Abstract
We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data.
| Originalsprog | Engelsk |
|---|---|
| Tidsskrift | Economics Bulletin |
| Vol/bind | 30 |
| Udgave nummer | 1 |
| Sider (fra-til) | 182-191 |
| Antal sider | 10 |
| ISSN | 1545-2921 |
| Status | Udgivet - 21 jun. 2010 |
| Udgivet eksternt | Ja |