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The inverse problem of asset price under non-expected utility

Wang, Susheng - In: Economics letters 33 (1990) 3, pp. 211-215

Persistent link: https://www.econbiz.de/10001091892

The local recoverability of risk aversion and intertemporal substitution

Wang, Susheng - In: Journal of economic theory 59 (1993) 2, pp. 333-363

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Asset pricing under jump diffusion

Zhang, Jin E.; Zhao, Huimin - 2006

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Equilibrium variance risk premium in a cost-free production economy

Ruan, Xinfeng; Zhang, Jin E. - In: Journal of economic dynamics & control 96 (2018), pp. 42-60

Persistent link: https://www.econbiz.de/10012004952

Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums

Ruan, Xinfeng; Zhu, Wenli; Huang, Jiexiang; Zhang, Jin E. - In: Economic modelling 54 (2016), pp. 326-338

Persistent link: https://www.econbiz.de/10011642179

Expected Stock Returns and Forward Variance

Luo, Xingguo - 2016

Bakshi, Panayotov, and Skoulakis (2011) show that forward variances are predictive of real economic activity and asset returns. In this paper, we study this relation by using CBOE VIX term structure data between January 1992 and August 2009. We find that certain combinations of the 3-, 6-, and...

Persistent link: https://www.econbiz.de/10013008323