Listagem FGV EPGE - Ensaios Econômicos por Assunto "Risco (Economia) - Modelos econométricos"

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    • The forward- and the equity-premium puzzles: two symptoms of the same illness? 

      Costa, Carlos Eugênio da; Issler, João Victor; Matos, Paulo Rogério Faustino
      2010-11-05
      Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...

    • The forward- and the equity-premium puzzles: two symptoms of the same illness? 

      Costa, Carlos Eugênio da; Issler, João Victor; Matos, Paulo Rogério Faustino
      2012-04-24
      Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...