Estimating C-CAPM and the equity premium over the frequency domain

DOI10.1515/SNDE-2013-0019zbMath1506.62408OpenAlexW2165107910MaRDI QIDQ5881710

Sarantis Kalyvitis, Ekaterini Panopoulou

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2013-0019

zbMATH Keywords

frequency domainequity premiumC-CAPMconsumption risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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