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Jericha, Erwin; Schürz, Martin - 2006

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Persistent link: https://www.econbiz.de/10003401530

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Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of the variance of idiosyncratic returns. The estimation is...

Persistent link: https://www.econbiz.de/10011410917