When testing for factors influencing the risk premia the results suggest that risk premia are directly related to factors linked to risk considerations.doi:10.2139/ssrn.1400120Matthus PietzSSRN Electronic JournalPIETZ, M. (2009): Risk premia in the German electricity futures market. CEFS Working ...
(2003). Estimating risk premia in money market rates. European Central Bank, Working paper series n. 221.Pilegaard, R., Durre, A., and Evjen, S. (2003). Estimating risk premia in money market rates. Working Paper Series 221, European Central Bank....
Fiscal expansion, monetary policy, interest rate risk premia, and wage reactions Interest rate risk premiumForward-looking reaction functionsFiscal policyMonetary policyNew Zealand's Reserve Bank ActWe examine the macroeconomic implications of... HD Rae - 《Economic Modelling》 被引量: 13发表: 1998年...
Bi H (2012) Sovereign default risk premia, fiscal limits, and fiscal policy. Eur Econ Rev 56(3):389–410 Article Google Scholar Bianchi P, Deschamps B, Kiani KM (2015) Fiscal balance and current account in professional forecasts. Rev Int Econ 23(2):361–378 Article Google Scholar Bian...
This paper develops and implements an exact finite-sample test of asset pricing models with time-varying risk premia using posterior probabilities. The str... Avramov,Doron,Chao,... - 《Journal of Business》 被引量: 33发表: 2006年 Index Option Pricing Models with Stochastic Volatility and Stoch...
coincide with the few empirical results that are robust in the literature (effects on prices, risk premia, and volatility), while the latter coincide with the ones that differ experiment by experiment (effects on volume, correlation between volume and volatility, and market informational efficiency)...
Time varying risk premia for real estate investment trusts: A GARCH-M model This study employs the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) methodology to investigate the return generating process of real estate investment trusts (REIT). The trade-off between exces...
Hsu, Chih-Chiang and Chou, Robin K.,Robust Measurement of Size and Book-to-Market Premia. EFMA 2003 Helsinki Meetings. Available at SSRN: http://ssrn.com/abstract=407726 or DOI: 10.2139/ssrn.407726Hsu, Chih-Chiang and Chou, Robin K., 2003. “Robust Measurement of Size and Book-To-...
The maximum likelihood method is used to estimate risk premia, and factor analysis is used to provide additional evidence on the pricing of risk factors. The results indicate that (a) the factor structure of asset returns is internationally heterogeneous, (b) many national capital markets can be...
The term structure of liquidity premia in the U.S. Treasury market. Working paper.Buhler, W., and V. Vonhoff, 2011, Term Structure of Liquidity Premia in the U.S. Trea- sury Market, Working Paper.Bu¨hler, W. and Vonhoff, V. (2011). Term Structures of Liquidity Premia in the U...