Pricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-out

DOI10.1016/J.JEDC.2020.104009zbMath1475.91379OpenAlexW3092360119MaRDI QIDQ2246749

Niklas Wagner, Patrizia Perras

Publication date: 16 November 2021

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.104009

zbMATH Keywords

equity premiumdynamic hedgingcovariance riskfear-of-missing-out (FOMO)flight-to-quality (FTQ)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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