Time Dependent Relative Risk Aversion

Risk management and the thorough understanding of the relations betweenfinancial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors behavior from a macroeconomic aspect (modeled by the investors pricing kernel and their relative risk aversion) using stocks and options data...

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Authors:	Giacomini, Enzo ; Handel, Michael ; Härdle, Wolfgang K.
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Risikomanagement \| risk management \| Risikoaversion \| Erwartungstheorie \| Bilineares Zeitreihenmodell

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Extent:	1433600 bytes 39 p. application/pdf
Series:	Humboldt-Universität zu Berlin - Sonderforschungsbereich 649 - Discussion Papers SFB 649 Discussion Paper ; 2006-020
Type of publication:	Book / Working Paper
Language:	English
ISSN:	1860-5664
Classification:	C13 - Estimation ; C22 - Time-Series Models ; G12 - Asset Pricing ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005854712