Similar Search Results

Belief dispersion and convex cost of adjustment in the stock market and in the real economy

Jouini, Elyès - In: Management science : journal of the Institute for … 69 (2023) 7, pp. 4190-4209

Persistent link: https://www.econbiz.de/10014338339

The conditional pricing of systematic and idiosyncratic risk in the UK equity market

Cotter, John; O'Sullivan, Niall; Rossi, Francesco - 2014

Persistent link: https://www.econbiz.de/10010343568

The conditional pricing of systematic and idiosyncratic risk in the UK equity market

Cotter, John; O'Sullivan, Niall; Rossia, Francesco - In: International review of financial analysis 37 (2015), pp. 184-193

Persistent link: https://www.econbiz.de/10011317221

How is β related to asset returns?

Bollen, Bernard; Gharghori, Philip - In: Applied economics 48 (2016) 19/21, pp. 1925-1935

Persistent link: https://www.econbiz.de/10011590029

Trading, profits, and volatility in a dynamic information network model

Walden, Johan - In: The review of economic studies : RES 86 (2019) 5, pp. 2248-2283

Persistent link: https://www.econbiz.de/10012111950

Comovement and return predictability in asset markets : an experiment with two Lucas trees

Noussair, Charles; Popescu, Andreea Victoria - In: Journal of economic behavior & organization : JEBO 185 (2021), pp. 671-687

Persistent link: https://www.econbiz.de/10012601339

Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

Persistent link: https://www.econbiz.de/10009734341

Equilibrium price with institutional investors and with naive traders

Dupont, Dominique - 1998

Persistent link: https://www.econbiz.de/10000987297

Asymmetric information and endogenous stock price volatility : an asset pricing model of sunspot equilibria

Fukuda, Shin-ichi - 1994

Persistent link: https://www.econbiz.de/10000148131

What Difference Fat Tails Make : A Bayesian MCMC Estimation of Empirical Asset Pricing Models

Glabadanidis, Paskalis - 2017

This chapter presents an empirical application of Bayesian MCMC estimation to the three main asset pricing models in … use in the financial econometrics literature, namely, the Capital Asset Pricing Model (CAPM), the Fama-French (1992) three …

Persistent link: https://www.econbiz.de/10012949435