Expectation Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure

Journal of Financial Economics - Netherlands
doi 10.1016/s0304-405x(02)00067-3
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Time-Varying Risk Aversion and the Predictability of Bond Premia

Finance Research Letters
Finance
2019English

Time Varying Risk Premia in Corporate Bond Markets

SSRN Electronic Journal
2008English

Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

SSRN Electronic Journal
1998English

Sources of Time Varying Risk and Risk Premia in U.S. Stock and Bond Markets

SSRN Electronic Journal
2003English

Alternative Term Structure Models for Reviewing Expectations Puzzles

SSRN Electronic Journal
2012English

Identification and Estimation of Gaussian Affine Term Structure Models

SSRN Electronic Journal
2010English

Change-Points in Affine Arbitrage-Free Term Structure Models

Journal of Financial Econometrics
EconomicsEconometricsFinance
2012English

Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying

Journal of Political Economy
EconomicsEconometrics
2001English

Valuation of Guaranteed Annuity Options in Affine Term Structure Models

SSRN Electronic Journal
2005English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy