Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine
reverting and countercyclical (instead of constant in the standard model) market prices of risk, mean reverting and procyclical … (instead of constant) risk free rates, decreasing (instead of flat) yield curves in the long run, possibly higher returns and … higher risk premia in the long run (instead of a flat structure), momentum in stock returns in the short run, more variance …