What drives stochastic risk aversion?
Year of publication: |
2014
|
---|---|
Authors: | Cho, Sungjun |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 34.2014, p. 44-63
|
Subject: | Time-varying relative risk aversion | ICAPM | Nonlinear state-space model with GARCH | Theorie | Theory | Risikoaversion | Risk aversion | ARCH-Modell | ARCH model | Nichtlineare Regression | Nonlinear regression | CAPM |
-
The non-linear trade-off between return and risk : a regime-switching multi-factor framework
Cotter, John, (2014)
-
What drives stochastic risk aversion
Cho, Sungjun, (2009)
-
Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique, (2014)
- More ...
-
What drives stochastic risk aversion
Cho, Sungjun, (2009)
-
Essays in empirical asset pricing.
Cho, Sungjun, (2007)
-
An analysis of illiquidity in commodity markets
Cho, Sungjun, (2019)
- More ...