Characterizing the variance risk premium : the role of the leverage effect
Year of publication: |
2022
|
---|---|
Authors: | Hu, Guanglian ; Jacobs, Kris ; Seo, Sang Byung |
Published in: |
Review of asset pricing studies : RAPS. - Oxford : Oxford Univ. Press, ISSN 2045-9939, ZDB-ID 2600932-8. - Vol. 12.2022, 2, p. 500-542
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Subject: | Risikoprämie | Risk premium | Korrelation | Correlation | Volatilität | Volatility | Dividende | Dividend | Gleichgewichtsmodell | Equilibrium model |
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