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Endogenous time-varying risk aversion and asset returns
Stylized facts about statistical properties for short horizon returns in financial markets have been identified in the literature, but a satisfactory understanding for their manifestation is yet to be achieved. In this work, we show that a simple asset pricing model with representative agent is able...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer Berlin Heidelberg
2016
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5253724/ https://www.ncbi.nlm.nih.gov/pubmed/28163392 http://dx.doi.org/10.1007/s00191-015-0435-3 |