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Inferring the forward looking equity risk premium from derivative price

Bhar, Ramaprasad (contributor); Chiarella, Carl (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 1

Persistent link: https://www.econbiz.de/10002651459

Variance dynamics and term structure of the natural gas market

Shao, Chengwu; Bhar, Ramaprasad; Colwell, David B.; … - In: Energy economics 137 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015181844

Modeling U.S. monetary policy during the global financial crisis and lessons for Covid-19

Bhar, Ramaprasad; Malliaris, Anastasios G. - In: Journal of policy modeling : JPMOD ; a social science … 43 (2021) 1, pp. 15-33

Persistent link: https://www.econbiz.de/10012821057

Alternative characterization of volatility of short-term interest rate

Bhar, Ramaprasad; Lee, Damien - In: International journal of financial engineering 5 (2018) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10011923007

A multi-factor model with time-varying and seasonal risk premiums for the natural gas market

Shao, Chengwu; Bhar, Ramaprasad; Colwell, David B. - In: Energy economics 50 (2015), pp. 207-214

Persistent link: https://www.econbiz.de/10011564043

Asset price momentum and monetary policy : time-varying parameter estimation of Taylor Rules

Bhar, Ramaprasad; Malliaris, Anastasios G. - In: Applied economics 48 (2016) 55/57, pp. 5329-5339

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Trend of commodity prices and exchange rate in Australian economy : time varying parameter model approach

Roy, Debasish; Bhar, Ramaprasad - In: Asia Pacific financial markets 27 (2020) 3, pp. 427-437

Persistent link: https://www.econbiz.de/10012271799

Empirical Techniques in Finance

Bhar, Ramaprasad - 2005

Basic Probability Theory and Markov Chains -- Estimation Techniques -- Non-Parametric Method of Estimation -- Unit Root, Cointegration and Related Issues -- VAR Modeling -- Time Varying Volatility Models -- State-Space Models (I) -- State-Space Models (II) -- Discrete Time Real Asset Valuation...

Persistent link: https://www.econbiz.de/10014014047

Hidden Markov Models : Applications to Financial Economics

Bhar, Ramaprasad - 2004

Persistent link: https://www.econbiz.de/10014274798

Inferring the Forward Looking Equity Risk Premium from Derivative Prices

Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 1

This paper considers the measurement of the equity risk premium in financial markets from a new perspective that picks up on a suggestion from Merton (1980) to use implied volatility of options on a market portfolio as a direct ex-ante estimate for market variance, and hence the risk...

Persistent link: https://www.econbiz.de/10014620885