Investor fears and risk premia for rare events
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More about this item
Keywords
crisis indicator; extreme value theory; implied moments;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2014-03-15 (Risk Management)
- NEP-UPT-2014-03-15 (Utility Models and Prospect Theory)
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