Abderrahim Taamouti

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Risk Premium, Variance Premium and the Maturity Structure of Uncertainty

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.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Financial services JEL Code(s): G, G1, G12, G13

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