Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying

Marc Chesney, Robert Elliott, Dilip Madan and Hailiang Yang
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Marc Chesney: GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique

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Keywords: Diffusion coefficient; estimation; asset pricing; risk premia; sensitivities; time varying (search for similar items in EconPapers)
Date: 1993
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Published in 1993

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