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Bank of Canada RSS Feedsen2024-03-28T21:03:11+00:00Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
https://www.bankofcanada.ca/2012/04/working-paper-2012-11/
Expected returns vary when investors face time-varying investment opportunities. Long-run risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to the econometrician.2012-04-03T14:43:45+00:00enRisk Premium, Variance Premium and the Maturity Structure of Uncertainty2012-04-03Asset pricingFinancial servicesWorking Paper 2012-11https://www.bankofcanada.ca/wp-content/uploads/2012/04/wp2012-11.pdfRisk Premium, Variance Premium and the Maturity Structure of UncertaintyBruno FeunouJean-Sébastien FontaineAbderrahim TaamoutiRoméo TedongapMarch 2012GG1G12G13