✦ LIBER ✦

Time-varying risk premia

✍ Scribed by Robert M. Anderson

Book ID: 113723163
Publisher: Elsevier Science
Year: 2011
Tongue: English
Weight: 151 KB
Volume: 47
Category: Article
ISSN: 0304-4068
DOI: 10.1016/j.jmateco.2010.12.010

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

EMS exchange rate expectations and time-

EMS exchange rate expectations and time-varying risk premia

✍ Frederick G.M.C. Nieuwland; Willem F.C. Verschoor; Christian C.P. Wolff 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 38 KB

Heterogeneous Beliefs, the Term Structur

Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia

✍ Min Fan 📂 Article 📅 2006 🏛 Springer 🌐 English ⚖ 225 KB

The effect of time-varying covariances o

The effect of time-varying covariances on asset risk premia

✍ Prasad Nanisetty; Rakesh Bharati; Manoj Gupta 📂 Article 📅 1996 🏛 Springer US 🌐 English ⚖ 819 KB

Time-varying jump risk premia in stock i

Time-varying jump risk premia in stock index futures returns

✍ Wing Hong Chan; Liling Feng 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 453 KB

## Abstract This study tests the presence of time‐varying risk premia associated with extreme news events or jumps in stock index futures return. The model allows for a dynamic jump component with autoregressive jump intensity, long‐range dependence in volatility dynamics, and a volatility in mean

Uncovered interest parity, monetary poli

Uncovered interest parity, monetary policy and time-varying risk premia

✍ Peter Anker 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 100 KB

Stationary time-varying risk premia in f

Stationary time-varying risk premia in forward foreign exchange rates

✍ Philip A Shively 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 80 KB