Risk premia: Exact solutions vs. log-linear approximations
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DOI: 10.1016/j.jbankfin.2013.07.035
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- Yifan He & Abootaleb Shirvani & Barret Shao & Svetlozar Rachev & Frank Fabozzi, 2024. "Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon," Papers 2404.11722, arXiv.org, revised Oct 2024.
- Abootaleb Shirvani & Stefan Mittnik & W. Brent Lindquist & Svetlozar T. Rachev, 2021. "Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes," Papers 2109.15051, arXiv.org, revised Aug 2023.
- Fischer, Thomas & Lundtofte, Frederik, 2020.
"Unequal returns: Using the Atkinson index to measure financial risk,"
Journal of Banking & Finance, Elsevier, vol. 116(C).
- Fischer, Thomas & Lundtofte , Frederik, 2018. "Unequal Returns: Using the Atkinson Index to Measure Financial Risk," Working Papers 2018:25, Lund University, Department of Economics.
- Abootaleb Shirvani & Stoyan V. Stoyanov & Frank J. Fabozzi & Svetlozar T. Rachev, 2021. "Equity premium puzzle or faulty economic modelling?," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1329-1342, May.
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More about this item
Keywords
Log-linear approximations; Equity premium puzzle; Cumulants; NIG distribution; Long-run risk;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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