Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015
price of risk, and factors that are both. The estimators explicitly allow for time varying prices of risk, time varying … estimators in an application to the joint pricing of stocks and bonds. The application features strongly time varying, highly … significant prices of risk which are found to be quantitatively more important than time varying betas in reducing pricing errors. …