Similar Search Results

A long-run risks model of asset pricing with fat tails

Wang, Zhiguang (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003814891

Skewness risk premium : theory and empirical evidence

Lehnert, Thorsten; Lin, Yuehao; Wolff, Christiaan … - 2014

Persistent link: https://www.econbiz.de/10010502927

The skewness risk premium in equilibrium and stock return predictability

Sasaki, Hiroshi - In: Annals of finance 12 (2016) 1, pp. 95-133

Persistent link: https://www.econbiz.de/10011555439

Equity premia and state-dependent risks

Bouaddi, Mohammed; Larocque, Denis; Normandin, Michel - In: International review of economics & finance : IREF 38 (2015), pp. 393-409

Persistent link: https://www.econbiz.de/10011572388

Skewness term-structure tests

Lehnert, Thorsten; Lin, Yuehao - In: Applied mathematical finance 23 (2016) 5/6, pp. 484-504

Persistent link: https://www.econbiz.de/10011704272

Higher moments, extreme returns, and cross-section of cryptocurrency returns

Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012804999

A Long Run Risks Model of Asset Pricing with Fat Tails

Wang, Zhiguang - 2011

implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. The model … with fat tails leads to a significant increase in implied risk premia over the benchmark Gaussian model, but similar risk …

Persistent link: https://www.econbiz.de/10013122690

The power principle and tail-fatness uncertainty

Gay, Roger - 2004

Persistent link: https://www.econbiz.de/10001964538

Cross-sectional variation of option-implied volatility skew

Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580

Persistent link: https://www.econbiz.de/10014551903

Tail risk aversion and backwardation of index futures

Liang, Jufang; Yang, Dan; Han, Qian - In: Quantitative finance 24 (2024) 3/4, pp. 387-407

Persistent link: https://www.econbiz.de/10014552026