Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)
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DOI: 10.1007/s10479-015-1972-8
Abstract: We introduce a theoretical and empirical method of studying equilibrium-consistent volatility models. We implement it with the market portfolio’s return, which is central to financial risk management. Within an equilibrium framework, we study two families… read more here.
Keywords: equilibrium based; market portfolio; volatility; volatility models ... See more keywords