The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period

References

• Abreu D., Brunnermeier M. Bubbles and crashes. Econometrica (2003) 71(3):173–204Crossref, Google Scholar
• Aït-Sahalia Y., Lo A. Nonparametric estimation of state-price densities implicit in financial asset prices. J. Finance (1998) 53(2):499–547Crossref, Google Scholar
• Bakshi G., Cao C., Chen Z. Empirical performance of alternative option pricing models. J. Finance (1997) 52(5):2003–2049Crossref, Google Scholar
• Bakshi G., Carr P., Wu L. Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies. J. Financial Econom. (2008) 87(1):132–156Crossref, Google Scholar
• Battalio R., Schultz P. Options and the bubble. J. Finance (2006) 61(5):2071–2102Crossref, Google Scholar
• Birru J., Figlewski S. Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008. (2009) . Working paper, New York University, New YorkGoogle Scholar
• Black F., Scholes M. The pricing of options and corporate liabilities. J. Political Econom. (1973) 81(3):637–654Crossref, Google Scholar
• Bliss R. R., Panigirtzoglou N. Option-implied risk aversion estimates. J. Finance (2004) 59(1):407–446Crossref, Google Scholar
• Bollen N., Whaley R. Does net buying pressure affect the shape of implied volatility functions? J. Finance (2004) 59(2):711–753Crossref, Google Scholar
• Bollerslev T. Generalized autoregressive conditional heteroskedasticity. J. Econometrics (1986) 31(3):307–327Crossref, Google Scholar
• Bollerslev T., Todorov V. Tails, fears, and risk premia. (2009) . Working paper, Duke University, Durham, NCCrossref, Google Scholar
• Brunnermeier M., Nagel S. Hedge funds and the technology bubble. J. Finance (2004) 59(5):2013–2040Crossref, Google Scholar
• Carr P., Madan D. Option valuation using the fast Fourier transform. J. Comput. Finance (1999) 2(4):61–73Crossref, Google Scholar
• Carr P., Wu L. Time-changed Lévy processes and option pricing. J. Financial Econom. (2004) 71(1):113–141Crossref, Google Scholar
• Christoffersen P., Jacobs K., Ornthanalai C., Wang Y. Option valuation with long-run and short-run volatility components. J. Financial Econom. (2008) 90(3):272–297Crossref, Google Scholar
• Dhar R., Goetzmann W. N. Bubble investors: What were they thinking? (2005) . Yale ICF Working Paper 05-01, Yale International Center for Finance, Yale School of Management, New Haven, CTGoogle Scholar
• Engle R. F. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica (1982) 50(4):987–1007Crossref, Google Scholar
• Figlewski S., Bollerslev T., Russell J. R., Watson M. Estimating the implied risk neutral density for the U.S. market portfolio. Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle (2009) (Oxford University Press, Oxford, UK) 323–353Google Scholar
• Garber P. Tulipmania. J. Political Econom. (1989) 97(3):535–560Crossref, Google Scholar
• Griffin J., Harris J., Topaloglu S. Who drove and burst the tech bubble? (2004) . Working paper, University of Texas, AustinGoogle Scholar
• Heston S. Closed-form solution for options with stochastic volatility, with application to bond and currency options. Rev. Financial Stud. (1993) 6(2):327–343Crossref, Google Scholar
• Hong H., Scheinkman J., Xiong W. Asset float and speculative bubbles. J. Finance (2006) 61(3):1073–1117Crossref, Google Scholar
• Huang J., Wu L. Specification analysis of option pricing models based on time-changed Lévy processes. J. Finance (2004) 59(3):1405–1440Crossref, Google Scholar
• Jones C. A nonlinear factor analysis of S&P 500 index option returns. J. Finance (2006) 61(5):2325–2363Crossref, Google Scholar
• Kalman R. E. A new approach to linear filtering and prediction problems. Trans. ASME J. Basic Engrg. (1960) 82(Series D):35–45Crossref, Google Scholar
• Kindleberger C.Manias, Panics, and Crashes: A History of Financial Crises (2000) 4th ed.(John Wiley & Sons, New York) Google Scholar
• Kou S. A jump-diffusion model for option pricing. Management Sci. (2002) 48(8):1086–1101Link, Google Scholar
• Küchler U., Sørensen M.Exponential Families of Stochastic Processes (1997) (Springer, New York) Crossref, Google Scholar
• Lakonishok J., Lee I., Pearson N., Poteshman A. Option market activity. Rev. Financial Stud. (2007) 20(3):813–857Crossref, Google Scholar
• Lamont O., Thaler R. Can the market add and subtract? Mispricing in tech stock carve-outs. J. Political Econom. (2003) 58(3):1113–1138Google Scholar
• LeRoy S. Rational exuberance. J. Econom. Literature (2004) 42(3):783–804Crossref, Google Scholar
• Li H., Wells M., Yu L. A Bayesian analysis of return dynamics with Lévy jumps. Rev. Financial Stud. (2008) 21(5):2345–2378Crossref, Google Scholar
• Merton R. C. Option pricing when underlying stock returns are discontinuous. J. Financial Econom. (1976) 3(1):125–144Crossref, Google Scholar
• Ofek E., Richardson M. The valuation and market rationality of Internet stock prices. Oxford Rev. Econom. Policy (2002) 18(3):265–287Crossref, Google Scholar
• Ofek E., Richardson M. DotCom mania: The rise and fall of Internet stock prices. J. Finance (2003) 58(3):1113–1137Crossref, Google Scholar
• Pástor Ľ., Veronesi P. Was there a Nasdaq bubble in the late 1990s? J. Financial Econom. (2006) 81(1):61–100Crossref, Google Scholar
• Santa-Clara P., Yan S. Crashes, volatility, and the equity premium: Lessons from S&P 500 index options. Rev. Econom. Statist. (2010) 92(2):435–451Crossref, Google Scholar
• Scheinkman J., Xiong W. Overconfidence and speculative bubbles. J. Political Econom. (2003) 111(6):1183–1219Crossref, Google Scholar
• Schwert G. W. Stock volatility in the new millennium: How wacky is Nasdaq? J. Monetary Econom. (2002) 49(1):3–26Crossref, Google Scholar
• Temin P., Voth H.-J. Riding the South Sea bubble. Amer. Econom. Rev. (2004) 94(5):1654–1668Crossref, Google Scholar
• Wan E. A., van der Merwe R., Haykin S. The unscented Kalman filter. Kalman Filtering and Neural Networks (2001) (John Wiley & Sons, New York) 221–280Chap. 7Crossref, Google Scholar