Publications
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Here listed my published and current papers.
Tzeng LT 2026JFO The market characteristics and the determinants of TX price jumps_final.pdfCredit spreads and bankruptcy information from options data201408 to AFE.pdfTzeng T 2018JFS Information content of continuous and jump decomposition of variances.pdfInformation about price and volatility jumps 31 January 2018.pdfTzeng Tsai Risk-premia-and-return-predictability-related-to-the-indexes-and-individual-firms_Final.pdfBankruptcy Probabilities inferred from option prices 20130709 sjt.pdf(JFS Best Paper Award-2014 TFA) The predictive power of option-implied densities from high-frequency data201409.pdfPage updated
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