Bjørn Eraker Home Page

William B. Nygren Professor of Finance 

Wisconsin School of Business 


Contact information:

5274A Grainger Hall 

53706 Madison, WI 


e-mail: bjorn dot eraker at  wisc dot edu 


Curriculum Vitae




"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 


Working Papers:

"Predictability Puzzles," New March 2017

Market Maker Inventory, Bid-Ask Spreads, and the Computation of Option Implied Risk Measures” April 2017. With Daniela Osterrieder

"The Volatility Premium," Updated Dec 2012

"Dynamic Present Values and the Intertemporal CAPM." With Wenyu Wang. These slides contain additional empirical results.





340 Fixed Income

740 Fixed Income