The Role of Volatility Shocks and Rare Events in Long-Run Risk Models
Branger Nicole, Rodrigues Paulo, Schlag Christian
Keywords
Asset pricing; Epstein-Zin preferences; jump risk; stochastic volatility; smile dynamics
Publication type
Research article (journal)
Peer reviewed
Yes
Publication status
Published
Year
2018
Journal
Journal of Economic Dynamics and Control
Volume
86
Start page
95
End page
122
Language
English
ISSN
0165-1889
DOI