haku: @journal_id 649 / yhteensä: 172
viite: 31 / 172
Tekijä: | Jochum, C. |
Otsikko: | Volatility spillovers and the price of risk: Evidence from the Swiss stock market. |
Lehti: | Empirical Economics
1999 : MAY, VOL. 24:2, p. 303-322 |
Asiasana: | Stock markets Financial risk Risk measurement Switzerland Econometric models Filtering techniques |
Kieli: | eng |
Tiivistelmä: | The author investigates the behavior of the risk premium on the Swiss stock market. The risk premium consists of two components, which are estimated separately: the amount of volatility and the unit price of risk. |
SCIMA