Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying

1993 ◽  
Vol 3 (2) ◽  
pp. 85-99 ◽  
Author(s):  
Marc Chesney ◽  
Robert J. Elliott ◽  
Dilip Madan ◽  
Hailiang Yang
Keyword(s):  
Diffusion Coefficient ◽  
Asset Pricing ◽  
Risk Premia ◽  
Time Varying ◽  
Coefficient Estimation

International Asset Pricing and Time-Varying Risk Premia

2007 ◽  
Author(s):  
Devraj Basu ◽  
Chi-Hsiou Hung ◽  
Alexander Stremme
Keyword(s):  
Asset Pricing ◽  
Risk Premia ◽  
International Asset Pricing ◽  
Time Varying

Asset pricing, time-varying risk premia and interest rate risk

1997 ◽  
Vol 21 (3) ◽  
pp. 315-335 ◽  
Author(s):  
Mark J. Flannery ◽  
Allaudeen S. Hameed ◽  
Richard H. Harjes
Keyword(s):  
Asset Pricing ◽  
Interest Rate ◽  
Risk Premia ◽  
Interest Rate Risk ◽  
Time Varying ◽  
Rate Risk
Sign in / Sign up

Export Citation Format

Share Document