2024
2023
Option-Based Volatility Timing (Journal article)
Kita, A., Ronchetti, D., & Zhang, Y. (n.d.). Option-Based Volatility Timing. SSRN Electronic Journal. doi:10.2139/ssrn.4391540DOI: 10.2139/ssrn.4391540
2021
Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation‐Protected Securities of Six Countries (Journal article)
KITA, A., & TORTORICE, D. L. (2021). Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation‐Protected Securities of Six Countries. Journal of Money, Credit and Banking, 53(6), 1417-1448. doi:10.1111/jmcb.12849DOI: 10.1111/jmcb.12849
Same firm, two volatilities: How variance risk is priced in credit and equity markets (Journal article)
Kita, A., & Tortorice, D. L. (2021). Same firm, two volatilities: How variance risk is priced in credit and equity markets. Journal of Corporate Finance, 69, 101885. doi:10.1016/j.jcorpfin.2021.101885DOI: 10.1016/j.jcorpfin.2021.101885
Machine Learning Predictions of Credit and Equity Risk Premia (Journal article)
Kita, A. (n.d.). Machine Learning Predictions of Credit and Equity Risk Premia. SSRN Electronic Journal. doi:10.2139/ssrn.3800205DOI: 10.2139/ssrn.3800205
2020
Extrapolation and Cognitive Dissonance in the Market for Credit Risk (Journal article)
Kita, A. (n.d.). Extrapolation and Cognitive Dissonance in the Market for Credit Risk. SSRN Electronic Journal. doi:10.2139/ssrn.3740487DOI: 10.2139/ssrn.3740487
2015
Investor attention and FX market volatility (Journal article)
Goddard, J., Kita, A., & Wang, Q. (2015). Investor attention and FX market volatility. Journal of International Financial Markets, Institutions and Money, 38, 79-96. doi:10.1016/j.intfin.2015.05.001DOI: 10.1016/j.intfin.2015.05.001
2014
Speculate against speculative demand (Journal article)
ap Gwilym, O., Kita, A., & Wang, Q. (2014). Speculate against speculative demand. International Review of Financial Analysis, 34, 212-221. doi:10.1016/j.irfa.2014.03.001DOI: 10.1016/j.irfa.2014.03.001
