I examine determinants of stochastic relative risk aversion in conditional asset pricing models. I first develop time … determinant of relative risk aversion. Second, the CAY of Lettau and Ludvigson (2001a) without a look-ahead bias explains part of … relative risk aversion, and the short term interest rate has some explanatory power for hedging components.... …

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This … of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the correlation … computationally cheap and extremely accurate — most notably in the tail, which is crucial for risk calculations. A simulation study …

exceedances more than distant ones, but it also allows theintensity to depend on the marks of the events. Estimates of Value-at-Risk …