Julian Dörries

University of Goettingen (Gottingen)

Platz der Gottinger Sieben 3

Gottingen, D-37073

Germany

  • University of Goettingen (Gottingen)

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Scholarly Papers (2)

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1.

Quantile Risk Premiums

Number of pages: 52 Posted: 30 Nov 2020
Felix Brinkmann, Julian Dörries and Olaf Korn
University of Goettingen (Gottingen), University of Goettingen (Gottingen) and University of Goettingen (Gottingen)
Downloads 94 (319,540)

Abstract:

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Quantiles, Moment Swaps, Risk Premiums

2.

Decomposed Higher-Moment Risk Premiums and Market Return Predictability

Number of pages: 60
Julian Dörries
University of Goettingen (Gottingen)
Downloads 7 (693,164)

Abstract:

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Moment Risk Premiums, Upside and Downside Decomposition, Principal Component Analysis, Predictive Regressions