Feunou, Bruno; Jean-Sébastien; Taamouti, Abderrahim; … - Departamento de Economía, Universidad Carlos III de Madrid - 2011
Theoretical risk factors underlying time-variations of risk premium across asset classes are typically unobservable or hard to measure by construction. Important examples include risk factors in Long Run Risk [LRR] structural models (Bansal and Yaron 2004) as well as stochastic volatility or...