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In this paper we study the implications of general-purpose technological growth for asset prices. The model features two types of shocks: quot;smallquot;, frequent, and disembodied shocks to productivity and quot;largequot; technological innovations, which are embodied into new vintages of the...
Persistent link: https://www.econbiz.de/10012713152
This paper examines a new set of implications for existing asset pricing models regarding the correlation between returns and consumption growth over both the short run and the long run. The fi ndings suggest that external habit formation models face a challenge in producing two robust facts in...
Persistent link: https://www.econbiz.de/10012712393
This study documents the influence of investor sentiment on the market's mean-variance tradeoff. We find that the stock market's expected excess return is positively related to the market's conditional variance in low-sentiment periods but unrelated to variance in high-sentiment periods. These...
Persistent link: https://www.econbiz.de/10012757152
This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan's GARCH option models, where conditional returns are constrained to being normal, as well as mixed jump processes as used in Merton....
Persistent link: https://www.econbiz.de/10012732284
We establish Markovian models in the Heath, Jarrow and Morton paradigm that permit an exponential affine representation of riskless and risky bond prices while offering significant flexibility in the choice of volatility structures. Estimating models in our family is typically no more difficult...
Persistent link: https://www.econbiz.de/10012718620
We establish Markovian models in the Heath, Jarrow and Morton paradigm where the credit spreads curves of multiple firms and the term structure of interest rates can be represented analytically at any point in time in terms of a finite number of state variables. The models make no restrictions...
Persistent link: https://www.econbiz.de/10005027587
Persistent link: https://www.econbiz.de/10005193382
We establish Markovian models in theĀ Heath, Jarrow, and MortonĀ (1992) paradigm that permit an exponential affine representation of riskless and risky bond prices while offering significant flexibility in the choice of volatility structures. Estimating models in our family is typically no more...
Persistent link: https://www.econbiz.de/10008680549
Persistent link: https://www.econbiz.de/10010113871
Persistent link: https://www.econbiz.de/10009834102