A Robust General Equilibrium Stochastic Volatility Model with Recursive Preference Investors
Year of publication: |
2011
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Authors: | Xu, Weidong ; Li, Hongyi ; Wu, Chongfeng |
Published in: |
Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 12.2011, 2, 2, p. 217-231
|
Publisher: |
China Economics and Management Academy |
Subject: | General equilibrium | Robust control | Stochastic volatility model | Equity premium |
Extent: | application/pdf |
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Type of publication: | Article |
Language: | English |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D51 - Exchange and Production Economies ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
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