Endogenous second moments: A unified approach to fluctuations in risk, dispersion, and uncertainty
We explore a mechanism by which second moments—such as cross-sectional dispersions, risk, volatility, or uncertainty—naturally and endogenously fluctuate over time as nonlinear transformations of fundamentals. Specifically, we provide theoretical results that characterize second moments of transform...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Academic Press Inc.
2019
|
| Subjects: | |
| Online Access: | View Fulltext in Publisher |