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This paper extends the approximate closed-form intertemporal capital asset pricing model of Campbell (1993) to allow for stochastic volatility. The return on the aggregate stock market is modeled as one element of a vector autoregressive (VAR) system, and the volatility of all shocks to the VAR...
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Purpose – The purpose of this paper is to explore intersectionality as accomplished in interaction, and particularly national difference as a component of intersectionality. Design/methodology/approach – The authors use ethnographic, shadowing methods to examine intersectionality in-depth...
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A number of flexible distributions (generalized beta of the second kind, inverse hyperbolic sine (IHS), <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$g$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>g</mi> </math> </EquationSource> </InlineEquation>-and-<InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$h$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>h</mi> </math> </EquationSource> </InlineEquation>, Weibull, Burr-3, Burr-12, generalized gamma, reciprocal gamma) are examined in the setting of option-pricing to explore potential improvements over the...</equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation>
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