Now showing items 1-1 of 1

    • On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching? 

      Sola, Martin; Caravello, Tomás Enrique; Driffill, John; Kenc, Turalay (Journal of Economic Dynamics & Control (e-ISSN: 1879-1743), 2024-07)
      We develop and estimate a consumption-based asset pricing model that uses historical US financial data and assumes recursive utility, allowing for priced regime-switching risk and intrinsic bubbles. We also estimate ...