On the pricing of overnight market risk
Year of publication: |
2020
|
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Authors: | Perras, Patrizia Julia ; Wagner, Niklas F. |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 59.2020, 3, p. 1307-1327
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Subject: | Dynamic asset pricing | Trading breaks | Equity premium | Diffusion premium | Overnight jump premium | Risikoprämie | Risk premium | CAPM | Theorie | Theory | Kapitaleinkommen | Capital income | Volatilität | Volatility | Geldmarkt | Money market | Börsenkurs | Share price | Zinsstruktur | Yield curve |
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