Market price of risk estimation: Does distribution matter?

DOI10.1080/03610926.2021.1872643OpenAlexW3123039479MaRDI QIDQ5039786FDOQ5039786

Authors: Panayiotis Theodossiou, Christos S. Savva 

Publication date: 4 October 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1872643

zbMATH Keywords

Laplacerisk premiumgeneralized error distributiongeneralized \(t\)two-sided distributionstype III logistic

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (1)

• Time-varying asymmetry and tail thickness in long series of daily financial returns

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