Risk premia and volatilities in a nonlinear term structure model
Peter Feldhütter, Christian Heyerdahl-Larsen, and Philipp Illeditsch
| Year of publication: |
2018
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|---|---|
| Authors: | Feldhütter, Peter ; Heyerdahl-Larsen, Christian ; Illeditsch, Philipp |
| Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford Univ. Press, ISSN 1572-3097, ZDB-ID 2145284-2. - Vol. 22.2018, 1, p. 337-380
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| Subject: | Nonlinear term structure models | Expected excess returns | Stochastic volatility | Unspanned Risk Premia | Unspanned Stochastic Volatility | Volatilität | Volatility | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Theorie | Theory | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Erwartungsbildung | Expectation formation | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/rof/rfw052 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011990795