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Bjorn Eraker, Ph.D. - Publications

Affiliations: 
2001 University of Chicago, Chicago, IL 
Area:
Finance, Statistics
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13 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2017 Eraker B, Wu Y. Explaining the negative returns to volatility claims: An equilibrium approach Journal of Financial Economics. 125: 72-98. DOI: 10.1016/J.Jfineco.2017.04.007  0.553
2016 Eraker B, Shaliastovich I, Wang W. Durable Goods, Inflation Risk, and Equilibrium Asset Prices Review of Financial Studies. 29: 193-231. DOI: 10.1093/Rfs/Hhv049  0.561
2015 Eraker B, Wang J. A non-linear dynamic model of the variance risk premium Journal of Econometrics. 187: 547-556. DOI: 10.2139/Ssrn.2018689  0.532
2015 Eraker B, Ready M. Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks Journal of Financial Economics. 115: 486-504. DOI: 10.2139/Ssrn.1733225  0.538
2015 Eraker B, Chiu CW, Foerster AT, Kim TB, Seoane HD. Bayesian mixed frequency VARs Journal of Financial Econometrics. 13: 698-721. DOI: 10.1093/Jjfinec/Nbu027  0.401
2013 Eraker B. The performance of model based option trading strategies Review of Derivatives Research. 16: 1-23. DOI: 10.1007/S11147-012-9079-8  0.613
2008 Eraker B. Affine general equilibrium models Management Science. 54: 2068-2080. DOI: 10.2139/Ssrn.886167  0.596
2008 Eraker B, Shaliastovich I. An equilibrium guide to designing affine pricing models Mathematical Finance. 18: 519-543. DOI: 10.1111/J.1467-9965.2008.00346.X  0.583
2008 Eraker B. A Bayesian view of temporary components in asset prices Journal of Empirical Finance. 15: 503-517. DOI: 10.1016/J.Jempfin.2007.07.004  0.588
2004 Eraker B. Do stock prices and volatility jump? Reconciling evidence from spot and option prices Journal of Finance. 59: 1367-1403. DOI: 10.1111/J.1540-6261.2004.00666.X  0.628
2003 Eraker B, Johannes M, Polson N. The Impact of Jumps in Volatility and Returns Journal of Finance. 58: 1269-1300. DOI: 10.2139/Ssrn.249764  0.507
2003 Eraker B, Johannes M, Polson N. The Impact of Jumps in Volatility and Returns Journal of Finance. 58: 1269-1300. DOI: 10.1111/1540-6261.00566  0.676
2001 Eraker B. MCMC analysis of diffusion models with application to finance Journal of Business and Economic Statistics. 19: 177-191. DOI: 10.1198/073500101316970403  0.462
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