Listar Artículos de revista DGE - EKS Aldizkari artikuluak por tema "Linear factor models"
Mostrando ítems 1-2 de 2
-
The cross-sectional variation of volatility risk premia
González Urteaga, Ana
; Rubio Irigoyen, Gonzalo (Elsevier, 2016)
Artículo / Artikulua 
This paper analyzes the determinants of the cross-sectional variation of the average volatility risk premia for a representative set of portfolios sorted by volatility risk premium beta. The market volatility risk premium ... -
The joint cross-sectional variation of equity returns and volatilities
González Urteaga, Ana ; Rubio Irigoyen, Gonzalo (Elsevier, 2017)
Artículo / Artikulua
This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the ...
