Qian Han

Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)

Assistant Professor

A 307, Economics Building

Xiamen, Fujian 361005

China

http://www.wise.xmu.edu.cn

SCHOLARLY PAPERS

2

DOWNLOADS

76

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Market Prices of Orthogonal Risk and Risk Aversion in Complete Stochastic Volatility Models: Theoretical and Empirical

Number of pages: 37 Posted: 19 Oct 2010
Qian Han and Calum G. Turvey
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Cornell University - School of Applied Economics and Management
Downloads 76 (373,350)
Citation 2

Abstract:

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Market Price of Orthogonal Risk, Risk Aversion, Stochastic Volatility Model

Equilibrium Market Prices of Risks and Market Risk Aversion in a Complete Stochastic Volatility Model with Habit Formation

Posted: 04 May 2010 Last Revised: 18 Oct 2010
Qian Han and Calum G. Turvey
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Cornell University - School of Applied Economics and Management

Abstract:

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Market Price of Risk, Pricing Kernel, Risk Aversion, Habit Formation, Stochastic Volatility Model

Equilibrium Market Prices of Risks and Market Risk Aversion in a Complete Stochastic Volatility Model with Habit Formation

Australian Centre for Financial Studies - Finsia Banking and Finance Conference 2010
Posted: 04 May 2010
Calum G. Turvey and Qian Han
Cornell University - School of Applied Economics and Management and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)

Abstract:

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Market Price of Risk, Pricing Kernel, Risk Aversion, Habit Formation, Stochastic Volatility Model