Research outputs
2024
Risk Shocks and Business Cycles: Evidence from Credit Options
2023
Option-Based Volatility Timing
2021
Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation-Protected Securities of Six Countries
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.12849
Same firm, two volatilities: How variance risk is priced in credit and equity markets
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, 22 pages. doi:10.1016/j.jcorpfin.2021.101885
Machine Learning Predictions of Credit and Equity Risk Premia
2020
Extrapolation and Cognitive Dissonance in the Market for Credit Risk
Kita, A. (2020). Extrapolation and Cognitive Dissonance in the Market for Credit Risk. doi:10.2139/ssrn.3740487
2015
Investor attention and FX market volatility
Goddard, J., Kita, A., & Wang, Q. (2015). Investor attention and FX market volatility. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 38, 79-96. doi:10.1016/j.intfin.2015.05.001
2014
Speculate against speculative demand
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.2014.03.001