• Level and Slope of Volatility Smiles in Long-Run Risk Models 

      Branger, Nicole; Rodrigues, Paulo; Schlag, Christian (2017-10-16)
      We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine ...