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 |
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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 |