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Asset return volatility with extremely small costs of consumption adjustment

Author

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  • David A. Marshall

Abstract

No abstract is available for this item.

Suggested Citation

  • David A. Marshall, 1994. "Asset return volatility with extremely small costs of consumption adjustment," Working Paper Series, Macroeconomic Issues 94-23, Federal Reserve Bank of Chicago.
    • Handle: RePEc:fip:fedhma:94-23
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    Citations

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    Cited by:

    1. Heaton, John & Lucas, Deborah, 1995. "The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 42(1), pages 1-32, June.
    2. ngene, Geoffrey & Hassan, Mohammad Kabir, 2012. "Momentum and Nonlinear Price Discovery in Sovereign Credit Risk and Equity Markets of the Organization of Islamic Cooperation (OIC) Countries," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 46(2), pages 101-114.
    3. Kent D. Daniel & David A. Marshall, 1998. "Consumption-based modeling of long-horizon returns," Working Paper Series WP-98-18, Federal Reserve Bank of Chicago.
    4. Ngene, Geoffrey M. & Kabir Hassan, M. & Alam, Nafis, 2014. "Price discovery process in the emerging sovereign CDS and equity markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 117-132.

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