Amherst, MA 01003-4910
University of Massachusetts Amherst - Isenberg School of Management
in Total Papers Downloads
in Total Papers Citations
Asset Pricing, Asymmetric Dependence, Copulas, Coskewness, Downside Risk, Tail Risk, Crash Aversion
Riskiness, economic index of riskiness, operational measure of riskiness, risk-neutral measures, stock returns
pricing kernels, risk aversion, skewness preference, volatility risk
Pricing kernel, volatility risk, risk aversion, skewness preference
Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity premium
Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity
Financial Distress, Higher Moment Returns, Default Risk, Idiosyncratic Coskewness Beta, Cross-Sectional Equity Returns
Financial distress, Higher moment returns
predictability, stock returns, volatility of Fama-French factors, variance risk premium
Stochastic discount factors, permanent component, transitory component, variance bounds, asset pricing models, eigenfunction problems
Exchange rates, Interest rates, Financial markets, Econometric and statistical methods
Entropy, stochastic discount factors, permanent component, lower entropy bounds, entropy codependence, asset pricing models, eigenfunction problem
Long-term Treasury bond, expected excess return, lower bound, options on bond futures
Risk-Neutral Distribution, Option Returns
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