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

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

Reports

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

Marc Chesney ¹ Robert J. 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

Complete list of metadata

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 : Saturday, June 25, 2022 - 10:52:33 AM

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

Identifiers

Collections

Citation

Export

Metrics

85

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

Identifiers

Collections

Citation

Export

Share

Metrics

85