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Oleg Bondarenko
Oleg Bondarenko
Verified email at uic.edu
Title
Cited by
Cited by
Year
Why are put options so expensive?
O Bondarenko
The Quarterly Journal of Finance 4 (03), 1450015, 2014
3042014
Statistical arbitrage and securities prices
O Bondarenko
The Review of Financial Studies 16 (3), 875-919, 2003
1892003
Construction and interpretation of model-free implied volatility
TG Andersen, O Bondarenko
National Bureau of Economic Research, 2007
1442007
Estimation of risk-neutral densities using positive convolution approximation
O Bondarenko
Journal of Econometrics 116 (1-2), 85-112, 2003
1422003
Market price of variance risk and performance of hedge funds
O Bondarenko
AFA 2006 boston meetings paper, 2004
1392004
VPIN and the flash crash
TG Andersen, O Bondarenko
Journal of Financial Markets 17, 1-46, 2014
1362014
Exploring Return Dynamics via Corridor Implied Volatility
TG Andersen, O Bondarenko, MT Gonzalez-Perez
Review of Financial Studies, forthcoming. Available at SSRN 1787528, 2015
1292015
Variance trading and market price of variance risk
O Bondarenko
Journal of Econometrics 180 (1), 81-97, 2014
1182014
Competing market makers, liquidity provision, and bid–ask spreads
O Bondarenko
Journal of Financial Markets 4 (3), 269-308, 2001
772001
Reflecting on the VPIN dispute
TG Andersen, O Bondarenko
Journal of Financial Markets 17, 53-64, 2014
622014
Assessing measures of order flow toxicity and early warning signals for market turbulence
TG Andersen, O Bondarenko
Review of Finance 19 (1), 1-54, 2015
512015
Expectations and learning in Iowa
O Bondarenko, P Bossaerts
Journal of Banking & Finance 24 (9), 1535-1555, 2000
512000
Intraday trading invariance in the E-mini S&P 500 futures market
TG Andersen, O Bondarenko, AS Kyle, AA Obizhaeva
Anna A., Intraday Trading Invariance in the E-Mini S&P 500, 2018
442018
Recovering risk-neutral densities: A new nonparametric approach
O Bondarenko
EFA, 2000
392000
The fine structure of equity-index option dynamics
TG Andersen, O Bondarenko, V Todorov, G Tauchen
Journal of Econometrics 187 (2), 532-546, 2015
332015
Specialist participation and limit orders
O Bondarenko, J Sung
Journal of Financial Markets 6 (4), 539-571, 2003
292003
Why Are Puts So Expensive?
O Bondarenko
Unpublished working paper, University of Illinois, Chicago, 2003
272003
Coherent model-free implied volatility: A corridor fix for high-frequency VIX
TG Andersen, O Bondarenko, MT Gonzalez-Perez
CREATES research papers, 2011
212011
Dissecting the pricing of equity index volatility
TG Andersen, O Bondarenko
Unpublished manuscript, Northwestern University and University of Illinois …, 2010
212010
Testing rationality of financial markets
OP Bondarenko
California Institute of Technology, 1998
181998
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