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Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices

Bonomo, Marco; Garcia, René; Meddahi, Nour; Tédongap, … - Institut d'Économie Industrielle (IDEI), Toulouse … - 2010

We propose an asset pricing model where preferences display generalized disappointment aversion (Routledge and Zin, 2009) and the endowment process involves long-run volatility risk. These preferences, which are embedded in the Epstein and Zin (1989) recursive utility framework, overweight...

Persistent link: https://www.econbiz.de/10008642495

Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices

Bonomo, Marco; Garcia, René; Meddahi, Nour; Tédongap, … - Toulouse School of Economics (TSE) - 2010

We propose an asset pricing model where preferences display generalized disappointment aversion (Routledge and Zin, 2009) and the endowment process involves long-run volatility risk. These preferences, which are embedded in the Epstein and Zin (1989) recursive utility framework, overweight...

Persistent link: https://www.econbiz.de/10008643918

Generalized disappointment aversion, long-run volatility risk and asset prices

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - 2010

Persistent link: https://www.econbiz.de/10008749056

Generalized disappointment aversion, long-run volatility risk, and asset prices

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - In: The review of financial studies 24 (2011) 1, pp. 82-122

Persistent link: https://www.econbiz.de/10008909444

The long and the short of the risk-return trade-off

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - In: Journal of econometrics 187 (2015) 2, pp. 580-592

Persistent link: https://www.econbiz.de/10011499780

ARMA representation of integrated and realized variances

Meddahi, Nour - In: The econometrics journal 6 (2003) 2, pp. 335-356

Persistent link: https://www.econbiz.de/10001831259

A theoretical comparison between integrated and realized volatility

Meddahi, Nour - In: Journal of applied econometrics 17 (2002) 5, pp. 479-508

Persistent link: https://www.econbiz.de/10001709312

A theoretical comparison between integrated and realized volatilities

Meddahi, Nour - 2001

Persistent link: https://www.econbiz.de/10001649040

An eigenfunction approach for volatility modeling

Meddahi, Nour - 2001

Persistent link: https://www.econbiz.de/10001649054

ARMA representation of integrated and realized variances

Meddahi, Nour (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001947560

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