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Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters
Faria, Adriano; Ornelas, Rafael; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 43-62
Persistent link: https://www.econbiz.de/10011538973
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A non-linear dynamic model of the variance risk premium
Eraker, Bjørn; Wang, Jiakou - In: Journal of econometrics 187 (2015) 2, pp. 547-556
Persistent link: https://www.econbiz.de/10011499758
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Consumption-based asset pricing with rare disaster risk : a simulated method of moments approach ; conference paper
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensations for unlikely but calamitous risks that they happened not to incur. While convincing in theory, empirical tests of the rare disaster...
Persistent link: https://www.econbiz.de/10010491152
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Conditional pricing of currency risk in Africa's equity market
Kodongo, Odongo; Ojah, Kalu - 2018
Persistent link: https://www.econbiz.de/10012024284
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Macro liquidity risk, money growth, and the cross-section of stock returns : the case of Korea
Jung, Hosung; Kim, Dongcheol - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1438-1454
Persistent link: https://www.econbiz.de/10011563532
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Momentum and downside risk
Min, Byoung-Kyu; Kim, Tong Suk - In: Journal of banking & finance 72 (2016), pp. 104-118
Persistent link: https://www.econbiz.de/10011637082
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Efficiency in large dynamic panel models with common factors
Gagliardini, Patrick; Gouriéroux, Christian - In: Econometric theory 30 (2014) 5, pp. 961-1020
Persistent link: https://www.econbiz.de/10010502133
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Conditional pricing of currency risk in Africa's equity markets
Kodongo, Odongo; Ojah, Kalu - In: Emerging markets review 21 (2014), pp. 133-155
Persistent link: https://www.econbiz.de/10011304333
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Rare disaster risk and asset prices : theoretical considerations, econometric methodology, and empirical analyses
Sönksen, Jantje - 2017
Persistent link: https://www.econbiz.de/10012200715
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Skewness risk and bond prices
Ruge-Murcia, Francisco Javier - In: Journal of applied econometrics 32 (2017) 2, pp. 379-400
Persistent link: https://www.econbiz.de/10011690214