliefs
inferredcites →https://doi.org/10.1162/qjec.121.3.823openalex-extracted
Rare Disasters and Asset Markets in the Twentieth Century*
inferredcites →https://doi.org/10.2139/ssrn.235007openalex-extracted
Labor Income and Predictable Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.687473openalex-extracted
inferredcites →https://doi.org/10.2307/1907574openalex-extracted
Note on the Correlation of First Differences of Averages in a Random Chain
inferredcites →https://doi.org/10.2307/2289894openalex-extracted
Brownian Motion and Stochastic Calculus.
inferredcites →https://doi.org/10.2307/2329081openalex-extracted
Dynamic Asset Pricing Theory.
inferredcites →https://doi.org/10.2307/2329472openalex-extracted
inferredcites →https://doi.org/10.2307/2951555openalex-extracted
The Interaction Between Time-Nonseparable Preferences and Time Aggregation
inferredcites →https://doi.org/10.2307/2951768openalex-extracted
Simulated Moments Estimation of Markov Models of Asset Prices
inferredcites →https://doi.org/10.3386/w11816openalex-extracted
Cash-Flow Risk, Discount Risk, and the Value Premium
inferredcites →https://doi.org/10.3386/w11861openalex-extracted
Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options
inferredcites →https://doi.org/10.3386/w9103openalex-extracted
Dynamic Asset Allocation With Event Risk
inferredcites →https://doi.org/10.7208/chicago/9780226116174.003.0005openalex-extracted
Intangible Risk
inferredcites →https://doi.org/10.1016/b978-044450899-7.50014-2openalex-snapshot
Financial Markets and the Real Economy
inferredcites →https://doi.org/10.1086/250059openalex-snapshot
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.1093/rfs/hhn078openalex-snapshot
On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02749.xopenalex-snapshot
Empirical Performance of Alternative Option Pricing Models
inferredcites →https://doi.org/10.3386/w0456openalex-snapshot
Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1093/qje/qjs001openalex-snapshot
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
inferred← citeshttps://doi.org/10.1111/j.1540-6261.2011.01697.xopenalex-snapshot
Disasters Implied by Equity Index Options
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