The market risk premium is an essential quantity that is very hard to estimate. Bounds have been tried to nail down the risk premium (Hansen and Jagannathan 1991 and lately Martin 2017).
- Speaker
- Date
- Thursday 19 Jun 2025, 12:00 - 13:00
- Type
- Seminar
- Room
- ET-14
- Location
- Campus Woudestein
These bounds bound correlations (empirically close to -1) against zero. Our proposal is to bound correlations against each other, resulting in much tighter bounds. Empirically, these bounds work well on particular days. The older bounds do not work well at all.
See also
- More information
Do you want to know more about the event? Contact the secretariat Econometrics at eb-secr@ese.eur.nl.
