Roughing up Risk Premia: A Robust Strategy for the Estimation of Continuous and Discontinuous Risk Prices
-
Published:2024
Issue:
Volume:
Page:
-
ISSN:1556-5068
-
Container-title:SSRN Electronic Journal
-
language:en
-
Short-container-title:SSRN Journal
Reference22 articles.
1. Principal component analysis of high-frequency data;Yacine A�t;Journal of the American Statistical Association,2019
2. High-frequency factor models and regressions;Yacine A�t-Sahalia;Journal of Econometrics,2020
3. Rare disasters and asset markets in the twentieth century;J Robert;The Quarterly Journal of Economics,2006