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Maximum likelihood estimation of the equity premium

Avdis, Efstathios; Wachter, Jessica - In: Journal of financial economics 125 (2017) 3, pp. 589-609

Persistent link: https://www.econbiz.de/10011751863

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Semiparametric estimation of risk-return relationships

Escanciano, Juan Carlos; Pardo-Fernández, Juan Carlos; … - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10011704099

Long- and short-run components of factor betas : implications for stock pricing

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - In: Journal of international financial markets, … 74 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012803274

Time-varying predictability of the long horizon equity premium based on semiparametric regressions

Yu, Deshui; Li, Chen; Li, Luyang - In: Economics letters 224 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014307887

Score-driven asset pricing : predicting time-varying risk premia based on cross-sectional model performance

Umlandt, Dennis - In: Journal of econometrics 237 (2023) 2,3, pp. 1-26

Persistent link: https://www.econbiz.de/10014471829

Robust inference for consumption-based asset pricing with power

Kroencke, Tim-Alexander - In: Critical finance review 14 (2025) 1, pp. 129-178

Persistent link: https://www.econbiz.de/10015409949

Estimating the marginal law of a time series with applications to heavy-tailed distributions

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 412-425

Persistent link: https://www.econbiz.de/10010337860

Non-parametric estimation of copula parameters : testing for time-varying correlation

Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10011311193

Reexamining the likelihood of extreme returns in international stock market

Wang, Yun-Yi; Kao, Tzu-Chuan; Lin, Chu-Hsiung; Wei, Tsun-Jen - In: Investment management and financial innovations 12 (2015) 4, pp. 106-114

Persistent link: https://www.econbiz.de/10011575057

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