The development of estimation and forecasting procedures using empirically realistic continuous-time stochastic … sample path realization of the latent instantaneous volatility process. Le développement de procédures d'estimation et de …

In this paper, we match both the first and the second moments of the equity premium and the risk-free rate by endowing … premium is 1.7% for a coefficient of relative risk aversion of 8 and a discount factor of 0.98, while the standard deviations … for both the equity premium and the risk-free rate are close to the observed ones. The mean of the risk-free rate stands …

We elicit subjects' willingness to pay to reduce future risk. In our experiments, subjects are given a cash endowment … probability sessions, suggesting that this bias robustly persists in environments including both risk and future uncertainty, and …

classical studies on voluntary contributions to public goods. The Nash equilibrium, under the assumption of risk neutrality …

This paper distinguishes relative risk aversion and resistance to intertemporal substitution in climate risk modeling …. It shows that higher risk aversion increases the optimal carbon tax. Higher resistance to intertemporal substitution … alone has the same effect as increasing the discount rate, provided that the risk is not too large. We discuss implications …

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … between implied and realized volatilities (the variance risk premium) and we find that a positive variance risk premium (an … anticipated increase in variance) has more impact on returns than a negative variance risk premium. …

specification. We contrast it with an arbitrage-free model, where prices of risk are estimated freely without preference constraints …

We examine whether risk, timing or mispricing hypotheses can explain the underperformance of private and public equity … issuers, in Canada, where both categories share several common characteristics. Adding an investment risk factor to the TFPM …

process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …