Search Results - subject:"stochastic risk aversion"

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Can shocks to risk aversion explain business cycle fluctuations in Bulgaria (1999-2019)?

Vasilev, Aleksandar - In: Managing global transitions : international research journal 19 (2021) 4, pp. 271-284

Persistent link: https://www.econbiz.de/10013362664

Does the procedure matter?

Lin, Lihui - In: Journal of behavioral and experimental economics 90 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012642578

Term Structure Modeling for Pension Funds:What to do in Practice?

Vlaar, Peter - de Nederlandsche Bank - 2007

meets these criteria. The factors are the short term rate, expected inflation and stochastic risk aversion. The model is …

Persistent link: https://www.econbiz.de/10005101819

Term structure modeling for pension funds : what to do in practice?

Vlaar, Peter J. G. - 2006

Persistent link: https://www.econbiz.de/10003401861

Risk, Uncertainty and Asset Prices

Bekaert, Geert; Engstrom, Eric; Xing, Yuhang - C.E.P.R. Discussion Papers - 2006

We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent...

Persistent link: https://www.econbiz.de/10005124333