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Three essays on empirical asset pricing

Zhang, Xiaoyan - 2002

Persistent link: https://www.econbiz.de/10003777584

Volatility in equilibrium : asymmetries and dynamic dependencies

Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009

Persistent link: https://www.econbiz.de/10003849492

A statistical comparison of the CAPM to the Fama-French Three Factor Model and the Cahart's Model

Bello, Zakri - In: Global journal of finance and banking issues 2 (2008) 2, pp. 14-24

Persistent link: https://www.econbiz.de/10003853683

Option pricing under stochastic volatility and trading volume

Ono, Sadayuki (contributor) - 2007

Persistent link: https://www.econbiz.de/10003428523

Econometric studies of stock market behaviour

Reng Rasmussen, Anne-Sofie - 2007

Persistent link: https://www.econbiz.de/10003517316

Time-varying risk premium in large cross-sectional equidity datasets

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2011

We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning includes instruments common to all assets and asset...