Via Buffi 13
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
University of Lugano - Institute of Finance
Swiss Finance Institute
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Low risk anomaly, skewness, credit risk, risk premia, equity options
skew risk premium, variance risk premium, index options
term structure, exchange rates, forward bias, predictability
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8503.
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exchange rates, forward bias, predictability, term structure
Skew, Variance Swap, Realized Variance, Trading Strategy, Disaster, Robust, Jumps
Predictability, pricing kernel, model risk, trading strategy, model-free, variance premium, skew premium, kurtosispremium
Preference trading, pricing kernel, model risk, trading strategy, model-free, variance premium, equity premium, skew premium, kurtosis premium.
credit default swaps, credit risk, loss given default, stochastic intensity, jump-diffusion, Markov chain Monte Carlo estimation
Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials
term structure of interest rates, expectations hypothesis, affine models, risk premia, statistical predictability, economic value
Credit risk, Liquidity risk, Duffie/Singleton framework, Markov Chain Monte Carlo estimation, Density approximation
Estimation, Markov Chain Monte Carlo, maximum likelihood, latent diffusion
risk premia, diffusion processes, forecasting
Multivariate Nonlinear Diffusion, Estimation, MCMC
credit default swap, structural model, default boundary, the Green function, calibration
Pricing Kernel, Model-Free, Projection, Risk Premia, Moments, Recovery Theorem, Trading Strategy
Maximum likelihood, global optimization, non-linear diffusion, EM algorithm, estimation
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: eufm.
divergence, risk premia, information theory, dispersion, options
equity premium, model-free, risk aversion, skewness, signal processing
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