Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options

B-Tier

Journal: Management Science

Year: 2009

Volume: 55

Issue: 8

Pages: 1292-1305

Authors (2)

Ruslan Bikbov (not in RePEc) Mikhail Chernov (University of California-Los A...)

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count