Listar Artículos de revista DGE - EKS Aldizkari artikuluak por tema "Default premium"
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The cross-sectional variation of volatility risk premia
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
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 ...