William C. Nygren Chair in Investments
Professor of Finance
Wisconsin School of Business
5274A Grainger Hall
53706 Madison, WI
e-mail: bjorn dot eraker at wisc dot edu
“Market Maker Inventory, Bid-Ask Spreads, and the Computation of Option Implied Risk Measures” 2022. With Daniela Osterrieder. Journal of Financial Econometrics, forthcoming
" The Price of Higher Order Catastrophe Insurance: The Case of VIX Options," 2021. With Aoxiang Yang. Journal of Finance, forthcoming.
"The Volatility Premium," 2021, The Quarterly Journal of Finance, 11(3), p. 1-35.
"Explaining the Negative Returns to VIX Futures and ETNs: An Equilibrium Approach." With Yue Wu. 2017. Journal of Financial Economics, 125, p. 72-98
"Durable Goods, Inflation Risk and Equilibrium Asset Prices." With Ivan Shaliastovich and Wenyu Wang. 2016. Review of Financial Studies, 29(1), 193-231.
"A Non-Linear Dynamic Model of the Variance Risk Premium." With Jiakou Wang. 2015. Journal of Econometrics, 187(2), p. 547-556
"Bayesian Mixed Frequency VAR's" With Ching Wai Chiu, Andrew Foerster, Tae Bong Kim and Hernan Seoane. 2015, Journal of Financial Econometrics, 13 (3). p. 698-721
"Do investors overpay for stocks with lottery-like payoffs? An examination of the returns on OTC stocks." With Mark Ready. Journal of Financial Economics, 2015, 115(3), p. 486-504
"The Performance of Model Based Option Trading Strategies," Review of Derivatives Studies, 2013, Vol 16(1), p. 1-24
"An Equilibrium Guide to Designing Affine Pricing Models." With Ivan Shaliastovich. Mathematical Finance, 2008,18-4, p. 519-543
"Affine General Equilibrium Models," Management Science,2008, 54-12, p. 2068-2080.
"A Bayesian View of Temporary Components in Asset Prices," Journal of Empirical Finance, 2008,Vol 15, Issue 3, p. 503-517
"Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices," Journal of Finance, 2004, 59, p. 1367-1403
The Impact of Jumps in Returns and Volatility,” with Michael Johannes and Nicholas G. Polson, Journal of Finance, 2003, 53, p. 1269-1300
"MCMC Analysis of Diffusion Models with Application to Finance, " Journal of Business and Economic Statistics, vol 19-2, April 2001, p. 177-191
"Comment on ''Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes'' by G. B. Durham and A. R. Gallant ", Sept. 2001, JBES
"Predictability Puzzles," 2021
"Dynamic Present Values and the Intertemporal CAPM." With Wenyu Wang. These slides contain additional empirical results.