Time-varying risk premia

DOI10.1016/J.JMATECO.2010.12.010zbMath1242.91209OpenAlexW2003600196MaRDI QIDQ433135

Robert M. Anderson

Publication date: 13 July 2012

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2010.12.010

zbMATH Keywords

efficient markets hypothesisstock return autocorrelationtime-varying risk premia

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

Bias Reduction for Linearized Nonlinear Regression Models by Simulation Estimations

Cites Work

• The Price Equilibrium Existence Problem in Topological Vector Lattices
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