Market price of risk estimation: Does distribution matter?

DOI10.1080/03610926.2021.1872643MaRDI QIDQ5039786zbMATH OpenOpenAlexFDO

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

generalized \(t\)generalized error distributionLaplacerisk premiumtwo-sided distributionstype III logistic

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(1)

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

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