Dynamic Intermediary Asset Pricing at Arbitrary Frequencies
policytensor.substack.com
I've grown sick of rough cut estimates and back of the envelope reasoning. I decided to run a full dynamic asset pricing model to test the hypothesis that we can instrument intermediary risk appetite at daily frequency with innovations in the volatility risk premium. Put simply, I decided to do things the kosher way.
Dynamic Intermediary Asset Pricing at Arbitrary Frequencies
Dynamic Intermediary Asset Pricing at…
Dynamic Intermediary Asset Pricing at Arbitrary Frequencies
I've grown sick of rough cut estimates and back of the envelope reasoning. I decided to run a full dynamic asset pricing model to test the hypothesis that we can instrument intermediary risk appetite at daily frequency with innovations in the volatility risk premium. Put simply, I decided to do things the kosher way.