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The Information Content of Option Implied Moments and Co-Moments: Extended Abstract

https://doi.org/10.2139/ssrn.2956861
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Implied correlation index: A new measure of diversification
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The arbitrage theory of capital asset pricing
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Is the correlation in international equity returns constant: 1960–1990?
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Capital asset prices with heterogeneous beliefs
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Common risk factors in the returns on stocks and bonds
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Modelling emerging market risk premia using higher moments
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On the predictability of model-free implied correlation
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Correlation Risk
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Size, value, and momentum in international stock returns
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Market skewness risk and the cross section of stock returns
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A five-factor asset pricing model
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Implied exchange rate distributions: evidence from OTC option markets
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Spanning and derivative-security valuation
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On the Information in the Interest Rate Term Structure and Option Prices
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Optimal positioning in derivative securities
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Risk, Return, and Equilibrium: Empirical Tests
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Liquidity Risk and Expected Stock Returns
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Conditioning Information and Variance Bounds on Pricing Kernels with Higher- Order Moments: Theory and Evidence
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Conditional Skewness in Asset Pricing Tests
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The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
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Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns
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RISK AND THE REQUIRED RETURN ON EQUITY
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Co-Skewness and Capital Asset Pricing
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Asset Pricing, Higher Moments, and the Market Risk Premium: A Note
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On Persistence in Mutual Fund Performance
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The Price of Correlation Risk: Evidence from Equity Options
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Ex Ante Skewness and Expected Stock Returns
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THE STRUCTURE OF SKEWNESS PREFERENCES IN ASSET PRICING MODELS WITH HIGHER MOMENTS: AN EMPIRICAL TEST
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Co‐Kurtosis and Capital Asset Pricing
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Pricing Kernels with Stochastic Skewness and Volatility Risk
inferredcites →https://doi.org/10.2139/ssrn.1480332openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2322945openalex-extracted
Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.2359380openalex-extracted
Option-Implied Correlations and the Price of Correlation Risk
inferredcites →https://doi.org/10.2139/ssrn.673425openalex-extracted
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Time-Varying Conditional Skewness and the Market Risk Premium
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Equilibrium in a Capital Asset Market
inferredcites →https://doi.org/10.2307/1924119openalex-extracted
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
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Multidimensional Security Pricing
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International Stock Price Movements: Links and Messages
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Autoregressive Conditional Skewness
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Is Implied Correlation Worth Calculating?
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International correlation risk
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SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*
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The Cross-Section of Expected Stock Returns
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