Almeida, Caio, Ardison, Kim, Freire, Gustavo, Garcia, René and Orlowski, Piotr
(2024)
High-Frequency Tail Risk Premium and Stock Return Predictability.
Journal of Financial and Quantitative Analysis, vol.59 (n°8).
pp. 3633-3670.
Daures-Lescouret, Laurence and Moinas, Sophie
(2023)
Fragmentation and strategic market-making.
Journal of Financial and Quantitative Analysis, vol. 58 (n° 4).
pp. 1675-1700.
Christoffersen, Peter, Fenou, Bruno, Jacobs, Kris and Meddahi, Nour
(2014)
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation.
Journal of Financial and Quantitative Analysis, 49 (3).
pp. 663-697.