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Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model

Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119

Persistent link: https://www.econbiz.de/10011333691

Weak and strong no-arbitrage conditions for continuous financial markets

Fontana, Claudio - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-34

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The geometry of risk adjustments

Bermin, Hans-Peter; Holm, Magnus - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 83-120

Persistent link: https://www.econbiz.de/10015044786

The geometry of risk adjustments

Bermin, Hans-Peter; Holm, Magnus - 2021

Persistent link: https://www.econbiz.de/10013194085

Liquidity, markets and trading in action : an interdisciplinary perspective

Ozenbas, Deniz; Pagano, Michael S.; Schwartz, Robert A.; … - 2022 - 1st ed. 2022.

Chapter 1: Economics and the Equity Market: A Microeconomics Course Application -- Chapter 2: Liquidity, Trading, and Price Determination in Equity Markets: A Finance Course Application -- Chapter 3: Liquidity and the Impact of Information Shocks: A Macroeconomics Course Application -- Chapter...

Persistent link: https://www.econbiz.de/10012814615

Consumption and asset prices with recursive preferences : continous-time approximations to discrete-time models

Fisher, Mark - 1999

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Consumption and asset prices with homothetic recursive preferences

Fisher, Mark; Gilles, Christian - 1999

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Optimal consumption choices for a "large" investor

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Benchmarks in aggregate household portfolios

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Benchmarks in aggregate household portfolios

St.-Amour, Pascal (contributor) - 2007

Reference-dependent preference models assume that agents derive utility from deviations of consumption from benchmark levels, rather than from consumption levels. These references can be either backward-looking (as explicit in the Habit literature) or forward-looking (as implicitly suggested by...

Persistent link: https://www.econbiz.de/10003549899