Time-Varying Risk Perceptions and the Pricing of Risky Assets
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- Benjamin M. Friedman & Kenneth N. Kuttner, 1988. "Time-Varying Risk Perceptions and the Pricing of Risky Assets," NBER Working Papers 2694, National Bureau of Economic Research, Inc.
References listed on IDEAS
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Citations
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Cited by:
- Shaffer, Sherrill, 1998.
"Capital Requirements and Rational Discount-Window Borrowing,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 30(4), pages 849-863, November.
- Sherrill Shaffer, 1996. "Capital requirements and rational discount window borrowing," Working Papers 96-4, Federal Reserve Bank of Philadelphia.
- Lopez, Jose A, 2001.
"Evaluating the Predictive Accuracy of Volatility Models,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 20(2), pages 87-109, March.
- Jose A. Lopez, 1995. "Evaluating the predictive accuracy of volatility models," Research Paper 9524, Federal Reserve Bank of New York.
- D H Kim, 2002. "Another look at yield spreads: The role of liquidity," Centre for Growth and Business Cycle Research Discussion Paper Series 04, Economics, The Univeristy of Manchester.
- D H Kim, 2003. "Another Look at Yield Spreads: The Role of Liquidity," The School of Economics Discussion Paper Series 0306, Economics, The University of Manchester.
- West, Kenneth D. & Edison, Hali J. & Cho, Dongchul, 1993.
"A utility-based comparison of some models of exchange rate volatility,"
Journal of International Economics,
Elsevier, vol. 35(1-2), pages 23-45, August.
- Kenneth D. West & Hali J. Edison & Dongchul Cho, 1992. "A Utility Based Comparison of Some Models of Exchange Rate Volatility," NBER Technical Working Papers 0128, National Bureau of Economic Research, Inc.
- Kenneth D. West & Hali J. Edison & Dongchul Cho, 1993. "A utility based comparison of some models of exchange rate volatility," International Finance Discussion Papers 441, Board of Governors of the Federal Reserve System (U.S.).
- repec:adr:anecst:y:1991:i:24:p:01 is not listed on IDEAS
- Kenneth Kuttner, 2006. "Can Central Banks Target Bond Prices?," NBER Working Papers 12454, National Bureau of Economic Research, Inc.
- Shaffer, Sherrill, 1999.
"The discount window and credit availability,"
Journal of Banking & Finance,
Elsevier, vol. 23(9), pages 1383-1406, September.
- Sherrill Shaffer, 1995. "The discount window and credit availability," Working Papers 95-23, Federal Reserve Bank of Philadelphia.
- Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
- Bekdache, Basma, 2001. "Term Premia and the Maturity Composition of the Federal Debt: New Evidence from the Term Structure of Interest Rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(7), pages 519-539, November.
- Tong, Wilson H. S., 1996. "An examination of dynamic hedging," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 19-35, February.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Longin, Francois M, 1997. "The Threshold Effect in Expected Volatility: A Model Based on Asymmetric Information," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 837-869.
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