Asymmetric pricing of implied systematic volatility in the cross‐section of expected returns

C-Tier

Journal: Journal of Futures Markets

Year: 2011

Volume: 31

Issue: 1

Pages: 34-54

Authors (3)

R. Jared Delisle (Utah State University) James S. Doran (Florida State University) David R. Peterson (not in RePEc)

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

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