Narrow search
Showing 1 - 10 of 18,160
Cover Image
Correlated cashflow shocks, asset prices, and the term structure of equity
Hasler, Michael; Khapko, Mariana - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5560-5577
Persistent link: https://www.econbiz.de/10014392946
Cover Image
Volatility and the pricing kernel
Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022
Persistent link: https://www.econbiz.de/10012816005
Cover Image
House prices, expectations, and time-varying fundamentals
Gelain, Paolo; Lansing, Kevin J. - In: Journal of empirical finance 29 (2014), pp. 3-25
Persistent link: https://www.econbiz.de/10011300508
Cover Image
Conditional equity risk premia and realized variance jump risk
Wang, Zhanglong; Wang, Kent; Pan, Zheyao - In: Australian journal of management 40 (2015) 2, pp. 295-317
Persistent link: https://www.econbiz.de/10011342801
Cover Image
Country-specific idiosyncratic risk and global equity index returns
Hueng, C. James; Yau, Ruey - In: International review of economics & finance : IREF 25 (2013), pp. 326-337
Persistent link: https://www.econbiz.de/10009693293
Cover Image
Idiosyncratic risk and expected returns in frontier markets : evidence from GCC
Bley, Jorg; Saad, Mohsen M. - In: Journal of international financial markets, … 22 (2012) 3, pp. 538-554
Persistent link: https://www.econbiz.de/10009623547
Cover Image
Are extreme returns priced in the stock market? : European evidence
Annaert, Jan; De Ceuster, Marc J.; Verstegen, Kurt - In: Journal of banking & finance 37 (2013) 9, pp. 3401-3411
Persistent link: https://www.econbiz.de/10010126415
Cover Image
Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Kim, Yunmi; Nelson, Charles R. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 307-328
Persistent link: https://www.econbiz.de/10010351545
Cover Image
Asset pricing with regime-dependent preferences and learning
Berrada, Tony; Detemple, Jérôme B.; Rindisbacher, Marcel - 2013
of risk, the interest rate, the stock market volatility, the equity premium and the moments of the consumption growth …
Persistent link: https://www.econbiz.de/10010256362
Cover Image
Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781