Persistence risk is an endogenous source of risk that arises when a rational agent learns about the length of business … cycles. Persistence risk is positive during recessions and negative during expansions. This asymmetry, which solely results … from learning about persistence, causes expected returns, return volatility, and the price of risk to rise during …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

, and thus its rationality can be evaluated. In two experiments, the authors observe that quick consensus emerges early …