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Publications by Peter H. Ritchken

Hedging in the Possible Presence of Unspanned Stochastic Volatility: Evidence From Swaption Markets

SSRN Electronic Journal

English

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Optimal Discrete Hedging in the Heston Stochastic Volatility Model

SSRN Electronic Journal

English

Can Interest Rate Volatility Be Extracted From the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility

English

The Volatility Effect: Recent Evidence From Indian Markets

Theoretical Economics Letters

English

It's All About Volatility of Volatility: Evidence From a Two-Factor Stochastic Volatility Model

Journal of Empirical Finance

English

The Connectedness Between Crude Oil and Financial Markets: Evidence From Implied Volatility Indices

Journal of Commodity Markets

English

Dynamic Consumption and Portfolio Choice With Stochastic Volatility in Incomplete Markets

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Stock Market Volatility and Presidential Election Uncertainty: Evidence From Political Futures Markets

Journal of Applied Business Research

International Management

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Do Commodity Investors Herd? Evidence From a Time-Varying Stochastic Volatility Model

Resources Policy

Political Science

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Stochastic Volatility of Volatility in Continuous Time

SSRN Electronic Journal

English