State Dependence Can Explain the Risk Aversion Puzzle

By Fousseni Chabi-Yo, René Garcia, É. Renault. 2008

124 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/08e33f737d43bb94631eec222290f9ae82116067

Citations in the corpus

• Disasters Implied by Equity Index Options (2011, unknown): “…preference (Harvey and Siddique, 2000), recursive preferences (Garcia, Luger, and Renault, 2002, and Wachter, 2009), state-dependent preferences (Chabi-Yo, Garcia, and Renault, 2008), ambiguity (Drechsler, 2008, and Liu, Pan, and Wang, 2005), learning (Shaliastovich, 2008), and habits (Bekaert…”
• A tale of two option markets: Pricing kernels and volatility risk ☆ (2014, unknown): “Our finding echoes the conclusions of parametric models in Jackwerth and Brown (2001), Chabi-Yo et al. (2008), Chabi-Yo (2011), and Christoffersen et al. (2010), that missing state variables in the pricing kernel may result in the U-shape.”