Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1

DOI10.1111/J.1467-9965.1993.TB00080.XzbMATH Open0884.90018OpenAlexW1997340698MaRDI QIDQ4372002FDOQ4372002

Robert J. Elliott, Dilip B. Madan, Marc Chesney, Hailiang Yang

Publication date: 5 April 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00080.x

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zbMATH Keywords

minimum variance estimatorexponential of a scalar diffusion

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Title not available (Why is that?)

Cited In (6)

• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
• Optimal robust mean-variance hedging in incomplete financial markets
• Efficient option pricing in crisis based on dynamic elasticity of variance model
• Testing for long-term memory in yen/dollar exchange rate
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Estimation of affine asset pricing models using the empirical characteristic function

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