Results 111 to 120 of about 435,179 (262)
On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM [PDF]
This article investigates the evolution of the US risk premium in periods of crisis. First, we estimate a conditional CAPM with time-varying systematic risk and price of risk using a multivariate GARCH-in-Mean model.
Fredj Jawadi, Mohamed El Hedi Arouri
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Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market [PDF]
, 2010 Z. G. Wang +2 more
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Shall We Tax the Risk Premium? [PDF]
Should the realized risk premium be taxed – or not? In a simple two asset portfolio model we analyze the optimal taxation rule when the economy faces aggregate risk.
Bodo Hilgers, Dirk Schindler
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Risk premia in Australian interest rates [PDF]
The level of and movements in interest rates and the exchange rate can have a substantial impact on the economic performance of Australia's primary industries.
Bartley, Scott W., Douglas, Justin J.
core +1 more source
On the Consequences of State Dependent Preferences for the Pricing of Financial Assets [PDF]
This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent's coefficient of relative risk aversion to vary with the underlying economy's growth rate.
Christos Giannikos +3 more
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On the Foreign-Exchange Risk Premium in Sticky-Price General Equilibrium Models
, 1999 Charles Engel
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Probabilistic Approach to Risk Processes With Level-Dependent Premium Rate
, 2023 Denis Denisov +3 more
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The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen–Dollar Rate [PDF]
, 2003 Stuart Landon, Constance Smith
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