Avenue Bernard Hirsch
BP 105 Cergy Cedex, 95021
ESSEC Business School Paris-Singapore
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realized variance, realized semivariance, stock market return predictability, asymmetric realized volatility, variance risk premium, high-frequency data, equilibrium asset pricing
Option Prices, Skewness, Volatility Spread, Risk Premium
Binormal distribution, Downside risk, Intertemporal CAPM, GARCH, Relative downside volatility, Risk-return trade-off, Upside uncertainty.
Equity Premium, Variance Premium, Risk-neutral Variance, Term Structure of Variance, Long-Run Risk
Level Risk, Expected Growth Risk, Consumption Volatility Risk, GARCH, Kalman Filter
Credit Default Swap Spreads, Generalized Disappointment Aversion, Sovereign Risk, Term Structure
Conditional skewness, Downside risk, Mincer-Zarnowitz regression, Realized skewness
Equilibrium Asset Pricing, Equity Premium, Risk-free Rate Puzzle, Predictability
Asset allocation, disappointment aversion, downside risk, loss aversion, reference-dependent preferences, skewness.
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Asset allocation, Downside risk
Discrete Time, Affine Model, Conditional Skewness, GMM, Option Pricing
disappointment aversion, long-run risk, equity premium, asset returns, predictability, equilibrium Asset Pricing, risk-free rate puzzle
Generalized Disappointment Aversion, Option Payoffs, Downside Risks, Cross-Section
Generalized Disappointment Aversion, Expectations Hypothesis, Numerical Solution Methods, Term Structure of Interest Rates
Bond Predictability, Generalized Disappointment Aversion, Expectations Hypothesis, Numerical solution methods, Term Structure of Interest Rates
Generalized Disappointment Aversion, Downside Risks, Cross-Section
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