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Price volatility and risk with non-separability of preferences

Drees, Burkhard; Eckwert, Bernhard - In: Mathematical social sciences 39 (2000) 1, pp. 21-34

Persistent link: https://www.econbiz.de/10001455759

Spectral welfare cost functions

Otrok, Christopher M. - In: International economic review 42 (2001) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10001577903

Computing DSGE models with recursive preferences and stochastic volatility

Caldara, Dario; Fernández-Villaverde, Jesús; … - 2012

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Computing DSGE models with recursive preferences and stochastic volatility

Caldara, Dario; Fernández-Villaverde, Jesús; … - In: Review of economic dynamics 15 (2012) 2, pp. 188-206

Persistent link: https://www.econbiz.de/10010218753

Exchange rates dynamics with lung-run risk and recursive preferences

Kollmann, Robert - 2014

Persistent link: https://www.econbiz.de/10010483701

Exchange rates dynamics with long-run risk and recursive preferences

Kollmann, Robert - 2014

Persistent link: https://www.econbiz.de/10010440129

Exchange rates dynamics with long-run risk and recursive preferences

Kollmann, Robert - In: Open economies review 26 (2015) 2, pp. 175-196

Persistent link: https://www.econbiz.de/10011474105

Exchange rates dynamics with long-run risk and recursive preferences

Kollmann, Robert - 2014

Persistent link: https://www.econbiz.de/10011341969

Wealth inequality, preference heterogeneity and macroeconomic volatility in two-sector economies

Ghiglino, Christian; Venditti, Alain - In: Journal of economic theory 135 (2007) 1, pp. 414-441

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Variance Discount Rates : What Drives Preferences over Variance Risk?

Koëter, Joren - 2021

I study time-variation in variance discount rates, defined as the expected returns for investing in variance risk. I show that variance discount rates drive a significant fraction of the variation in prices of S&P 500 variance swaps. This analysis offers important insights into preferences of...

Persistent link: https://www.econbiz.de/10013250555