Tests of the risk premium on foreign currency futures impiled by the intertemporal asset pricing theory

1995 ◽  
Vol 5 (2) ◽  
pp. 85-94
Author(s):  
Ramazan Gencay
Keyword(s):  
Asset Pricing ◽  
Risk Premium ◽  
Foreign Currency ◽  
Currency Futures ◽  
Asset Pricing Theory ◽  
Pricing Theory ◽  
Intertemporal Asset Pricing

An Asset Pricing Theory of Volatility Tail Behavior

2010 ◽  
Author(s):  
Gurdip S. Bakshi ◽  
Dilip B. Madan ◽  
George Panayotov
Keyword(s):  
Asset Pricing ◽  
Tail Behavior ◽  
Asset Pricing Theory ◽  
Pricing Theory

Dynamic asset pricing theory with uncertain time-horizon

2005 ◽  
Vol 29 (10) ◽  
pp. 1737-1764 ◽  
Author(s):  
Christophette Blanchet-Scalliet ◽  
Nicole El Karoui ◽  
Lionel Martellini
Keyword(s):  
Asset Pricing ◽  
Time Horizon ◽  
Asset Pricing Theory ◽  
Pricing Theory ◽  
Uncertain Time ◽  
Dynamic Asset Pricing
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