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• W1498694889 abstract "Les auteurs presentent le modele « homoscedastique gamma », ou modele HG, ou la distribution des rendements est caracterisee par sa moyenne, sa variance et un parametre d'asymetrie. Dans le modele HG, l'ecart entre les volatilites observee et neutre a l'egard du risque est fonction de la prime de risque et du degre d'asymetrie : la prime de risque appliquee aux actions est en fait le double du ratio de l'ecart de volatilite a la mesure de l'asymetrie." @default.
• W1498694889 created "2016-06-24" @default.
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• W1498694889 date "2009-01-01" @default.
• W1498694889 modified "2023-10-18" @default.
• W1498694889 title "The Equity Premium and The Volatility Spread : The Role of Risk-Neutral Skewness" @default.
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• W1498694889 doi "https://doi.org/10.2139/ssrn.1301696" @default.
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