Backus is from New York University and NBER, Chernov is from the London School of Economics and CEPR, and Martin is from Stanford University and NBER. We thank the many people who have given us advice, including David Bates, Michael Brandt, Rodrigo Guimaraes, Sydney Ludvigson, Monika Piazzesi, Thomas Sargent, Romeo Tedongap, Michael Woodford, and Liuren Wu, as well as participants in seminars at, and conferences sponsored by, the AEA, the Bank of England, Bocconi, CEPR (Gerzensee meetings), the Federal Reserve, Glasgow, Harvard, IDEI/SCOR (conference on extremal events), LBS, Leicester, LSE, Minnesota, MIT, Moscow HSE, NBER (summer institute), NYU, Penn, Princeton, RCEA Rimini (workshop on money and finance), SoFiE (conference on extreme events), SIFR, Toulouse (conference on financial econometrics), and UC Davis. We also thank Campbell Harvey, an associate editor, and a referee for helpful comments on earlier versions.
Disasters Implied by Equity Index Options
Version of Record online: 14 NOV 2011
© 2011 the American Finance Association
The Journal of Finance
Volume 66, Issue 6, pages 1969–2012, December 2011
How to Cite
BACKUS, D., CHERNOV, M. and MARTIN, I. (2011), Disasters Implied by Equity Index Options. The Journal of Finance, 66: 1969–2012. doi: 10.1111/j.1540-6261.2011.01697.x
- Issue online: 14 NOV 2011
- Version of Record online: 14 NOV 2011
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