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Time-varying risk aversion and unexpected inflation

✍ Scribed by Brandt, Michael W. (author);Wang, Kevin Q. (author)

Book ID
113725480
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
437 KB
Volume
50
Category
Article
ISSN
0304-3932

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We would like to compare futures with options, unfortunately we do not have an option contract that matches the time period of our study. SIMEX has an option on the Nikkei 225 with a much shorter history. Moreover, even if such a contract exists, it would be very thin (as we have experienced in comp