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Geert Bekaert (Columbia Business School) &
Marie Hoerova and Martin Scheicher (European Central Bank) EUROPEAN CENTRAL BANK WORKING PAPER SERIES EXECUTIVE SUMMARY (ABSTRACT) In this paper, we develop a measure of time-varying risk aversion that is relatively easy to estimate or compute, so that it can be compared to the practitioners’ indices. However, the model we use is inspired by t…
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