Lundtofte, Frederik; Wilhelmsson, Anders - In: Journal of Banking & Finance 37 (2013) 11, pp. 4256-4264
We derive exact expressions for the risk premia for general distributions in a Lucas economy and show that the errors when using log-linear approximations can be economically significant when the shocks are nonnormal. Assuming growth rates are Normal Inverse Gaussian (NIG) and fitting the...