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Persistent link: https://www.econbiz.de/10012714744
We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily calculated. After estimating the parameters of the model by GMM,...
Persistent link: https://www.econbiz.de/10012714755