A Model of Return Volatility with Application to Estimating Relative Risk Aversion.

We estimate a monthly return volatility model that allows for the abrupt changes in volatility often observed in returns data. Using this model we are able to identify key months likely to correspond to draws from a high volatility regime. Using our model in conjunction with Merton's (1980) model relating expected risk premia to risk we obtain reasonable estimates of the coefficient of relative risk aversion. Copyright 1999 by Kluwer Academic Publishers

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Year of publication:	1999
Authors:	Klock, Mark ; Phillips, Robert F
Published in:	Review of Quantitative Finance and Accounting. - Springer. - Vol. 13.1999, 3, p. 249-60
Publisher:	Springer

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005673935