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Equilibrium Value And Size Premia
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Model Specification And Risk Premia: Evidence From …
Evidence From Futures Options MARK BROADIE, MIKHAIL CHERNOV, And MICHAEL JOHANNES∗ ABSTRACT This Paper Examines Model Specification Issues And Estimates Diffusive And Jump Risk Premia Using S&P Futures Option Prices From 1987 To 2003. We First Develop A Time Series Test To Detect The Pre 6th, 2024
Tail Risk Premia And Return Predictability
Tim Bollerslevy, Viktor Todorov Z, And Lai Xu X First Version: May 9, 2014 This Version: February 18, 2015 Abstract The Variance Risk Premium, De Ned As The Di Erence Between The Actual And Risk-neutral Expectations Of The Forward Aggrega 7th, 2024
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Bond Risk Premia With Machine Learning - ORU
Bond Risk Premia With Machine Learning∗ Daniele Bianchi† Matthias Buc Hner‡ Andrea Tamoni§ First Draft: December 2017. This Draft: November 15, 2018 Abstract We Propose, Compare, And Evaluate A Variety O 3th, 2024
Variance Risk Premia For Agricultural Commodities
Sources Of Risk For Investors. This Is True For Almost All Assets, Including Commodities. One Of The Biggest Obstacles In The Study Of Volatility Is That The True Volatility Is Not Observable. In Addition, Volatility Represents The Degree Of Variation Of Price Series Over Time, So 13th, 2024
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