Browsing Documentos indexados pela Scopus by Title "Generalized disappointment aversion, long-run volatility risk, and asset prices"

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    • Generalized disappointment aversion, long-run volatility risk, and asset prices 

      Bonomo, Marco Antônio Cesar; Garcia, René; Meddahi, Nour; Tédongap, Roméo
      2011
      We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability ...