Empirical asset pricing with multi-period disaster risk : a simulation-based approach
Year of publication: |
2021
|
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Authors: | Sönksen, Jantje ; Grammig, Joachim |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,3, p. 805-832
|
Subject: | Empirical asset pricing | Multi-period disasters | Simulation-based estimation | Simulation | Katastrophe | Disaster | Risikoprämie | Risk premium | CAPM | Schätztheorie | Estimation theory | Kapitalmarkttheorie | Financial economics |
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