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Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm

Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. - 2001

Persistent link: https://www.econbiz.de/10001732756

Filtering equity risk premia from derivative prices

Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. - 2001

Persistent link: https://www.econbiz.de/10001732811

Estimation in models of the instantaneous short term interest rate by use of a dynamic Bayesian algorithm

Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. - In: Advances in finance and stochastics : essays in honour …, (pp. 177-195). 2002

Persistent link: https://www.econbiz.de/10001672233

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

On filtering in Markovian term structure models (an approximation approach)

Chiarella, Carl; Pasquali, Sara; Runggaldier, Wolfgang J. - 2001

Persistent link: https://www.econbiz.de/10001732804

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