Jump Risk, Time-Varying Risk Premia, and Technical Trading Profits

SSRN Electronic Journal ◽

10.2139/ssrn.87068 ◽

1998 ◽

Cited By ~ 1

Author(s):

Chenyang Feng ◽

Stephen D. Smith

Keyword(s):

Risk Premia ◽

Time Varying ◽

Technical Trading ◽

Jump Risk ◽

Trading Profits

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Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets

Journal of Financial Economics ◽

10.1016/0304-405x(95)00861-8 ◽

1996 ◽

Vol 41 (2) ◽

pp. 249-290 ◽

Cited By ~ 89

Author(s):

Bong-Chan Kho

Keyword(s):

Futures Markets ◽

Foreign Currency ◽

Risk Premia ◽

Time Varying ◽

Trading Rule ◽

Technical Trading ◽

Currency Futures

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Time-varying jump risk premia in stock index futures returns

Journal of Futures Markets ◽

10.1002/fut.20540 ◽

2011 ◽

Vol 32 (7) ◽

pp. 639-659 ◽

Cited By ~ 7

Author(s):

Wing Hong Chan ◽

Liling Feng

Keyword(s):

Risk Premia ◽

Stock Index ◽

Stock Index Futures ◽

Time Varying ◽

Jump Risk ◽

Index Futures

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The role of time-varying jump risk premia in pricing stock index options

Journal of Empirical Finance ◽

10.1016/j.jempfin.2011.07.003 ◽

2011 ◽

Vol 18 (5) ◽

pp. 833-846 ◽

Cited By ~ 1

Author(s):

Jaeho Yun

Keyword(s):

Risk Premia ◽

Stock Index ◽

Time Varying ◽

Jump Risk ◽

Index Options

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Bond Risk Premia and Realized Jump Risk

SSRN Electronic Journal ◽

10.2139/ssrn.1319126 ◽

2008 ◽

Cited By ~ 11

Author(s):

Jonathan H. Wright ◽

Hao Zhou

Keyword(s):

Risk Premia ◽

Jump Risk ◽

Bond Risk Premia ◽

Bond Risk

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Jump Risk Premia in Short-Term Spread Options: Evidence from the German Electricity Market

SSRN Electronic Journal ◽

10.2139/ssrn.1403817 ◽

2009 ◽

Cited By ~ 2

Author(s):

Jan Marckhoff ◽

Matthias Muck

Keyword(s):

Electricity Market ◽

Risk Premia ◽

Short Term ◽

Jump Risk ◽

Term Spread ◽

Spread Options

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Can Time‐Varying Risk Premia and Household Heterogeneity Explain Credit Cycles?

SSRN Electronic Journal ◽

10.2139/ssrn.3709547 ◽

2020 ◽

Author(s):

Mohammad Ghaderi

Keyword(s):

Risk Premia ◽

Time Varying ◽

Credit Cycles ◽

Household Heterogeneity

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Time Varying Default Risk Premia in Corporate Bond Markets

SSRN Electronic Journal ◽

10.2139/ssrn.972636 ◽

2007 ◽

Author(s):

Jan Ericsson ◽

Redouane Elkamhi

Keyword(s):

Default Risk ◽

Risk Premia ◽

Corporate Bond ◽

Bond Markets ◽

Time Varying

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Comment on: Time-varying risk premia and the cost of capital: an alternative implication of the Q theory of investment

Journal of Monetary Economics ◽

10.1016/s0304-3932(01)00098-8 ◽

2002 ◽

Vol 49 (1) ◽

pp. 67-74 ◽

Cited By ~ 1

Author(s):

Janice C. Eberly

Keyword(s):

Cost Of Capital ◽

Risk Premia ◽

Time Varying ◽

Q Theory ◽

The Cost

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Expectations Puzzle, Time-varying Risk Premia, and Dynamic Models of the Term Structure

SSRN Electronic Journal ◽

10.2139/ssrn.242607 ◽

2000 ◽

Cited By ~ 3

Author(s):

Qiang Dai ◽

Kenneth J. Singleton

Keyword(s):

Term Structure ◽

Dynamic Models ◽

Risk Premia ◽

Time Varying

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Analysis of Time Varying Exchange Rate Risk Premia

Advances in Quantitative Asset Management - Studies in Computational Finance ◽

10.1007/978-1-4615-4389-3_11 ◽

2000 ◽

pp. 255-273 ◽

Cited By ~ 1

Author(s):

Ramaprasad Bhar ◽

Carl Chiarella

Keyword(s):

Exchange Rate ◽

Risk Premia ◽

Exchange Rate Risk ◽

Time Varying ◽

Rate Risk

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