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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：3/0  |  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：4/0  |  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：3/0  |  提交时间：2022/09/22
Expected (implied) correlation  Correlation risk premium  Return predictability  Idiosyncratic risk  Option-implied information  Contemporaneous betas  
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：3/0  |  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：1/0  |  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：0/0  |  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