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

Marc Chesney 1 Robert Elliott Dilip Madan Hailiang Yang
1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
Keywords : Diffusion coefficient estimation asset pricing risk premia sensitivities time varying
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https://hal-hec.archives-ouvertes.fr/hal-00610777
Contributor : Antoine Haldemann <>
Submitted on : Sunday, July 24, 2011 - 9:50:48 PM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

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  • HAL Id : hal-00610777, version 1

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

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