Essays on Volatility Risk Premia in Asset Pricing
Language: en
Pages:
Authors:
Categories:
Type: BOOK - Published: 2008 - Publisher:

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This thesis contains two essays. In the first essay, we investigate the impact of time varying volatility of consumption growth on the cross-section and time-se
Essays on Equilibrium Asset Pricing
Language: en
Pages: 0
Authors: Aoxiang Yang (Ph.D.)
Categories:
Type: BOOK - Published: 2022 - Publisher:

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My dissertation is developed to address unresolved issues in the asset pricing literature, focusing on both risk premium levels and dynamics. Chapter 1 addresse
Essays on Volatility Risk, Asset Returns and Consumption-based Asset Pricing
Language: en
Pages: 176
Authors: Young Il Kim
Categories: Assets (Accounting)
Type: BOOK - Published: 2008 - Publisher:

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Abstract: My dissertation addresses two main issues regarding asset returns: econometric modeling of asset returns in chapters 2 and 3 and puzzling features of
The Equity Risk Premium
Language: en
Pages: 568
Authors: William N. Goetzmann
Categories: Business & Economics
Type: BOOK - Published: 2006-11-16 - Publisher: Oxford University Press

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This book aims to create a strong understanding of the empirical basis for the equity risk premium. Through the research and anaylsis of two scholars who are ex
Essays on the Term Structure of Volatility and Option Returns
Language: en
Pages:
Authors: Vincent Campasano
Categories:
Type: BOOK - Published: 2018 - Publisher:

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The first essay studies the dynamics of equity option implied volatility and shows that they depend both upon the option's time to maturity (horizon) and slope