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2006-03-13Buch DOI: 10.18452/3950
Time Dependent Relative Risk Aversion
dc.contributor.authorGiacomini, Enzo
dc.contributor.authorHandel, Michael
dc.contributor.authorHärdle, Wolfgang Karl
dc.date.accessioned2017-06-15T23:06:42Z
dc.date.available2017-06-15T23:06:42Z
dc.date.created2006-04-05
dc.date.issued2006-03-13
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4602
dc.description.abstractRisk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors’ behavior from a macroeconomic aspect (modeled by the investors’ pricing kernel and their relative risk aversion) using stocks and options data. Daily estimates of investors’ pricing kernel and relative risk aversion are obtained and used to construct and analyze a three-year long time-series. The first four moments of these time-series as well as their values at the money are the starting point of a principal component analysis. The relation between changes in a major index level and implied volatility at the money and between the principal components of the changes in relative risk aversion is found to be linear. The relation of the same explanatory variables to the principal components of the changes in pricing kernels is found to be log-linear, although this relation is not significant for all of the examined maturities.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectrisk aversioneng
dc.subjectpricing kernelseng
dc.subjecttime dependent preferenceseng
dc.subject.ddc330 Wirtschaft
dc.titleTime Dependent Relative Risk Aversion
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10062273
dc.identifier.doihttp://dx.doi.org/10.18452/3950
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages39
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue20
local.edoc.container-year2006
local.edoc.container-erstkatid2195055-6

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