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The stochastic volatility in mean model: empirical evidence from internationa...
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM... -
Substitution, risk aversion, taste shocks and equity premia (replication data)
This paper gauges the relative contribution of risk aversion, inter-temporal substitution and taste shocks on postwar monthly US equity premia. The time-varying consumption,...
