The term structure of equity and variance risk premia
Yacine Aït-Sahalia, Mustafa Karaman, Loriano Mancini
| Year of publication: |
2020
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|---|---|
| Authors: | Aït-Sahalia, Yacine ; Karamann, Mustafa ; Mancini, Loriano |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 219.2020, 2, p. 204-230
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| Subject: | Equity risk premium | Likelihood approximation | Stochastic volatility | Term structure | Variance risk premium | Variance swap | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Volatilität | Volatility | Schätzung | Estimation | Theorie | Theory | Swap | CAPM | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.03.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012483319