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Persistent link: https://www.econbiz.de/10003971758
The recently developed long-run risks asset pricing model shows that concerns about long-run expected growth and time-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can account for the risk premia and asset price...
Persistent link: https://www.econbiz.de/10003495605
structure of interest rates. Different from other studies, we estimate an arbitrage-free term structure model that explicitly … arbitrage opportunities into the Treasury security markets. Short- to medium- term forward rates were reduced (less than twelve …
Persistent link: https://www.econbiz.de/10013108838