Forward-premium puzzle : is it time to abandon the usual regression?
Carlos E. da Costa, Jaime de Jesus Filho and Paulo Matos
| Year of publication: |
June 2016
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|---|---|
| Authors: | Costa, Carlos E. da ; Jesus Filho, Jaime de ; Matos, Paulo |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 48.2016, 28/30, p. 2852-2867
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| Subject: | Forward premium puzzle | return-based pricing kernel | bivariate GARCH-M | conditional log-normality | Risikoprämie | Risk premium | Theorie | Theory | CAPM | Regressionsanalyse | Regression analysis | Schätzung | Estimation | Börsenkurs | Share price | Equity-Premium-Puzzle | Equity premium puzzle | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2015.1130790 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011594564