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Asset prices under habit formation and reference-dependent preferences
Yogo, Motohiro - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 131-143
Persistent link: https://www.econbiz.de/10003675590
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Ambiguity, learning, and asset returns
Ju, Nengjiu; Miao, Jianjun - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 2, pp. 559-591
Persistent link: https://www.econbiz.de/10009535006
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What does it take for a specific prospect theory type household to engage in risky investment?
Hlouskova, Jaroslava; Tsigaris, Panagiotis Demetrios - 2012
Persistent link: https://www.econbiz.de/10009566938
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Risk premia : short and long-term
Khrapov, Stanislav - 2012
Persistent link: https://www.econbiz.de/10009549433
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Incorporating risk and ambiguity aversion into a hybrid model of default
Jaimungal, Sebastian; Sigloch, Georg - In: Mathematical finance : an international journal of … 22 (2012) 1, pp. 57-81
Persistent link: https://www.econbiz.de/10009554694
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Expected returns and the business cycle : heterogeneous goods and time-varying risk aversion
Lochstoer, Lars A. - In: The review of financial studies 22 (2009) 12, pp. 5251-5294
Persistent link: https://www.econbiz.de/10003916328
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Uncertain growth, ambiguity aversion and asset prices
Liu, Hening - 2011
I develop a stochastic growth model with production where there is a hidden state governing productivity growth regimes, and the hidden state evolves according to a Markov chain. Economic agents learn about the hidden state and display ambiguity aversion in the spirit of Klibanoff et al. (2005)....
Persistent link: https://www.econbiz.de/10009411461
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Implied risk aversion and volatility risk premiums
Yoon, Sun-joong; Byun, Suk Joon - In: Applied financial economics 22 (2012) 1/3, pp. 59-70
Persistent link: https://www.econbiz.de/10009419575
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Pricing kernels with stochastic skewness and volatility risk
Chabi-yo, Fousseni - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 624-640
Persistent link: https://www.econbiz.de/10009525254
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The non-linear trade-off between return and risk : a regime-switching multi-factor framework
Cotter, John; Salvador, Enrique - 2014
Persistent link: https://www.econbiz.de/10010465672