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  • Search: subject:"Dynamic value decomposition"
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Year of publication
Subject
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CAPM 2 Dynamic value decomposition 2 Markov models 2 Perturbation methods 2 Risk premia 2 Shock elasticities 2 Theorie 2 Theory 2 dynamic value decomposition 2 Börsenkurs 1 Cash Flow 1 Cash flow 1 Discounting 1 Diskontierung 1 Estimation 1 Financial investment 1 Kapitalanlage 1 Macroeconometrics 1 Makroökonometrie 1 Markov chain 1 Markov-Kette 1 Risiko 1 Risikoprämie 1 Risk 1 Risk premium 1 Schock 1 Schätzung 1 Share price 1 Shock 1 Stochastic process 1 Stochastischer Prozess 1 market restrictions 1 pricing cash flows 1 risk prices 1 risk pricing 1 stochastic discount factors 1 stochastic growth 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Article 3 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2 Undetermined 2
Author
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Hansen, Lars Peter 4 Borovička, Jaroslav 2
Institution
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Becker Friedman Institute for Research in Economics, University of Chicago 1
Published in...
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Financial markets and asset pricing 1 Journal of Econometrics 1 Journal of econometrics 1 Working Papers / Becker Friedman Institute for Research in Economics, University of Chicago 1
Source
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ECONIS (ZBW) 2 RePEc 2
Showing 1 - 4 of 4
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Risk Pricing over Alternative Investment Horizons
Hansen, Lars Peter - Becker Friedman Institute for Research in Economics, … - 2012
incorporate stochastic growth factors. I explore dynamic value decomposition (DVD) methods that capture concurrent compounding of …
Persistent link: https://www.econbiz.de/10010908233
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Examining macroeconomic models through the lens of asset pricing
Borovička, Jaroslav; Hansen, Lars Peter - In: Journal of Econometrics 183 (2014) 1, pp. 67-90
We develop new methods for representing the asset-pricing implications of stochastic general equilibrium models. We provide asset-pricing counterparts to impulse response functions and the resulting dynamic value decompositions (DVDs). These methods quantify the exposures of macroeconomic cash...
Persistent link: https://www.econbiz.de/10011077593
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Cover Image
Examining macroeconomic models through the lens of asset pricing
Borovička, Jaroslav; Hansen, Lars Peter - In: Journal of econometrics 183 (2014) 1, pp. 67-90
Persistent link: https://www.econbiz.de/10010506087
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Cover Image
Chapter 23. Risk Pricing over Alternative Investment Horizons
Hansen, Lars Peter - 2013
incorporate stochastic growth factors. I explore dynamic value decomposition (DVD) methods that capture concurrent compounding of …
Persistent link: https://www.econbiz.de/10014025355
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