How Much Would You Pay to Resolve Long-Run Risk?
Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when calibrating preferences, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles have ignored the full implications of their parameter specica- tions. Recursive utility implies that the temporal resolution of risk matters and a quantitative assessment of how much it matters should be part of the calibration process. This paper gives a sense of the magnitudes of implied timing premia. Its objective is to inject temporal resolution of risk into the discussion of the quantitative properties of long-run risks and related models.
Year of publication: |
2013-02
|
---|---|
Authors: | Epstein, Larry G. ; Farhi, Emmanuel ; Strzaleck, Tomasz |
Institutions: | Department of Economics, Boston University |
Saved in:
freely available
Saved in favorites
Similar items by person
-
SYMMETRY OF EVIDENCE WITHOUT EVIDENCE OF SYMMETRY
Epstein, Larry G., (2008)
-
Epstein, Larry G., (2013)
-
NON-BAYESIAN UPDATING: A THEORETICAL FRAMEWORK
Epstein, Larry G., (2005)
- More ...