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Time-varying risk and risk premiums in frontier markets

Todorov, Galin; Bidarkota, Prasad V. - In: Journal of emerging markets 18 (2013) 3, pp. 18-35

Persistent link: https://www.econbiz.de/10010519779

Time-varying financial spillovers from the US to frontier markets

Todorov, Galin; Bidarkota, Prasad V. - In: Macroeconomics and finance in emerging market economies 7 (2014) 2, pp. 246-283

Persistent link: https://www.econbiz.de/10010436255

Consumption asset pricing with stable shocks-exploring a solution and its implications for mean equity returns

Bidarkota, Prasad V.; McCulloch, J. Huston - In: Journal of economic dynamics & control 27 (2003) 3, pp. 399-421

Persistent link: https://www.econbiz.de/10001706327

Consumption equilibrium asset pricing in two Asian emerging markets

Chen, Ming-Hsiang; Bidarkota, Prasad V. - In: Journal of Asian economics 15 (2004) 2, pp. 305-319

Persistent link: https://www.econbiz.de/10002118999

A long-run risks model of asset pricing with fat tails

Wang, Zhiguang (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003814891

Asset pricing with incomplete information and fat tails

Bidarkota, Prasad V.; Dupoyet, Brice V.; McCulloch, J. … - In: Journal of economic dynamics & control 33 (2009) 6, pp. 1314-1331

Persistent link: https://www.econbiz.de/10003844236

A long-run rsiks model of asset pricing with fat tails

Wang, Zhiguang; Bidarkota, Prasad V. - In: Review of finance : journal of the European Finance … 14 (2010) 3, pp. 409-449

Persistent link: https://www.econbiz.de/10008662615

Risk premia in forward foreign exchange rates : a comparison of signal extraction and regression methods

Wang, Zhiguang; Bidarkota, Prasad V. - In: Empirical economics : a journal of the Institute for … 42 (2012) 1, pp. 21-51

Persistent link: https://www.econbiz.de/10009487363

Asset Pricing With Incomplete Information and Fat Tails

Bidarkota, Prasad V. - 2019

We study a consumption-based asset pricing model with incomplete information and a- stable shocks. Incomplete information leads to a non-Gaussian filtering problem. Bayesian updating generates fluctuating confidence in the agents' estimate of the persistent component of the dividends' growth...

Persistent link: https://www.econbiz.de/10012890005

Testing for Persistence in Stock Returns with Garch-Stable Shocks

Bidarkota, Prasad V.; Mcculloch, J. Huston - 2003

We investigate persistence in CRSP monthly excess stock returns, using a state space model with stable disturbances. The non-Gaussian state space model with volatility persistence is estimated by maximum likelihood, using the optimal filtering algorithm given by Sorenson and Alspach (1971). The...

Persistent link: https://www.econbiz.de/10014074738