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Risikoprämie
31
Risk premium
31
Estimation
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Andreasen, Martin Møller
6
Todorov, Viktor
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Andersen, Torben
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Fusari, Nicola
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Bollerslev, Tim
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Rombouts, Jeroen V. K.
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CREATES research paper
NBER working paper series
307
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274
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243
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210
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201
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136
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ECONIS (ZBW)
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1
Betting on mean reversion in the VIX? : evidence from ETP flows
Nielsen, Ole Linnemann
;
Posselt, Anders Merrild
-
2022
-
This version: September 1, 2021
Persistent link: https://www.econbiz.de/10012816394
Saved in:
2
The New Keynesian model and bond yields
Andreasen, Martin Møller
-
2021
Persistent link: https://www.econbiz.de/10012433979
Saved in:
3
Bond risk premiums at the zero lower bound
Andreasen, Martin Møller
;
Jørgensen, Kasper
;
Meldrum, …
-
2019
Persistent link: https://www.econbiz.de/10012063987
Saved in:
4
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
5
The pricing of tail risk and the equity premium : evidence from international option markets
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797485
Saved in:
6
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797609
Saved in:
7
Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium
Casas, Isabel
;
Mao, Xiuping
;
Veiga, Helena
-
2018
Persistent link: https://www.econbiz.de/10011864851
Saved in:
8
Dynamics of variance risk premia, investors' sentiment and return predictability
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
-
2017
Persistent link: https://www.econbiz.de/10011624137
Saved in:
9
Variance swap payoffs, risk premia and extreme market conditions
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
-
2017
Persistent link: https://www.econbiz.de/10011706023
Saved in:
10
The TIPS liquidity premium
Andreasen, Martin Møller
;
Christensen, Jens H. E.
; …
-
2017
Persistent link: https://www.econbiz.de/10011706202
Saved in:
11
Bond market asymmetries across recessions and expansions : new evidence on risk premia
Andreasen, Martin Møller
;
Engsted, Tom
;
Møller, Stig …
-
2016
Persistent link: https://www.econbiz.de/10011541655
Saved in:
12
Option-based estimation of the price of co-skewness and co-kurtosis risk
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
; …
-
2015
Persistent link: https://www.econbiz.de/10011398632
Saved in:
13
Oil volatility risk and expected stock returns
Christoffersen, Peter F.
;
Pan, Xuhui
-
2015
Persistent link: https://www.econbiz.de/10010499508
Saved in:
14
Time-varying disaster risk models : an empirical assessment of the Rietz-Barro hypothesis
Irarrazabal, Alfonso
;
Parra-Alvarez, Juan Carlos
-
2015
Persistent link: https://www.econbiz.de/10011516994
Saved in:
15
Expected business conditions and bond risk premia
Eriksen, Jonas Nygaard
-
2015
Persistent link: https://www.econbiz.de/10011343492
Saved in:
16
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2014
Persistent link: https://www.econbiz.de/10010442402
Saved in:
17
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
-
2014
Persistent link: https://www.econbiz.de/10010442441
Saved in:
18
Risk premia in energy markets
Veraart, Almut E. D.
;
Veraart, Luitgard
-
2013
Persistent link: https://www.econbiz.de/10009691707
Saved in:
19
Illiquidity premia in the equity options market
Christoffersen, Peter F.
;
Goyenko, Ruslan
;
Jacobs, Kris
; …
-
2013
Persistent link: https://www.econbiz.de/10010226833
Saved in:
20
Rare disasters and credit market puzzles
Christoffersen, Peter F.
;
Du, Du
;
Elkamhi, Redouane
-
2013
Persistent link: https://www.econbiz.de/10010226839
Saved in:
21
The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums
Osterrieder, Daniela
;
Schotman, Peter C.
-
2012
Persistent link: https://www.econbiz.de/10009576958
Saved in:
22
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
Saved in:
23
End-of-the-year economic growth and time-varying expected returns
Møller, Stig Vinther
;
Rangvid, Jesper
-
2012
Persistent link: https://www.econbiz.de/10009632221
Saved in:
24
Risk or rare disasters, Euler equation errors and the performance of the C-CAPM
Posch, Olaf
;
Schrimpf, Andreas
-
2012
Persistent link: https://www.econbiz.de/10009562837
Saved in:
25
Illiquidity premia in the equity options market
Christoffersen, Peter F.
(
contributor
)
-
2011
Persistent link: https://www.econbiz.de/10009385121
Saved in:
26
Multivariate option pricing with time varying volatility and correlations
Rombouts, Jeroen V. K.
;
Stentoft, Lars
-
2010
Persistent link: https://www.econbiz.de/10003963064
Saved in:
27
Macro expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.
;
Schmeling, Maik
;
Schrimpf, Andreas
-
2010
Persistent link: https://www.econbiz.de/10008651662
Saved in:
28
How Non-Gaussian shocks affect risk premia in non-linear DSGE models
Andreasen, Martin Møller
-
2010
Persistent link: https://www.econbiz.de/10008659421
Saved in:
29
Risk premia in general equilibrium
Posch, Olaf
-
2009
Persistent link: https://www.econbiz.de/10003903532
Saved in:
30
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim
;
Sizova, Natalia
;
Tauchen, George Eugene
-
2009
Persistent link: https://www.econbiz.de/10003849492
Saved in:
31
Tails, fears and risk premia
Bollerslev, Tim
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003849565
Saved in:
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