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Volatility
Theorie
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Theory
22
Yield curve
8
Zinsstruktur
8
CAPM
6
Inflation
6
Risikoprämie
6
Risk premium
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Volatilität
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heterogeneous risk aversion
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volatility of turnover
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Anlageverhalten
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Behavioural finance
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Cross-sectional consumption growth volatility
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Heyerdahl-Larsen, Christian
6
Ehling, Paul
4
Illeditsch, Philipp
3
Feldhütter, Peter
2
Gallmeyer, Michael F.
2
Illeditsch, Philipp K.
1
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Journal of financial economics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Review of finance : journal of the European Finance Association
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ECONIS (ZBW)
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Risk premia and volatilities in a nonlinear term structure model
Feldhütter, Peter
;
Heyerdahl-Larsen, Christian
; …
- In:
Review of finance : journal of the European Finance …
22
(
2018
)
1
,
pp. 337-380
Persistent link: https://www.econbiz.de/10011990795
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2
Disagreement about inflation and the yield curve
Ehling, Paul
;
Gallmeyer, Michael F.
;
Heyerdahl-Larsen, …
- In:
Journal of financial economics
127
(
2018
)
3
,
pp. 459-484
Persistent link: https://www.econbiz.de/10011968936
Saved in:
3
Correlations
Ehling, Paul
;
Heyerdahl-Larsen, Christian
- In:
Management science : journal of the Institute for …
63
(
2017
)
6
,
pp. 1919-1937
Persistent link: https://www.econbiz.de/10011707351
Saved in:
4
Correlations
Ehling, Paul
;
Heyerdahl-Larsen, Christian
-
2014
Persistent link: https://www.econbiz.de/10011788857
Saved in:
5
Disagreement about inflation and the yield curve
Ehling, Paul
;
Gallmeyer, Michael F.
;
Heyerdahl-Larsen, …
-
2015
Persistent link: https://www.econbiz.de/10011795825
Saved in:
6
Risk Premia and Volatilities in a Nonlinear Term Structure Model
Feldhütter, Peter
-
2020
We introduce a reduced-form term structure model with closed-form solutions for yields where the short rate and market prices of risk are nonlinear functions of Gaussian state variables. The nonlinear model with three factors matches the time-variation in expected excess returns and yield...
Persistent link: https://www.econbiz.de/10012857082
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