Risk premia and volatilities in a nonlinear term structure model
Year of publication: |
2018
|
---|---|
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
|
Subject: | Nonlinear term structure models | Expected excess returns | Stochastic volatility | Unspanned Risk Premia | Unspanned Stochastic Volatility | Zinsstruktur | Yield curve | Volatilität | Volatility | Risikoprämie | Risk premium | Theorie | Theory | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Schätzung | Estimation | CAPM |
-
The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis
Müller, Gernot, (2011)
-
Bond risk premia in consumption‐based models
Creal, Drew, (2020)
-
Macroeconomic volatilities and long-run risks of asset prices
Zhou, Guofu, (2015)
- More ...
-
Risk premia, volatilities, and sharpe ratios in a nonlinear term structure model
Feldhütter, Peter, (2013)
-
Beliefs about Inflation and the Term Structure of Interest Rates
Illeditsch, Philipp, (2009)
-
Disagreement about inflation and the yield curve
Ehling, Paul, (2018)
- More ...