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Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies
Bakshi, Gurdip S.; Carr, Peter; Wu, Liuren - In: Journal of financial economics 87 (2008) 1, pp. 132-156
Persistent link: https://www.econbiz.de/10003628900
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Joint cross-section time-series maximum likelihood estimation for the parameters of the Cox-Ingersoll-Ross bond pricing model
Daves, Phillip R. - In: The financial review : the official publication of the … 28 (1993) 2, pp. 203-237
Persistent link: https://www.econbiz.de/10001146307
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Can signal extraction help predict risk premia in foreign exchange rates
Kiani, Khurshid M. - In: Economic modelling 33 (2013), pp. 926-939
Persistent link: https://www.econbiz.de/10010195543
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Schätzung von variierenden Beta-Koeffizienten mit dem Kalman-Filter
Boos, Anna Carri - 1988
Persistent link: https://www.econbiz.de/10000746710
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Nonlinearities and risk premia in daily dollar-mark exchange rate movements
Schmidt, Roland - 1992
Persistent link: https://www.econbiz.de/10013276320
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Risk factors for the Swiss stock market
Ammann, Manuel; Steiner, Michael - In: Swiss journal of economics and statistics 144 (2008) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10003671500
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Risk factors for the Swiss stock market
Ammann, Manuel (contributor); Steiner, Michael (contributor) - 2008
Persistent link: https://www.econbiz.de/10003674158
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Estimating C-CAPM and the equity premium over the frequency domain
Kalyvitēs, Sarantēs; Panopulu, Aikaterinē - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 551-571
Persistent link: https://www.econbiz.de/10010228554
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Dynamic conditional beta
Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667
Persistent link: https://www.econbiz.de/10011623818