Empirical asset pricing with multi-period disaster risk : a simulation-based approach
Jantje Sönksen, Joachim Grammig
| Year of publication: |
2021
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|---|---|
| Authors: | Sönksen, Jantje ; Grammig, Joachim |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,3, p. 805-832
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| Subject: | Empirical asset pricing | Multi-period disasters | Simulation-based estimation | Katastrophe | Disaster | Simulation | Risikoprämie | Risk premium | CAPM | Kapitalmarkttheorie | Financial economics | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.08.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619790