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Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
Conrad, Christian; Mammen, Enno - 2008
the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM. …
Persistent link: https://www.econbiz.de/10011422182
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Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models
Conrad, Christian; Mammen, Enno - 2008
the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM. …
Persistent link: https://www.econbiz.de/10003747376
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Is there a risk premium? : Evidence from thirteen measures
Fracasso, Laís Martins; Müller, Fernanda Maria; … - In: The quarterly review of economics and finance : journal … 92 (2023), pp. 182-199
Persistent link: https://www.econbiz.de/10014490275
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Liquidity, implied volatility and tail risk: a comparison of liquidity measures
Ramos, Henrique Pinto; Righi, Marcelo Brutti - In: International review of financial analysis 69 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012316872