Search results

  • 2024

    How Integrated Are Credit and Equity Markets? Evidence From Index Options

    Collin-Dufresne, P., Junge, B. & Trolle, A. B., Apr 2024, In: The Journal of Finance. 79, 2, p. 949-992 44 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

    Open Access
    File
    147 Downloads (Pure)
  • Nonstandard Errors

    Menkveld, A. J., Nielsson, U., Press, O.-A., Trolle, A. B., Voigt, S. & Lindner, T., Jun 2024, In: Journal of Finance. 79, 3, p. 2339-2390 52 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

    Open Access
    File
    111 Downloads (Pure)
  • 2022

    How Integrated are Credit and Equity Markets? Evidence from Index Options

    Collin-Dufresne, P., Junge, B. & Trolle, A. B., 2022. 116 p.

    Research output: Contribution to conferencePaperResearchpeer-review

  • Non-standard Errors

    Menkveld, A. J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Razen, M., Weitzel, U., Abad, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, J. & Bach, A. & 319 others, Baidoo, E., Bakalli, G., Barbon, A., Bashchenko, O., Bindra, P. C., Bjonnes, G. H., Black, J., Black, B., Bohorquez, S., Bondarenko, O., Bos, C. S., Bosch-Rosa, C., Bouria, E., Brownlees, C. T., Calamia, A., Cao, V. N., Capelle-Blancard, G., Capera, L., Caporin, M., Carrion, A., Caskurlu, T., Chakrabarty, B., Chernov, M., Cheung, W. M., Chincarini, L. B., Chordia, T., Chi Chow, S., Clapham, B., Colliard, J.-E., Comerton-Forde, C., Curran, E., Dao, T., Dare, W., Davies, R. J., Blasis, R. D., Declerck, F., Deev, O., Degryse, H., Deku, S., Desagre, C., van Dijk, M. A., Dim, C., Dimpfl, T., Dong, Y. J., Drummond, P., Dudda, T., Dumitrescu, A., Dyakov, T., Dyhrberg, A. H., Dzieliński, M., Eksi, A., El Kalak, I., Ellen, S. T., Eugster, N., Evans, M. D. D., Farrell, M., Félez-Viñas, E., Ferrara, G., Ferrouhi, E. M., Flori, A., Fluharty-Jaidee, J., Foley, S., Fong, K. Y. L., Foucault, T., Franus, T., Franzoni, F. A., Frijns, B., Frömmel, M., Fu, S., Füllbrunn, S., Gam, B., Gehrig, T., Gerritsen, D., Gil-Bazo, J., Golsten, L. R., Gomez, T., Gorbenko, A., Güçbilmez, U., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J. H., Hartmann, S., Hasse, J.-B., Hautsch, N., He, X., Heath, D., Hediger, S., Hendershott, T., Hibbert, A. M., Hjalmarsson, E., Hoelscher, S. A., Hoffmann, P., Holden, C. W., Horenstein, A. R., Huang, W., Huang, D., Hurlin, C., Ivashchenko, A., Iyer, S. R., Jahanshahloo, H., Jalkh, N., Jones, C. M., Jurkatis, S., Jylha, P., Kaeck, A., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., Kervel, V. V., Khan, S., Khomyn, M., Klein, T., Klein, O., Klos, A., Koetter, M., Krahnen, J. P., Kolokolov, A., Korajczyk, R. A., Kozhan, R., Kwan, A., Lajaunie, Q., Lam, F. Y. E. C., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, H., Liew, C. Y., Lindner, T., Linton, O. B., Liu, J., Liu, A., Llorente, G., Lof, M., Lohr, A., Longstaff, F. A., Lopez-Lira, A., Mano, N., Marchal, A., Martineau, C., Mazzola, F., Meloso, D., Mihet, R., Mohan, V., Moinas, S., Moore, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Nordén, L., O'Neill, P., Obaid, K., Ødegaard, B. A., Östberg, P., Painter, M., Palan, S., Palit, I., Park, A., Pascual, R., Pasquariello, P., Pastor, L., Patel, V., Patton, A. J., Pearson, N. D., Pelizzon, L., Pelster, M., Pérignon, C., Pfiffer, C., Philip, R., Plíhal, T., Prakash, P., Press, O.-A., Prodromou, T., Putniņš, T. J., Raizada, G., Rakowski, D. A., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Renjie, R. W., Renó, R., Riddiough, S., Rinne, K., Rintamäki, P., Riordan, R., Rittmannsberger, T., Rodríguez-Longarela, I., Rösch, D., Rognone, L., Roseman, B., Rosu, I., Roy, S., Rudolf, N., Rush, S., Rzayev, K., Rzeznik, A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Scaillet, O., Scharnowski, S., Schenk-Hoppé, K. R., Schertler, A., Schneider, M., Schroeder, F., Schürhoff, N., Schuster, P., Schwarz, M. A., Seasholes, M. S., Seeger, N., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L. A., Söderlind, P., Sojli, E., Sokolov, K., Spokeviciute, L., Stefanova, D., Subrahmanyam, M. G., Neusüss, S., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W. W., Theissen, E., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A. B., Valente, G., Van Ness, R. A., Vasquez, A., Verousis, T., Verwijmeren, P., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., van der Wel, M., Werner, I. M., Westerholm, P. J., Westheide, C., Wipplinger, E., Wolff, M., Wolff, C. C. P., Wolk, L., Wong, W. K., Wrampelmeyer, J., Xia, S., Xiu, D., Xu, K., Xu, C., Yadav, P. K., Yagüe, J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, S., Yueshen, B. Z., Yuferova, D., Zamojski, M., Zareei, A., Ziesberger, S., Zhang, S. S., Zhang, X., Zhong, Z., Zhou, Z. I., Zhou, C., Zhu, X. S., Zoican, M., Zwinkels, R. C. J., Chen, J., Duevski, T., Gao, G., Gemayel, R., Gilder, D., Kuhle, P., Pagnotta, E., Pelli, M., Sönksen, J., Zhang, L., Ilczuk, K., Bogoev, D., Qian, Y., Wika, H. C., Yu, Y., Zhao, L., Mi, M., Bao, L., Vaduva, A., Prokopczuk, M., Avetikian, A. & Wu, Z.-X., 2022, Oslo: Norges Bank, 56 p.

