The international integration of the term structure of expected market risk premia
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DOI: 10.1016/j.frl.2023.104678
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More about this item
Keywords
Term structure of expected risk premia; Risk-neutral variance; Option prices; International integration; Risk factor sensitivities;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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