The cross-sectional variation of volatility risk premia
Year of publication: |
February 2016
|
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Authors: | González-Urteaga, Ana ; Rubio, Gonzalo |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 119.2016, 2, p. 353-370
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Subject: | Volatility risk premia | Stochastic discount factor | Consumption-based models | Linear factor models | Default premium | CAPM | Theorie | Theory | Risikoprämie | Risk premium | Volatilität | Volatility |
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