Time-varying risk premia

DOI10.1016/J.JMATECO.2010.12.010zbMATH Open1242.91209OpenAlexW2003600196MaRDI QIDQ433135FDOQ433135

Authors: Robert M. Anderson 

Publication date: 13 July 2012

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2010.12.010

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zbMATH Keywords

efficient markets hypothesisstock return autocorrelationtime-varying risk premia

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Title not available (Why is that?)
• The Price Equilibrium Existence Problem in Topological Vector Lattices

Cited In (6)

• TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL
• Risk premia and overshooting
• Bias Reduction for Linearized Nonlinear Regression Models by Simulation Estimations
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Movements in the Equity Premium: Evidence from a Time-Varying VAR
• Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty

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