A Panel Data Analysis of Uncovered Interest Parity and Time-Varying Risk Premium
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DOI: 10.1007/s11079-020-09605-3
Abstract: There exist several exchange rate models that associate macroeconomic variables with the exchanges rates. In this article, we focus on uncovered interest parity (UIP) which relates the expected exchange rate changes to the intercountry interest… read more here.
Keywords: time varying; varying risk; risk premium; interest ... See more keywords
Option Pricing Under Time-Varying Risk-Aversion with Applications to Risk Forecasting
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DOI: 10.1016/j.jbankfin.2016.11.006
Abstract: We present a two-factor option-pricing model, which parsimoniously captures the difference in volatility persistences under the historical and risk-neutral probabilities. The model generates an S-shaped pricing kernel that exhibits time-varying risk aversion. We apply our… read more here.
Keywords: varying risk; risk; risk aversion; time varying ... See more keywords
The Cascade of Stress: A Network Approach to Explore Differential Dynamics in Populations Varying in Risk for Psychosis
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DOI: 10.1093/schbul/sbx037
Abstract: Stress plays a central role in the development and persistence of psychosis. Network analysis may help to reveal mechanisms at the level of the micro-dynamic effects between stress, other daily experiences and symptomatology. This is… read more here.
Keywords: varying risk; network; risk psychosis; stress ... See more keywords
Time-Varying Risk Aversion? Evidence from Near-Miss Accidents
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DOI: 10.1162/rest_a_01009
Abstract: We present evidence consistent with time-varying risk preferences among automobile drivers. Exploiting a unique dataset of agents’ high-frequency driving behavior collected by a mobile phone application, we show that drivers drive more conservatively following “near-miss”… read more here.
Keywords: varying risk; risk; risk aversion; time varying ... See more keywords