Sebastian Gehricke
Title
Cited by
Cited by
Year
Modeling vxx
SA Gehricke, JE Zhang
Journal of Futures Markets 38 (8), 958-976, 2018
192018
The implied volatility smirk in the VXX options market
SA Gehricke, JE Zhang
Applied Economics 52 (8), 769-788, 2020
92020
How do US options traders “smirk” on China? Evidence from FXI options
J Li, SA Gehricke, JE Zhang
Journal of Futures Markets 39 (11), 1450-1470, 2019
82019
Modeling VXX under jump diffusion with stochastic long‐term mean
SA Gehricke, JE Zhang
Journal of Futures Markets 40 (10), 1508-1534, 2020
62020
Trump vs. Paris: The impact of climate policy on US listed oil and gas firm returns and volatility
I Diaz-Rainey, SA Gehricke, H Roberts, R Zhang
International Review of Financial Analysis 76, 101746, 2021
22021
How Do Chinese Option-Traders “smirk” on China: Evidence from SSE 50 ETF Options.”
T Yue, S Gehricke, JE Zhang, Z Pan
Working Paper, 2019
22019
The implied volatility smirk in SPY options
W Guo, SA Gehricke, X Ruan, JE Zhang
Applied Economics 53 (23), 2671-2692, 2021
12021
Tracking performance of VIX futures ETPs
SA Gehricke, JE Zhang
Journal of Empirical Finance 61, 103-117, 2021
12021
The implied volatility smirk in the Chinese equity options market
T Yue, SA Gehricke, JE Zhang, Z Pan
Pacific-Basin Finance Journal 69, 101624, 2021
2021
National air pollution and the cross-section of stock returns in China
S Kirk-Reeve, SA Gehricke, X Ruan, JE Zhang
Journal of Behavioral and Experimental Finance, 100572, 2021
2021
Implied volatility smirk in the Australian dollar market
CJA Stuart, SA Gehricke, JE Zhang, X Ruan
Accounting & Finance, 2021
2021
The Role of Fundamentals and Policy in New Zealand’s Carbon Prices
L Liao, I Diaz-Rainey, S Gehricke, D Kuruppuarachchi
University of Otago, 2021
2021
International Comparison of the Efficiency of Electricity Futures
F Bevin-McCrimmon, I Diaz-Rainey, S Gehricke, G Sise
USAEE Working Paper, 2020
2020
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Articles 1–13