Level and slope of volatility smiles in long-run risk models

Journal of Economic Dynamics and Control - Tập 86 - Trang 95-122 - 2018
Nicole Branger1, Paulo Rodrigues2, Christian Schlag3
1Finance Center Muenster, University of Muenster, Universitaetsstrasse 14–16, 48143 Muenster, Germany
2Maastricht University, P.O. Box 616, 6200 MD Maastricht, Maastricht, The Netherlands
3Research Center SAFE, Goethe University Frankfurt, Theodor-W.-Adorno-Platz 3, 60323 Frankfurt am Main, Germany

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Journal of Economic Dynamics and Control

Tập 86

95-122

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