Essays in Asset Pricing
In the first chapter, I build a New Keynesian asset pricing model with optimal monetary policy and Epstein-Zin preferences that accounts for some of the stylized facts concerning the term structures of equity and bond risk premia. The model-implied term structure of equity risk premia and its volati...
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| Format: | Others |
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Research Showcase @ CMU
2018
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| Online Access: | http://repository.cmu.edu/dissertations/1196 http://repository.cmu.edu/cgi/viewcontent.cgi?article=2235&context=dissertations |