Equity risk premium beyond the second moment
Aguilar Urquiola, Alejandra (A.A. 2018/2019) Equity risk premium beyond the second moment. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 90. [Master's Degree Thesis]
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Abstract/Index
Price equals discounted payoff. What about a different setup? Modelling volatility. A GARCH model with jumps. Jump dynamics for equilibrium pricing. Size and dynamics of the equity risk premium. Crude oil, GermanbBund and market estimates. A GARCH in Mean Model.
References
Bibliografia: pp. 77-80.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Pozzi, Andrea |
| Academic Year: | 2018/2019 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 03 Apr 2020 07:01 |
| Last Modified: | 03 Apr 2020 07:01 |
| URI: | https://tesi.luiss.it/id/eprint/26237 |
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