Следене
Nicola Fusari
Nicola Fusari
Professor of Finance
Потвърден имейл адрес: jhu.edu - Начална страница
Заглавие
Позовавания
Позовавания
Година
The risk premia embedded in index options
TG Andersen, N Fusari, V Todorov
Journal of Financial Economics 117 (3), 558-584, 2015
2872015
Realizing smiles: Options pricing with realized volatility
F Corsi, N Fusari, D La Vecchia
Journal of Financial Economics 107 (2), 284-304, 2013
1662013
Parametric inference and dynamic state recovery from option panels
TG Andersen, N Fusari, V Todorov
Econometrica 83 (3), 1081-1145, 2015
1562015
Short‐term market risks implied by weekly options
TG Andersen, N Fusari, V Todorov
The Journal of Finance 72 (3), 1335-1386, 2017
1352017
The pricing of tail risk and the equity premium: Evidence from international option markets
TG Andersen, N Fusari, V Todorov
Journal of Business & Economic Statistics 38 (3), 662-678, 2020
882020
Valuing modularity as a real option
A Gamba, N Fusari
Management science 55 (11), 1877-1896, 2009
832009
Barrier option pricing using adjusted transition probabilities
G Barone-Adesi, N Fusari, J Theal
The journal of derivatives 16, 36-53, 2008
202008
Asset Pricing with Cohort‐Based Trading in MBS Markets
N Fusari, W Li, H Liu, Z Song
The Journal of Finance 77 (6), 3249-3287, 2022
182022
Option market trading activity and the estimation of the pricing kernel: A Bayesian approach
G Barone-Adesi, N Fusari, A Mira, C Sala
Journal of Econometrics, 2019
162019
Testing for asset price bubbles using options data
N Fusari, R Jarrow, S Lamichhane
Johns Hopkins Carey Business School Research Paper, 2020
152020
Volatility dynamics and the term structure of the variance risk premium
N Fusari, MT Gonzalez-Perez
Northwestern University, 2012
142012
Spatial dependence in option observation errors
TG Andersen, N Fusari, V Todorov, RT Varneskov
Econometric Theory 37 (2), 205-247, 2021
122021
Unified inference for nonlinear factor models from panels with fixed and large time span
TG Andersen, N Fusari, V Todorov, RT Varneskov
Journal of econometrics 212 (1), 4-25, 2019
112019
Structural stochastic volatility
FM Bandi, N Fusari, R Renò
Available at SSRN 3717015, 2020
62020
Option panels in pure-jump settings
TG Andersen, N Fusari, V Todorov, RT Varneskov
6*2018
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Статии 1–15