Bjorn Eraker, Ph.D.
Affiliations: | 2001 | University of Chicago, Chicago, IL |
Area:
Finance, StatisticsGoogle:
"Bjorn Eraker"Parents
Sign in to add mentor| Nicholas G. Polson | grad student | 2001 | Chicago | |
| (Do stock prices and volatility jump? Reconciling evidence from spot and option prices.) | ||||
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Publications
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| Eraker B, Wu Y. (2017) Explaining the negative returns to volatility claims: An equilibrium approach Journal of Financial Economics. 125: 72-98 |
| Eraker B, Shaliastovich I, Wang W. (2016) Durable Goods, Inflation Risk, and Equilibrium Asset Prices Review of Financial Studies. 29: 193-231 |
| Eraker B, Wang J. (2015) A non-linear dynamic model of the variance risk premium Journal of Econometrics. 187: 547-556 |
| Eraker B, Ready M. (2015) Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks Journal of Financial Economics. 115: 486-504 |
| Eraker B, Chiu CW, Foerster AT, et al. (2015) Bayesian mixed frequency VARs Journal of Financial Econometrics. 13: 698-721 |
| Eraker B. (2013) The performance of model based option trading strategies Review of Derivatives Research. 16: 1-23 |
| Eraker B. (2008) Affine general equilibrium models Management Science. 54: 2068-2080 |
| Eraker B, Shaliastovich I. (2008) An equilibrium guide to designing affine pricing models Mathematical Finance. 18: 519-543 |
| Eraker B. (2008) A Bayesian view of temporary components in asset prices Journal of Empirical Finance. 15: 503-517 |
| Eraker B. (2004) Do stock prices and volatility jump? Reconciling evidence from spot and option prices Journal of Finance. 59: 1367-1403 |