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.
| Original language | English |
|---|---|
| Journal | Economics Bulletin |
| Volume | 30 |
| Issue number | 1 |
| Pages (from-to) | 182-191 |
| Number of pages | 10 |
| ISSN | 1545-2921 |
| Publication status | Published - 21 Jun 2010 |
| Externally published | Yes |