Counter-cyclical risk aversion
Year of publication: |
2014
|
---|---|
Authors: | Kim, Kun Ho |
Published in: |
Journal of Empirical Finance. - Elsevier, ISSN 0927-5398. - Vol. 29.2014, C, p. 384-401
|
Publisher: |
Elsevier |
Subject: | Consumption-based capital asset pricing model | Time-varying risk aversion | Two-stage local linear regression | Consistency | Local-stationarity | Counter-cyclicality |
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