    Research output: Working paperResearch

  • 2020

    How Integrated Are Credit and Equity Markets? Evidence from Index Options

    Collin-Dufresne, P., Junge, B. & Trolle, A. B., 2020. 62 p.

    Research output: Contribution to conferencePaperResearchpeer-review

    Open Access
  • Market Structure and Transaction Costs of Index CDSs

    Collin-Dufresne, P., Junge, B. & Trolle, A. B., Oct 2020, In: Journal of Finance. 75, 5, p. 2719-2763 45 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

    Open Access
    File
    340 Downloads (Pure)
  • 2019

    On the Relation between Linearity-Generating Processes and Linear-Rational Models

    Filipović, D., Larsson, M. & Trolle, A. B., Jul 2019, In: Mathematical Finance. 29, 3, p. 804-826 23 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  • 2017

    Linear-Rational Term Structure Models

    Filipović, D., Larsson, M. & Trolle, A. B., Apr 2017, In: The Journal of Finance. 72, 2, p. 655-704 50 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  • 2016

    Fed Funds Futures Variance Futures

    Filipović, D. & Trolle, A. B., Sept 2016, In: Quantitative Finance. 16, 9, p. 1413-1422 10 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  • 2014

    The Swaption Cube

    Trolle, A. B. & Schwartz, E. S., 2014, In: Review of Financial Studies. 27, 8, p. 2307-2353 47 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  • 2013

    The Term Structure of Interbank Risk

    Filipović, D. & Trolle, A. B., 2013, In: Journal of Financial Economics. 109, 3, p. 707-733 25 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  • 2010

    Variance Risk Premia in Energy Commodities

    Trolle, A. B. & Schwartz, E. S., 2010, In: Journal of Derivatives. 17, 3, p. 15-32 18 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  • 2009

    A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

    Trolle, A. B. & Schwartz, E. S., 2009, In: Review of Financial Studies. 22, 5, p. 2007-2057 51 p.

    Research output: Contribution to journalJournal articleResearchpeer-review

  • Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

    Trolle, A. B. & Schwartz, E. S., Nov 2009, In: Review of Financial Studies. 22, 11, p. 4423-4461

    Research output: Contribution to journalJournal articleResearchpeer-review

  • 2007

    Essays on derivatives pricing and dynamic asset allocation

    Trolle, A. B., 2007, Frederiksberg: Samfundslitteratur. 214 p. (PhD series; No. 16.2007).

    Research output: Book/ReportPhD thesis

  • 2004

    Dynamic asset allocation and latent variables

    Sørensen, C. & Trolle, A. B., 2004, København: Copenhagen Business School [wp], 55 p.

    Research output: Working paperResearch

    Open Access
    File
    175 Downloads (Pure)