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| DP16555 Exchange Rate Disconnect and the General Equilibrium Puzzle 智库出版物
2021
作者: Yu-chin Chen; Ippei Fujiwara; Yasuo Hirose
  收藏 | 浏览/下载：3/0 | 提交时间：2022/09/22
exchange rate risk premium international risk sharing stochastic volatility nonlinear estimation |
| Default expectations and currency movements 智库出版物
2021
作者: Pasquale Della Corte; LUCIO SARNO; Maik Schmeling; Christian Wagner
收藏 | 浏览/下载：6/0 | 提交时间：2022/09/22
Sovereign default Exchange rates risk premium Volatility Sovereign risk Credit default swap |
| Systemic risk and the macroeconomy: An empirical evaluation 智库出版物
2015
作者: Stefano Giglio; Bryan Kelly; Seth Pruitt
收藏 | 浏览/下载：3/0 | 提交时间：2022/09/22
Education Higher education Returns to education Risk aversion Earnings volatility College wage premium Unemployment Us |
| DP9549 Volatility Risk Premia and Exchange Rate Predictability 智库出版物
2013
作者: LUCIO SARNO; Pasquale Della Corte
收藏 | 浏览/下载：2/0 | 提交时间：2022/09/22
exchange rate Hedgers Order flow Predictability Speculators Volatility risk premium |
| DP7686 Improving Portfolio Selection Using Option-Implied Volatility and Skewness 智库出版物
2010
作者: Victor DeMiguel; Yuliya Plyakha; Grigory Vilkov
收藏 | 浏览/下载：4/0 | 提交时间：2022/09/22
Mean-variance Option-implied skewness Option-implied volatility Portfolio optimization Variance risk premium |
| DP7436 When Everyone Runs for the Exit 智库出版物
2009
作者: Lasse Heje Pedersen
收藏 | 浏览/下载：2/0 | 提交时间：2022/09/22
Cumulants Entropy Equity premium Implied volatility Pricing kernel Risk-neutral probabilities |
| DP5930 Rewriting History 智库出版物
2006
作者: Alexander Ljungqvist; Felicia Marston
收藏 | 浏览/下载：1/0 | 提交时间：2022/09/22
Equity premium Uncertainty Stochastic risk aversion Time variation in risk and return Excess volatility External habit Term structure |
| 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：4/0 | 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：1/0 | 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 |
