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How is β related to asset returns?

Bollen, Bernard; Gharghori, Philip - In: Applied economics 48 (2016) 19/21, pp. 1925-1935

Persistent link: https://www.econbiz.de/10011590029

Analytical approximation of contingent claims

Larsson, Karl - 2009

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Financial system fragility models

Iancu, Aurel - 2011

This paper analyses two types of models: 1. Those based on assumptions of monetary and financial market equilibrium disturbance in line with mainstream thinking that there is self-regulating market, the units would have rational expectations, and the crisis would be a temporary phenomenon caused...

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Asset return dynamics under bad environment good environment fundamentals

Bekaert, Geert; Engstrom, Eric - 2009

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Alternative estimating methodologies of the UK industry cost of equity capital : the impact of 2007 financial crisis and market volatility

Koulafetis, Panayiota - In: International journal of economics and finance 8 (2016) 1, pp. 111-130

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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

Persistent link: https://www.econbiz.de/10009734341