Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:regime shift 

Working Paper
Ambiguity Aversion and Variance Premium

This paper offers an ambiguity-based interpretation of variance premium?the difference between risk-neutral and objective expectations of market return variance?as a compounding effect of both belief distortion and variance differential regarding the uncertain economic regimes. Our approach endogenously generates variance premium without imposing exogenous stochastic volatility or jumps in consumption process. Such a framework can reasonably match the mean variance premium as well as the mean equity premium, equity volatility, and the mean risk-free rate in the data. We find that about 96 ...
FRB Atlanta Working Paper , Paper 2018-14

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

Miao, Jianjun 1 items

Wei, Bin 1 items

Zhou, Hao 1 items

FILTER BY Jel Classification

D81 1 items

E44 1 items

G12 1 items

G13 1 items

FILTER BY Keywords

PREVIOUS / NEXT