Essays on Asset Pricing and Portfolio Choice with Time-Varying Uncertainty
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- Type
- article
- Published
- 2014-01-01
- Cited by
- 0
- References
- 69
- Access
- Open access
- OpenAlex
- https://openalex.org/W168021715
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:150875866
Keywords
Portfolio, Economics, Capital asset pricing model, Financial economics, Actuarial science
References
- The Common Factor in Idiosyncratic Volatility
- Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Tails, Fears, and Equilibrium Option Prices
- Crash–O–Phobia
- No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
- The distribution of realized stock return volatility
- Expected stock returns and volatility
- Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
- Forecasting Multifractal Volatility
- Portfolio Selection in Stochastic Environments
- Common risk factors in the returns on stocks and bonds
- The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
- Prices of State-Contingent Claims Implicit in Option Prices
- The equity risk premium a solution
- A Theory of Disappointment Aversion
- Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
- General equilibrium pricing of options with habit formation and event risks
- Models of business cycles
- Option Prices, Implied Price Processes, and Stochastic Volatility
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