A Long-Run Risks Model of Asset Pricing with Fat Tails
Year of publication: |
2008-11
|
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Authors: | Wang, Zhiguang ; Bidarkota, Prasad V. |
Institutions: | Department of Economics, Florida International University |
Subject: | asset pricing | long run risks | equity risk premium | fat tails | Dampened Power Law | Levy process |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 0810 53 pages |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; E43 - Determination of Interest Rates; Term Structure Interest Rates |
Source: |
-
The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia
Bidarkota, Prasad V., (2004)
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Incomplete Information in a Long Run Risks Model of Asset Pricing
Bidarkota, Prasad V., (2008)
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Asset Pricing with Incomplete Information under Stable Shocks
Bidarkota, Prasad V., (2005)
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Asset Pricing with Incomplete Information under Stable Shocks
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Bidarkota, Prasad V., (2005)
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Incomplete Information in a Long Run Risks Model of Asset Pricing
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