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Estimating and testing beta pricing models on industries

Hammami, Yacine; Lindahl, Anna - In: Journal of economics & business 69 (2013), pp. 45-63

Persistent link: https://www.econbiz.de/10010236663

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

Kan, Raymond; Robotti, Cesare; Shanken, Jay - In: The journal of finance : the journal of the American … 68 (2013) 6, pp. 2617-2649

Persistent link: https://www.econbiz.de/10010237376

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

Economic volatility and sovereign yields' determinants : a time-varying approach

Afonso, António; Jalles, João Tovar - 2015

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Approximating risk premium on a parametric arbitrage-free term structure model

Almeida, Caio; Ardison, Kym; Kubudi, Daniela - In: Brazilian review of econometrics : BRE ; the review of … 34 (2014) 2, pp. 203-246

Persistent link: https://www.econbiz.de/10011538792

Bond pricing with a time-varying price of risk in an estimated medium-scale Bayesian DSGE model

Dew-Becker, Ian - In: Journal of money, credit and banking : JMCB 46 (2014) 5, pp. 837-888

Persistent link: https://www.econbiz.de/10010466708

Kernel type estimator of the reinsurance premium for heavy-tailed loss distributions

Benkhelifa, Lazhar - In: Insurance / Mathematics & economics 59 (2014), pp. 65-70

Persistent link: https://www.econbiz.de/10010469183

An empirical investigation of asset pricing models under divergent lending and borrowing rates

Hammami, Yacine - In: Financial markets and portfolio management 28 (2014) 3, pp. 263-279

Persistent link: https://www.econbiz.de/10010399273

Cross-sectional regression of returns on betas and portfolio grouping procedures

Hur, Jungshik; Kumar, Raman; Vivek Singh - In: International journal of business and systems research 8 (2014) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10010423288

Modeling risk premia in forward foreign exchange rates as unobserved components : the model identification problem

Chouikh, Aziz; Trabelsi, Abdelwahed - In: International journal of financial research 5 (2014) 3, pp. 119-135

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