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Wealth inequality, preference heterogeneity and macroeconomic volatility in two-sector economies
Ghiglino, Christian; Venditti, Alain - In: Journal of economic theory 135 (2007) 1, pp. 414-441
Persistent link: https://www.econbiz.de/10003546411
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Computing DSGE models with recursive preferences and stochastic volatility
Caldara, Dario; Fernández-Villaverde, Jesús; … - 2012
Persistent link: https://www.econbiz.de/10009505593
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Exchange rates dynamics with long-run risk and recursive preferences
Kollmann, Robert - 2014
Persistent link: https://www.econbiz.de/10011341969
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Exchange rates dynamics with lung-run risk and recursive preferences
Kollmann, Robert - 2014
Persistent link: https://www.econbiz.de/10010483701
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Exchange rates dynamics with long-run risk and recursive preferences
Kollmann, Robert - In: Open economies review 26 (2015) 2, pp. 175-196
Persistent link: https://www.econbiz.de/10011474105
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Spectral welfare cost functions
Otrok, Christopher M. - In: International economic review 42 (2001) 2, pp. 345-367
Persistent link: https://www.econbiz.de/10001577903
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Price volatility and risk with non-separability of preferences
Drees, Burkhard; Eckwert, Bernhard - In: Mathematical social sciences 39 (2000) 1, pp. 21-34
Persistent link: https://www.econbiz.de/10001455759
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Computing DSGE models with recursive preferences and stochastic volatility
Caldara, Dario; Fernández-Villaverde, Jesús; … - In: Review of economic dynamics 15 (2012) 2, pp. 188-206
Persistent link: https://www.econbiz.de/10010218753
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Exchange rates dynamics with long-run risk and recursive preferences
Kollmann, Robert - 2014
Persistent link: https://www.econbiz.de/10010440129
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Empirical pricing kernels and investor preferences
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...
Persistent link: https://www.econbiz.de/10003633572