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  • Search: person:"Breeden, D.T."
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Year of publication
Subject
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Theorie 10 Theory 10 CAPM 7 Consumption theory 3 Interest rate 3 Konsumtheorie 3 Option pricing theory 3 Optionspreistheorie 3 Risikoprämie 3 Risk premium 3 USA 3 United States 3 Zins 3 Derivat 2 Derivative 2 Habit-Persistence-Hypothese 2 Habit-persistence hypothesis 2 Inflation 2 Measurement 2 Messung 2 Private consumption 2 Privater Konsum 2 Risiko 2 Risk 2 Time series analysis 2 Zeitreihenanalyse 2 1926-1982 1 1976-1998 1 1977-1981 1 Adverse Selektion 1 Adverse selection 1 Aktienmarkt 1 Asymmetric information 1 Asymmetrische Information 1 BL skew 1 Black-Scholes model 1 Black-Scholes-Modell 1 Bond market 1 Börsenkurs 1 Capital income 1
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Online availability
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Undetermined 3 Free 2
Type of publication
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Article 12 Book / Working Paper 6
Type of publication (narrower categories)
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Article in journal 10 Aufsatz in Zeitschrift 10 Aufsatz im Buch 2 Book section 2 Systematic review 2 Übersichtsarbeit 2 Arbeitspapier 1 Collection of articles of several authors 1 Graue Literatur 1 Non-commercial literature 1 Reprint 1 Sammelwerk 1 Working Paper 1
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Language
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English 17 Undetermined 1
Author
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Breeden, Douglas T. 17 Litzenberger, Robert H. 8 Jia, Tingyan 4 Breeden, D.T. 1 Gibbons, Michael R. 1 Gibbons, Robert R. 1 Gilkeson, J.H. 1 Gilkeson, James H. 1 Viswanathan, S. 1
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Published in...
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Annual review of financial economics 2 Journal of banking & finance 2 The journal of fixed income 2 Economic notes : economic review of Banca Monte dei Paschi di Siena 1 Journal of financial economics 1 Journal of investment management : JOIM 1 Options : classic approaches to pricing and modelling 1 The journal of finance : the journal of the American Finance Association 1 The journal of fixed income : JFI 1 The legacy of Fischer Black 1 Working paper series / Columbia University, Columbia Business School, Center for the Study of Futures Markets 1
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Source
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ECONIS (ZBW) 17 OLC EcoSci 1
Showing 1 - 10 of 18
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Stock market insurance prices, BL Skew, conditional marginal utilities and the equity risk premium
Breeden, Douglas T. - In: Journal of investment management : JOIM 22 (2024) 3, pp. 37-55
Persistent link: https://www.econbiz.de/10015198726
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Central bank policy impacts on the distribution of state prices for future interest rates : 2003-2022
Breeden, Douglas T.; Litzenberger, Robert H. - In: The journal of fixed income : JFI 32 (2022) 2, pp. 64-92
Persistent link: https://www.econbiz.de/10014231361
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Consumption, Production, Inflation and Interest Rates : A Synthesis
Breeden, Douglas T. - 2015
This paper uses discrete-time and continuous-time models to derive equilibrium relations among real and nominal interest rates and the expected growth, variance and covariance parameters of optimally chosen paths for aggregate real consumption and aggregate production. Simple, intuitive and...
Persistent link: https://www.econbiz.de/10013017818
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Empirical Tests of the Consumption-Oriented CAPM
Breeden, Douglas T. - 2015
The empirical implications of the consumption-oriented capital asset pricing model (CCAPM) are examined, and its performance is compared with a model based on the market portfolio. The CCAPM is estimated after adjusting for measurement problems associated with reported consumption data. The...
Persistent link: https://www.econbiz.de/10013017820
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Why do firms hedge? : an asymmetric information model
Breeden, Douglas T.; Viswanathan, S. - In: The journal of fixed income 25 (2016) 3, pp. 7-25
Persistent link: https://www.econbiz.de/10011429755
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Consumption-based asset pricing, part 1: classic theory and tests, measurement issues, and limited participation
Breeden, Douglas T.; Litzenberger, Robert H.; Jia, Tingyan - In: Annual review of financial economics 7 (2015), pp. 35-83
Persistent link: https://www.econbiz.de/10011567485
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Consumption-based asset pricing, part 2: habit formation, conditional risks, long-run risks, and rare disasters
Breeden, Douglas T.; Litzenberger, Robert H.; Jia, Tingyan - In: Annual review of financial economics 7 (2015), pp. 85-131
Persistent link: https://www.econbiz.de/10011568207
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Consumption-Based Asset Pricing, Part 1 : Classic Theory and Tests, Measurement Issues, and Limited Participation
Breeden, Douglas T. - 2015
This article, Part 1 of 2, reviews the classical origins, development, and tests of consumption-based asset pricing theory, focusing mainly on the first two decades from 1976 to 1998. Starting with the original consumption capital asset pricing model (CCAPM) derivations, we review both theory...
Persistent link: https://www.econbiz.de/10013010406
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Consumption-Based Asset Pricing, Part 2 : Habit Formation, Conditional Risks, Long-Run Risks, and Rare Disasters
Breeden, Douglas T. - 2015
Following Part 1 of this article, which reviews late-1970s to 1990s classic derivations and tests of the consumption capital asset pricing model, here in Part 2 we review more recent developments, some of which are based on utility functions with non-time-separable preferences. Important...
Persistent link: https://www.econbiz.de/10013010411
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Convexity and empirical option costs of mortgage securities
Breeden, Douglas T. - In: The legacy of Fischer Black, (pp. 212-255). 2005
Persistent link: https://www.econbiz.de/10003404097
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