Is the relative risk aversion parameter constant over time? A multi-country study
- Samarjit Das
- Nityananda Sarkar
DOIAbstract
Bootstrap, Information matrix test, Parameter constancy, Relative risk aversion and ARCH-M, C10, C15,
Bootstrap, Information matrix test, Parameter constancy, Relative risk aversion and ARCH-M, C10, C15,
Risk preferences broadly affect many economic decisions when markets are incomplete. Common represen...
The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sect...
The conventional measures of absolute and relative risk aversion are appropriate for measuring prefe...
Most classical tests of constant relative risk aversion (CRRA) based on individual portfolio composi...
In our project, we estimated the time series of risk aversion using annual data for the U.S. We use...
Abstract We adopt realized covariances to estimate the coefficient of risk aversion across portfolio...
Estimates of risk aversion can be obtained from controlled laboratory experiments. The temporal stab...
Risk analyses often require a measure of individual risk aversion. Here a procedure is presented to...
The existing literature on savings, insurance, and portfolio choices under risk has revealed that qu...
In this paper we compute an aggregate index of risk aversion and indices of vulnerability and the co...
The paper introduces a new notion of risk aversion that is independent of the good under observation...
Intertemporal correlation aversion is an intuitive concept indicating whether an individual prefers ...
SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, D-21400 Kiel W 113 (345) / FI...
textabstractThe equity premium puzzle holds that the coefficient of relative risk aversion estimated...
We propose a continuous-time consumption-based capital asset pricing model in which the representati...
Risk preferences broadly affect many economic decisions when markets are incomplete. Common represen...
The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sect...
The conventional measures of absolute and relative risk aversion are appropriate for measuring prefe...
Most classical tests of constant relative risk aversion (CRRA) based on individual portfolio composi...
In our project, we estimated the time series of risk aversion using annual data for the U.S. We use...
Abstract We adopt realized covariances to estimate the coefficient of risk aversion across portfolio...
Estimates of risk aversion can be obtained from controlled laboratory experiments. The temporal stab...
Risk analyses often require a measure of individual risk aversion. Here a procedure is presented to...
The existing literature on savings, insurance, and portfolio choices under risk has revealed that qu...
In this paper we compute an aggregate index of risk aversion and indices of vulnerability and the co...
The paper introduces a new notion of risk aversion that is independent of the good under observation...
Intertemporal correlation aversion is an intuitive concept indicating whether an individual prefers ...
SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, D-21400 Kiel W 113 (345) / FI...
textabstractThe equity premium puzzle holds that the coefficient of relative risk aversion estimated...
We propose a continuous-time consumption-based capital asset pricing model in which the representati...
Risk preferences broadly affect many economic decisions when markets are incomplete. Common represen...
The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sect...
The conventional measures of absolute and relative risk aversion are appropriate for measuring prefe...
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