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Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - 2021

Persistent link: https://www.econbiz.de/10012508216

Volatility modeling of the JSE all share index and risk estimation using the Bayesian and frequentist approaches

Sigauke, Casto - In: Economics, management and financial markets 11 (2016) 4, pp. 33-48

Persistent link: https://www.econbiz.de/10011868092

Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - In: Journal of financial economics 145 (2022) 2,2, pp. 553-576

Persistent link: https://www.econbiz.de/10013474424

Time-varying roles of housing risk factors in state-level housing markets

Huang, MeiChi - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4660-4683

Persistent link: https://www.econbiz.de/10013461371

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

Persistent link: https://www.econbiz.de/10011780610

Bayesian Estimation of a Dynamic Asset Pricing Model with Long-Run Risk

Rooj, Debasis - 2011

In this paper, I build a Dynamic Stochastic General Equilibrium (DSGE) model and estimate it using Bayesian Markov Chain Monte Carlo (MCMC) methods. I use the results in order to examine how asset prices and macroeconomic quantities respond to the di erent shocks in the economy. Fluctuations in...

Persistent link: https://www.econbiz.de/10013121340

Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility

Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - 2007

overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this sentiment risk …