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Bjorn Eraker
Bjorn Eraker
Verified email at bus.wisc.edu
Title
Cited by
Cited by
Year
The impact of jumps in volatility and returns
B Eraker, M Johannes, N Polson
The Journal of Finance 58 (3), 1269-1300, 2003
18412003
Do stock prices and volatility jump? Reconciling evidence from spot and option prices
B Eraker
The Journal of finance 59 (3), 1367-1403, 2004
13792004
MCMC analysis of diffusion models with application to finance
B Eraker
Journal of Business & Economic Statistics 19 (2), 177-191, 2001
6622001
The impact of jumps in returns and volatility
B Eraker
Journal of Finance 53, 1269-1330, 2003
2582003
Do investors overpay for stocks with lottery-like payoffs? An examination of the returns of OTC stocks
B Eraker, M Ready
Journal of Financial Economics 115 (3), 486-504, 2015
2032015
An equilibrium guide to designing affine pricing models
B Eraker, I Shaliastovich
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
1832008
Affine general equilibrium models
B Eraker
Management Science 54 (12), 2068-2080, 2008
1302008
The volatility premium
B Eraker
The Quarterly Journal of Finance 11 (03), 2150014, 2021
1002021
Bayesian mixed frequency VARs
B Eraker, CW Chiu, AT Foerster, TB Kim, HD Seoane
Journal of Financial Econometrics 13 (3), 698-721, 2014
912014
Explaining the negative returns to volatility claims: An equilibrium approach
B Eraker, Y Wu
Journal of Financial Economics 125 (1), 72-98, 2017
862017
Durable goods, inflation risk, and equilibrium asset prices
B Eraker, I Shaliastovich, W Wang
The Review of Financial Studies 29 (1), 193-231, 2016
572016
Estimating VAR’s sampled at mixed or irregular spaced frequencies: a Bayesian approach
CWJ Chiu, B Eraker, AT Foerster, TB Kim, HD Seoane
Federal Reserve Bank of Kansas City, RWP, 11-11, 2011
522011
The performance of model based option trading strategies
B Eraker
Review of Derivatives Research 16 (1), 1-23, 2013
372013
A non-linear dynamic model of the variance risk premium
B Eraker, J Wang
Journal of Econometrics 187 (2), 547-556, 2015
322015
Explaining the negative returns to VIX futures and ETNs: An equilibrium approach
B Eraker, Y Wu
Available at SSRN 2340070, 2014
202014
The price of higher order catastrophe insurance: The case of VIX options
B Eraker, A Yang
The Journal of Finance 77 (6), 3289-3337, 2022
182022
A Bayesian view of temporary components in asset prices
B Eraker
Journal of Empirical Finance 15 (3), 503-517, 2008
112008
Dynamic Present Values and the Intertemporal CAPM
B Eraker, W Wang
Available at SSRN 1908910, 2011
82011
Return Dynamics with Jumps to Stochastic Volatility and Returns
B Eraker, M Johannes, N Polson
Discussion Paper, Graduate School of Business, University of Chicago, 1999
81999
[Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes]: Comment
B Eraker
Journal of Business & Economic Statistics 20 (3), 327-329, 2002
72002
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