Empirical asset pricing with multi-period disaster risk: a simulation-based approach

DOI10.1016/j.jeconom.2020.08.001zbMath1471.62499OpenAlexW3123459303MaRDI QIDQ2024452

Joachim Grammig, Jantje Sönksen

Publication date: 4 May 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.08.001

zbMATH Keywords

simulation-based estimationempirical asset pricingmulti-period disasters

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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