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Università della Svizzera italiana

Essays in asset pricing

Orlowski, Piotr ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2017 ; 2017ECO002.

My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter's focal point is the measurement of the premium for jump risks in index option markets. The second chapter is devoted to non- parametric measurement of pricing kernel dispersion. The third chapter contributes to the literature on latent state variable recovery in...

Università della Svizzera italiana

An econometric analysis of time-varying risk premia in large cross-sectional equity datasets

Ossola, Elisa ; Gagliardini, Patrick (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO001.

In this thesis, we develop a new econometric methodology to estimate the time-varying risk premia implied by conditional linear asset pricing models. In contrast to the classical approach, we estimate risk premia from a large dataset of returns of individual stocks instead of portfolios. The aim is to avoid the potential bias and loss of information implied by sorting and grouping stocks into...

2 results 1