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Currency options, skewness and kurtosis, Gram-Charlier expansions, implied volatility
time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency, hyperbolic discounting, precautionary saving, equity premium, risk sharing
Uncovered interest parity, carry trade, exchange rates, Taylor rule
Time preference, risk, uncertainty, ambiguity, robust control, temptation, dynamic consistency
Yield curve, forward rates, volatility, term premium, affine models, monetary policy
yield curve, forward rates, volatility, term premium, affine models, monetary policy
bond prices and yields, forward rates, time-dependent drift and volatility, options
forward and spot exchange rates, risk premium, pricing kernels, bond pricing
capital, taxes, capital-output ratio, international capital flows
pricing kernel, asset returns, bond yields, recursive preferences, habits, jumps, disasters
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP8488.
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asset returns, bond yields, disasters, habits, jumps, pricing kernel, recursive preferences
entropy, coentropy, term structure, yields, excess returns
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
File name: DP11227.
entropy; coentropy; term structure; yields; excess returns
File name: DP7416.
cumulants, entropy, equity premium, implied volatility, pricing kernel, risk-neutral probabilities
forward-looking models; information sets;, monetary policy; exponential-affine models
File name: DP9611.
exponential-affine models, forward-looking models, information sets, monetary policy
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