10 citations · 25 across the 8 of their papers we have counts for
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econ.EM2022★ 3 cited
A New Method for Generating Random Correlation Matrices
Ilya Archakov, Peter Reinhard Hansen, Yiyao Luo
We propose a new method for generating random correlation matrices that makes it simple to control both location and dispersion. The method is based on a vector parameterization, g…
q-fin.PR2022★ 6 cited
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…