Measuring risk aversion from excess returns on a stock index

Author:

Chou Ray,Engle Robert F.,Kane Alex

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference40 articles.

1. Stock prices under time varying dividend risk: An exact solution in an infinite-horizon general equilibrium model;Abel;Journal of Monetary Economics,1988

2. Conditional heteroskedasticity in time series of stock returns: Evidence and forecasts;Akgiray;Journal of Business,1989

3. Optimal filtering;Anderson,1971

4. Risk, time varying second moments and market efficiency;Attanasio,1989

5. Risk and the predictability of stock market returns;Attanasio,1989

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