Browsing by Author "116a0e9d-a35c-4227-a920-c188b26c3668"
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Bernales Silva, Alejandro; Chen, Louisa; Valenzuela Bravo, Marcela (Elsevier, 2017)We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium ( V RP) for option returns. In the model, a representative agent fol- lows a rational Bayesian learning process ...