The market price of risk of the variance term structure
George Dotsis
| Year of publication: |
November 2017
|
|---|---|
| Authors: | Dotsis, George |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 84.2017, p. 41-52
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| Subject: | Stochastic variance | Variance term structure | Cross-section of returns | Theorie | Theory | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | CAPM | Varianzanalyse | Analysis of variance | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.10.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011816835