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

Marc Chesney; Robert Elliott; Dilip Madan; Hailiang Yang

Reports

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

Document type :

Reports

Domain :

Humanities and Social Sciences / Economics and Finance / Economy and decision science

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https://hal-hec.archives-ouvertes.fr/hal-00610777
Contributor : Antoine Haldemann Connect in order to contact the contributor
Submitted on : Sunday, July 24, 2011 - 9:50:48 PM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

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

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

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