Option-Implied Equity Premia and the Predictability of Stock Market Returns
Year of publication: |
2012
|
---|---|
Authors: | Karoui, Mehdi |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Aktienmarkt | Stock market | Risikoprämie | Risk premium | Theorie | Theory |
Extent: | 1 Online-Ressource (43 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 19, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.1933617 [DOI] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Jin, Jianjian, (2013)
-
Option-implied information and predictability of extreme returns
Vilkovz, Grigory, (2013)
-
Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo, (2016)
- More ...
-
Option-based estimation of the price of co-skewness and co-kurtosis risk
Christoffersen, Peter F., (2015)
-
Illiquidity premia in the equity options market
Christoffersen, Peter F., (2013)
-
Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk
Christoffersen, Peter, (2017)
- More ...