Research data used in the paper entitled \"Operating Model and Estimation of Insurance Premium for an Energy Futures Clearing House in Brazil\" published in Revista Brasileira de Gestão de Negócios (R
We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional covariances of returns on assets with the return on the market and other state varia
This replication package provides all data, code, and instructions required to reproduce the empirical results presented in the paper “Time-Varying Tails and the Tail Risk Premium”.
