Data for: Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion
Published: 1 July 2024| Version 1 | DOI: 10.17632/9ms26rjb93.1
Contributors:
, Javier Rojo Suárez, Description
Data complited from the Kenneth R. French website and the economic database of the Federal Reserve Bank of St. Louis (FRED). These data series are used as research data in the following paper: Lago-Balsalobre, R., Rojo-Suárez, J., Alonso-Conde, A.B. (2023). Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion. The North American Journal of Economics and Finance, 66, 101909. doi: https://doi.org/10.1016/j.najef.2023.101909
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Institutions
Universidad Rey Juan Carlos
Categories
Financial Market, Asset Pricing, Ambiguity, Stock Market Valuation, Aggregate Consumption, Volatility, Discount Rate