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Three essays in international finance and financial economics

Hu, Xiaoqiang - 1994

Persistent link: https://www.econbiz.de/10000916084

Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296

Persistent link: https://www.econbiz.de/10011657223

Volatility risk premium decomposition of LIFFE equity options

Lin, Bing-huei; Lin, Yueh-neng; Chen, Yin-jung - In: International review of economics & finance : IREF 24 (2012), pp. 315-326

Persistent link: https://www.econbiz.de/10009690153

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

Jump, diffusion, and long-term volatility risks with incremental information in VIX assets

Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96

Persistent link: https://www.econbiz.de/10012486031

Bond risk premia and restrictions on risk prices

Hevia, Constantino; Sola, Martin - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-22

minor effects on the extracted factors and some measures of risk premia, such as the forward risk premium, they may have a … large impact on other measures of risk premia that is often ignored. In this paper, we analyze how apparently innocuous … overidentifying restrictions imposed on affine term structure models can lead to large differences in several measures of risk …

Persistent link: https://www.econbiz.de/10011961381