Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying

Marc Chesney; Robert J. Elliott; Dilip Madan; Hailiang Yang

Reports Year :

Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying

(1) , , ,

1

Marc Chesney

Function : Author

Groupement de Recherche et d'Etudes en Gestion à HEC

Robert J. Elliott

Function : Author

Dilip Madan

Function : Author

Hailiang Yang

Function : Author

Keywords

Diffusion coefficient estimation asset pricing risk premia sensitivities time varying

Domains

Humanities and Social Sciences Economics and Finance Economy and decision science

Antoine Haldemann : Connect in order to contact the contributor

https://hal-hec.archives-ouvertes.fr/hal-00610777

Submitted on : Sunday, July 24, 2011-9:50:48 PM

Last modification on : Tuesday, February 7, 2023-2:44:46 PM

Dates and versions

hal-00610777 , version 1 (24-07-2011)

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HAL Id : hal-00610777 , version 1

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Marc Chesney, Robert J. Elliott, Dilip Madan, Hailiang Yang. Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying. 1993. ⟨hal-00610777⟩

Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying

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