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Publications by Chayawat Ornthanalai

Exploring Time-Varying Jump Intensities: Evidence From S&P500 Returns and Options

SSRN Electronic Journal

English

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Oil and Stock Returns: Evidence From European Industrial Sector Indices in a Time-Varying Environment

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Parametric Pricing of Higher Order Moments in S&P500 Options

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Misunderestimation: Exponential-Growth Bias and Time-Varying Returns

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The S&P500 Index Effect Reconsidered: Evidence From Overnight and Intraday Stock Price Performance and Volume

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Value Versus Growth: Time-Varying Expected Stock Returns

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Modelling Momentum Winner/Loser Asymmetry: The Sources of Winner and Loser Returns in the ASX200 and S&P500

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Sign Realized Jump Risk and the Cross-Section of Stock Returns: Evidence From China's Stock Market

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The Forecasting Ability of GARCH Models for the 2003–07 Crisis: Evidence From S&P500 Index Volatility

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How to Discount Cashflows With Time-Varying Expected Returns

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