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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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.


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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