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Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of banking & finance 32 (2008) 10, pp. 2006-2021

Persistent link: https://www.econbiz.de/10003778569

Bond risk premia and realized jump risk

Wright, Jonathan H.; Zhou, Hao - In: Journal of banking & finance 33 (2009) 12, pp. 2333-2345

Persistent link: https://www.econbiz.de/10003905578

Local IPOs, local delistings, and the firm location premium

Baschieri, Giulia; Carosi, Andrea; Mengoli, Stefano - In: Journal of banking & finance 53 (2015), pp. 67-83

Persistent link: https://www.econbiz.de/10011377701

Credit default swap spreads and variance risk premia

Wang, Hao; Zhou, Hao; Zhou, Yi - In: Journal of banking & finance 37 (2013) 10, pp. 3733-3746

Persistent link: https://www.econbiz.de/10010126846

Stock return predictability and variance risk premia : statistical inference and international evidence

Bollerslev, Tim; Marrone, James; Xu, Lai; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 633-661

Persistent link: https://www.econbiz.de/10010487089

Good Jumps, Bad Jumps, and Conditional Equity Premium

Guo, Hui - 2019

We uncover significant asymmetric effects of realized jump risks on conditional equity premium. Negative or ``bad'' (positive or ``good'') jumps predict a rising (falling) near-term equity premium. The signed jump risk measures remain statistically significant even when we control for the...

Persistent link: https://www.econbiz.de/10012904660

A space-time random field model for electricity forward prices

Benth, Fred Espen; Paraschiv, Florentina - In: Journal of banking & finance 95 (2018), pp. 203-216

Persistent link: https://www.econbiz.de/10011966749