Sebastian Gehricke
Cited by
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Modeling vxx
SA Gehricke, JE Zhang
Journal of Futures Markets 38 (8), 958-976, 2018
The implied volatility smirk in the VXX options market
SA Gehricke, JE Zhang
Applied Economics 52 (8), 769-788, 2020
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
Modeling VXX under jump diffusion with stochastic long‐term mean
SA Gehricke, JE Zhang
Journal of Futures Markets 40 (10), 1508-1534, 2020
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
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
The implied volatility smirk in SPY options
W Guo, SA Gehricke, X Ruan, JE Zhang
Applied Economics 53 (23), 2671-2692, 2021
Tracking performance of VIX futures ETPs
SA Gehricke, JE Zhang
Journal of Empirical Finance 61, 103-117, 2021
Implied volatility smirk in the Australian dollar market
CJA Stuart, SA Gehricke, JE Zhang, X Ruan
Accounting & Finance, 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
International Comparison of the Efficiency of Electricity Futures
F Bevin-McCrimmon, I Diaz-Rainey, S Gehricke, G Sise
USAEE Working Paper, 2020
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