2 papers
q-fin.PR2025
Option Pricing with Time-Varying Volatility Risk Aversion
Peter Reinhard Hansen, Chen Tong
We introduce a pricing kernel with time-varying volatility risk aversion to explain observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi…
econ.EM2025
A Multivariate Realized GARCH Model
Ilya Archakov, Peter Reinhard Hansen, Asger Lunde
We propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrizati…