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1. Optimal asset allocation and nonlinear return predictability from the dividend-price ratio. (2025). Timmermann, Allan ; Pedersen, Thomas Quistgaard ; Sarkar, Anindo ; Ghezzi, Fabrizio.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06332-7.

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2. Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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3. The informational role of forex option volume. (2025). Wang, Muhan ; Stan, Raluca ; Papakroni, Erlina ; Gu, Chen ; Chen, Denghui ; Bao, Kun.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000651.

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4. Have the causal effects between equities, oil prices, and monetary policy changed over time?. (2024). Olson, Eric ; Kurov, Alexander ; Wolfe, Marketa Halova.
   In: Journal of Commodity Markets.
   RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000655.

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5. The risk and return of equity and credit index options. (2024). Seo, Sang Byung ; Fournier, Mathieu ; Ericsson, Jan ; Doshi, Hitesh.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001557.

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6. Variance risk premiums in emerging markets. (2024). Zhang, Xiaoyan ; Xu, Lai ; Zhou, Hao ; Qiao, Fang.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:167:y:2024:i:c:s0378426624001730.

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7. International stock market volatility: A global tail risk sight. (2024). Lu, Xinjie ; Zeng, Qing ; Zhong, Juandan ; Zhu, BO.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001725.

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8. Measuring tail risk. (2024). Prokopczuk, Marcel ; Dierkes, Maik ; Hollstein, Fabian ; Wursig, Christoph Matthias.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001155.

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9. Risk neutral variances to compute expected returns using data from S&P BSE 100 firms—a replication study. (2023). Mundi, Hardeep Singh.
   In: Management Review Quarterly.
   RePEc:spr:manrev:v:73:y:2023:i:1:d:10.1007_s11301-021-00236-7.

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10. Variance Risk Premium Components in Japan for Predictability: Evidence from the COVID-19 Pandemic. (2023). Ubukata, Masato.
    In: International Journal of Economics and Finance.
    RePEc:ibn:ijefaa:v:15:y:2023:i:8:p:27.

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11. Gold and tail risks. (2023). Salisu, Afees ; Adediran, Idris ; Omoke, Philip C ; Tchankam, Jean Paul.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005979.

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12. Carr and Wu’s (2020) framework in the oil ETF option market. (2023). Ruan, Xinfeng ; Jia, Xiaolan ; Zhang, Jine.
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    RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000247.

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13. Explaining intraday crude oil returns with higher order risk-neutral moments. (2023). Wong, Patrick.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000211.

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14. On the right jump tail inferred from the VIX market. (2023). Yao, Xingzhi ; Li, Zhenxiong ; Izzeldin, Marwan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000236.

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15. PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:234:y:2023:i:1:p:353-370.

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16. A shot in the arm: The effect of COVID‐19 vaccine news on financial and commodity markets. (2023). Kucher, Oleg ; Wolfe, Marketa Halova ; Kurov, Alexander.
    In: The Financial Review.
    RePEc:bla:finrev:v:58:y:2023:i:3:p:575-596.

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17. The information content of the volatility index options trading volume. (2022). Kurov, Alexander ; Guo, XU ; Stan, Raluca.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:42:y:2022:i:9:p:1721-1737.

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18. Prediction of consumer repurchase behavior based on LSTM neural network model. (2022). Wang, Minzhi ; Zhu, Chuzhi ; Su, Chenghao.
    In: International Journal of System Assurance Engineering and Management.
    RePEc:spr:ijsaem:v:13:y:2022:i:3:d:10.1007_s13198-021-01270-0.

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19. A time-varying jump tail risk measure using high-frequency options data. (2022). Ubukata, Masato.
    In: Empirical Economics.
    RePEc:spr:empeco:v:63:y:2022:i:5:d:10.1007_s00181-022-02209-5.

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20. Predictable asset price dynamics, risk-return tradeoff, and investor behavior. (2022). Kilic, Osman ; Nam, Kiseok ; Marks, Joseph M.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:59:y:2022:i:2:d:10.1007_s11156-022-01057-9.

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21. Dissecting the yield curve: The international evidence. (2022). Plazzi, Alberto ; Berardi, Andrea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002429.

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22. Nonparametric jump variation measures from options. (2022). Todorov, Viktor.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:230:y:2022:i:2:p:255-280.

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23. The implied volatility smirk of commodity options. (2021). Ruan, Xinfeng ; Jia, Xiaolan ; Zhang, Jine.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:1:p:72-104.

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24. The joint cross section of stocks and options. (2021). Chordia, Tarun ; Muravyev, Dmitriy ; Subrahmanyam, Avanidhar ; Kurov, Alexander.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1758-1778.

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25. Information Content of Aggregate Implied Volatility Spread. (2021). han, bing ; Li, Gang.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1249-1269.

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26. Do fund managers time implied tail risk? — Evidence from Chinese mutual funds. (2021). Ni, Zhongxin ; Li, Weishu ; Wang, Linyu.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000974.

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27. Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies. (2021). Wang, Qingwei ; Ding, Wenjie ; Mazouz, Khelifa.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:63:y:2021:i:c:p:42-56.

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28. What do we know about individual equity options?. (2020). Verousis, Thanos ; Bernales, Alejandro ; Voukelatos, Nikolaos ; Zhang, Mengyu.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:40:y:2020:i:1:p:67-91.

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29. Predicting the equity premium with the implied volatility spread. (2020). Simin, Timothy ; Xiao, Han ; Cao, Charles.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:51:y:2020:i:c:s1386418119303611.

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30. Predicting the equity premium with the implied volatility spread. (2019). Xiao, Han ; Simin, Timothy ; Cao, Charles.
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    RePEc:pra:mprapa:103651.

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31. Moment spreads in the energy market. (2019). Ruan, Xinfeng ; Zhang, Jine.
    In: Energy Economics.
    RePEc:eee:eneeco:v:81:y:2019:i:c:p:598-609.

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32. Slow diffusion of information and price momentum in stocks: Evidence from options markets. (2017). Chen, Zhuo ; Lu, Andrea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:75:y:2017:i:c:p:98-108.

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33. Tail risk premia and return predictability. (2015). Bollerslev, Tim ; Todorov, Viktor ; Xu, Lai.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:1:p:113-134.

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34. Aggregate volatility expectations and threshold CAPM. (2015). Salih, Aslihan ; ARISOY, Yakup ; Akdeniz, Levent ; Altay-Salih, Aslihan.
    In: The North American Journal of Economics and Finance.
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35. Options-implied variance and future stock returns. (2014). Qiu, Buhui ; Guo, Hui.
    In: Journal of Banking & Finance.
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36. The information content of risk-neutral skewness for volatility forecasting. (2013). Byun, Suk Joon ; Kim, Junsik.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:23:y:2013:i:c:p:142-161.

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