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Ambiguous volatility and asset pricing in continuous time

Epstein, Larry G.; Ji, Shaolin - In: The review of financial studies 26 (2013) 7, pp. 1740-1786

Persistent link: https://www.econbiz.de/10009778359

Ambiguous volatility, possibility and utility in continuous time

Epstein, Larry G.; Jib, Shaolin - In: Journal of mathematical economics 50 (2014), pp. 269-282

Persistent link: https://www.econbiz.de/10010478634

Ambiguous Volatility and Asset Pricing in Continuous Time

Epstein, Larry G. - 2013

with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are … a representative agent endowment economy to study equilibrium asset returns. A version of the C-CAPM is derived and the …

Persistent link: https://www.econbiz.de/10013088933

Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns

Cecchetti, Stephen G. - 1992

The Euler equations derived from a broad range of intertemporal asset pricing models, together with the first two unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We develop and implement statistical tests of these...

Persistent link: https://www.econbiz.de/10012474862