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subject:"CAPM"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
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CAPM
Risikoprämie
28
Risk premium
28
Estimation
15
Schätzung
15
Theorie
14
Theory
14
Capital income
12
Kapitaleinkommen
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Asset pricing
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Bond
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Stochastic process
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Stochastischer Prozess
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ARCH model
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ARCH-Modell
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Equity premium
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Erwartungsbildung
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11
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Andersen, Torben
1
Backus, David
1
Bauer, Michael D.
1
Bianchi, Daniele
1
Chen, Song Xi
1
Escanciano, Juan Carlos
1
Favero, Carlo A.
1
Fusari, Nicola
1
Gregory, Allan W.
1
Guidolin, Massimo
1
Hafner, Christian M.
1
Hördahl, Peter
1
Kyriakopoulou, Dimitra
1
Ortu, Fulvio
1
Pardo-Fernández, Juan Carlos
1
Ravazzolo, Francesco
1
Remolona, Eli M.
1
Tamoni, Andrea
1
Thimme, Julian
1
Todorov, Viktor
1
Valente, Giorgio
1
Van Keilegom, Ingrid
1
Völkert, Clemens
1
Yang, Haoxi
1
Yogo, Motohiro
1
Zou, Tao
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of financial economics
104
NBER working paper series
72
Journal of banking & finance
69
Working paper / National Bureau of Economic Research, Inc.
56
Finance research letters
50
NBER Working Paper
48
Journal of empirical finance
37
The review of financial studies
35
Journal of economic dynamics & control
33
International review of economics & finance : IREF
31
International review of financial analysis
30
The journal of finance : the journal of the American Finance Association
27
Journal of international money and finance
24
Research paper series / Swiss Finance Institute
24
The North American journal of economics and finance : a journal of financial economics studies
24
Economics letters
23
Journal of monetary economics
23
Discussion papers / CEPR
21
Journal of international financial markets, institutions & money
21
Applied economics
19
Economic modelling
19
Management science : journal of the Institute for Operations Research and the Management Sciences
19
Working paper
19
CESifo working papers
18
Pacific-Basin finance journal
18
Journal of political economy
16
Review of finance : journal of the European Finance Association
16
Review of quantitative finance and accounting
16
Discussion paper / Centre for Economic Policy Research
15
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
15
Applied financial economics
14
Journal of econometrics
14
Journal of financial and quantitative analysis : JFQA
14
Journal of financial markets
14
The journal of asset management
14
Finance and economics discussion series
13
International journal of theoretical and applied finance
13
Staff reports / Federal Reserve Bank of New York
12
Journal of investment management : JOIM
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1
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
2
Expectations and risk premia at 8:30 a.m. : deciphering the responses of bond yields to macroeconomic announcements
Hördahl, Peter
;
Remolona, Eli M.
;
Valente, Giorgio
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 27-42
Persistent link: https://www.econbiz.de/10012179494
Saved in:
3
Implications of return predictability for consumption dynamics and asset pricing
Favero, Carlo A.
;
Ortu, Fulvio
;
Tamoni, Andrea
;
Yang, Haoxi
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 527-541
Persistent link: https://www.econbiz.de/10012262492
Saved in:
4
The pricing of tail risk and the equity premium : evidence from international option markets
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10012262503
Saved in:
5
Restrictions on risk prices in dynamic term structure models
Bauer, Michael D.
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
2
,
pp. 196-211
Persistent link: https://www.econbiz.de/10011894602
Saved in:
6
Semiparametric estimation of risk-return relationships
Escanciano, Juan Carlos
;
Pardo-Fernández, Juan Carlos
; …
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
1
,
pp. 40-52
Persistent link: https://www.econbiz.de/10011704099
Saved in:
7
Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele
;
Guidolin, Massimo
;
Ravazzolo, Francesco
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
1
,
pp. 110-129
Persistent link: https://www.econbiz.de/10011704120
Saved in:
8
Enhancing estimation for interest rate diffusion models with bond prices
Zou, Tao
;
Chen, Song Xi
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
3
,
pp. 486-498
Persistent link: https://www.econbiz.de/10011705972
Saved in:
9
Ambiguity in the cross-section of expected returns : an empirical assessment
Thimme, Julian
;
Völkert, Clemens
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
3
,
pp. 418-429
Persistent link: https://www.econbiz.de/10011390409
Saved in:
10
Asset prices under habit formation and reference-dependent preferences
Yogo, Motohiro
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
2
,
pp. 131-143
Persistent link: https://www.econbiz.de/10003675590
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