Stochastic volatility implies fourth-degree risk dominance: Applications to asset pricing

Author:

Gollier ChristianORCID

Funder

European Research Council

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference39 articles.

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2. An exploration of the effects of optimism and doubt on asset returns;Abel;J. Econ. Dyn. Control,2002

3. An empirical evaluation of the long-run risks model for asset prices;Bansal;Crit. Financ. Rev.,2012

4. Risks for the long run: estimation with time aggregation;Bansal;J. Monet. Econ.,2016

5. Bansal, R., Miller, S., Yaron, A., 2017. Is the Term Structure of Equity Risk Premia Upward Sloping?Duke University Working paper.

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