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| 02584nam 2200397zi 4500 |
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| 001 | 9.888239 |
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| 003 | CaOODSP |
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| 005 | 20221107171931 |
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| 006 | m o d f |
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| 007 | cr |n||||||||| |
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| 008 | 200615t20202020oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng|erda|cCaOODSP |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2020-19E-PDF |
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| 100 | 1 |aFeunou, Bruno, |eauthor. |
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| 245 | 14|aThe term structures of expected loss and gain uncertainty / |cby Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu. |
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| 264 | 1|aOttawa, Ontario, Canada : |bBank of Canada = Banque du Canada, |c2020. |
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| 264 | 4|c©2020 |
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| 300 | |a1 online resource (78 pages in various pagings) : |bgraphs (mostly colour). |
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| 336 | |atext|btxt|2rdacontent |
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| 337 | |acomputer|bc|2rdamedia |
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| 338 | |aonline resource|bcr|2rdacarrier |
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| 490 | 1 |aStaff working paper = Document de travail du personnel, |x1701-9397 ; |v2020-19 |
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| 500 | |aCover title. |
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| 500 | |a"Last updated: June 3, 2020." |
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| 504 | |aIncludes bibliographical references. |
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| 520 | 3 |a"We document that the term structures of risk-neutral expected loss and gain uncertainty on S&P 500 returns are upward sloping on average. These shapes mainly reflect the higher premium required by investors to hedge downside risk and the belief that potential gains will increase in the long run. The term structures exhibit substantial time-series variation with large negative slopes during crisis periods. Through the lens of Andersen et al.’s (2015) framework, we evaluate the ability of existing reduced-form option pricing models to replicate these term structures. We stress that three ingredients are particularly important: (i) the inclusion of jumps, (ii) disentangling the price of negative jump risk from its positive analog in the stochastic discount factor specification, and (iii) specifying three latent factors"--Abstract, page ii. |
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| 650 | 0|aStock exchanges|xEconometric models|zCanada. |
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| 650 | 0|aRate of return|xEconometric models|zCanada. |
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| 650 | 0|aRisk-return relationships|xEconometric models|zCanada. |
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| 650 | 6|aBourse|xModèles économétriques|zCanada. |
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| 650 | 6|aTaux de rendement|xModèles économétriques|zCanada. |
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| 650 | 6|aRapport risque-rendement|xModèles économétriques|zCanada. |
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| 710 | 2 |aBank of Canada, |eissuing body. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2020-19.|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s1.27 MB|uhttps://publications.gc.ca/collections/collection_2020/banque-bank-canada/FB3-5-2020-19-eng.pdf |
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