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Estimating the risk premium in a multi-sector stochastic endogenous growth model

Jakobsen, Jan Bo; Podivinsky, Jan M. - 1993

Persistent link: https://www.econbiz.de/10000894314

Recent estimates of time-variation in the conditional variance and in the exchange risk premium

Frankel, Jeffrey A. - 1987

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Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying

Chesney, Marc (contributor) - 1993

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Specification analysis of affine term structure models

Dai, Qiang; Singleton, Kenneth J. - 1997

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Estimates of foreign exchange risk premia : a pricing kernel approach

Cappiello, Lorenzo; Panigirtzoglou, Nikolaos - In: Empirical economics : a journal of the Institute for … 35 (2008) 3, pp. 475-495

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Pricing model performance and the two-pass cross-sectional regression methodology

Kan, Raymond; Robotti, Cesare; Shanken, Jay - 2009

Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...