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Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property

Chen, Sonnan; Gu, Yuchi - In: Review of quantitative finance and accounting 56 (2021) 4, pp. 1357-1397

Persistent link: https://www.econbiz.de/10012549807

Option pricing under time-varying risk-aversion with applications to risk forecasting

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Reconciling negative return skewness with positive time-varying risk premia

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The impact of asset price bubbles on credit risk measures

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Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set

Sala, Carlo; Barone-Adesi, Giovanni - 2015

Supported by empirical examples, this paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental theorems of asset pricing. While inferring the...

Persistent link: https://www.econbiz.de/10011506352