Determinants of stock market volatility and risk premia
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Publication:665536
DOI10.1007/S10436-004-0004-5zbMath1233.91326OpenAlexW2063481177MaRDI QIDQ665536
Mordecai Kurz, Maurizio Motolese, Hehui Jin
Publication date: 5 March 2012
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10807/14230
market volatilityempirical distributionheterogeneous beliefsoptimismpessimismequity risk premiummarket states of beliefsover confidencerational beliefriskless rate
Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)
Related Items (7)
Beauty contests under private information and diverse beliefs: How different? ⋮ The equity premium: a deeper puzzle ⋮ The role of expectations in economic fluctuations and the efficacy of monetary policy ⋮ Properties of equilibrium asset prices under alternative learning schemes ⋮ Diverse beliefs and time variability of risk premia ⋮ Asset pricing with incomplete information and fat tails ⋮ Diverse beliefs
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