Lauria, Davide; Park, Jiho; Hu, Yuan; Lindquist, W. Brent; … - In: Risks : open access journal 12 (2024) 12, pp. 1-19
theoretical model for a shadow riskless rate (SRR) for such a market, based on the drift component of the state-price deflator for … computational analysis provides the drift as well as the total volatility of the state-price deflator. We investigate the time … trajectory of these two descriptive components of the state-price deflator for the empirical datasets. …