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| DP16389 The Correlation Risk Premium: International Evidence 智库出版物
2021
作者: Gonçalo Faria; Robert Kosowski; Tianyu Wang
  收藏 | 浏览/下载：6/0 | 提交时间：2022/09/22
Correlation risk premium Implied correlation Realized correlation Variance risk premium International equity options |
| DP13873 Correlation Risk, Strings and Asset Prices 智库出版物
2019
作者: Antonio Mele; Walter Distaso; Grigory Vilkov
收藏 | 浏览/下载：9/0 | 提交时间：2022/09/22
Correlation premium Correlation-risk premium Cross-section of returns Arbitrage pricing String models Implied correlation |
| DP12760 Expected Correlation and Future Market Returns 智库出版物
2018
作者: Adrian Buss; Grigory Vilkov
收藏 | 浏览/下载：6/0 | 提交时间：2022/09/22
Expected (implied) correlation Correlation risk premium Return predictability Idiosyncratic risk Option-implied information Contemporaneous betas |
| DP8149 Aggregate Idiosyncratic Volatility 智库出版物
2010
作者: Robert J Hodrick; Geert Bekaert; Xiaoyan Zhang
收藏 | 浏览/下载：3/0 | 提交时间：2022/09/22
Contagion Diversification Growth opportunities Idiosyncratic volatility Regime switching model Return correlation Trend test Variance premium Volatility dynamics |
| DP5924 Active Labour Market Policy in East Germany: Waiting for the Economy to Take Off 智库出版物
2006
作者: Michael Lechner; Conny Wunsch
收藏 | 浏览/下载：5/0 | 提交时间：2022/09/22
Equity premium Excess volatility Stock-bond return correlation Return predictability Countercyclical risk aversion Habit persistence |
| Endogenous Uncertainty: A Unified View of Market Volatility 智库出版物
1997
作者: Mordecai Kurz
Adobe PDF(2433Kb) | 收藏 | 浏览/下载：2/0 | 提交时间：2019/06/14
Rational Expectation Equilibrium (REE),rational beliefs,Rational Belief Equilibrium (RBE),Endogenous uncertainty,State of belief,Market volatility,Equity risk premium,Riskless rate,GARCH,Forward discount bias,Foreign exchange rates,OLG economy,Correlation |
| Social States of Belief and the Determinants of the Equity Risk Premium in A Rational Belief Equilibrium 智库出版物
1997
作者: Mordecai Kurz
Adobe PDF(3148Kb) | 收藏 | 浏览/下载：3/0 | 提交时间：2019/06/14
state space,endogenous uncertainty,rational beliefs,rational belief equilibrium,individual state of belief,social states of belief,OLG economy,correlation among beliefs,volatility measures,equity risk premium,riskless rate |
