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Capital Accumulation under Non-Gaussian Processes and the Marshallian Law

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  • Svetlana Boyarchenko

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  • Svetlana Boyarchenko, 2001. "Capital Accumulation under Non-Gaussian Processes and the Marshallian Law," Penn CARESS Working Papers 471ab9dee66c9aa1d3ef23dd9, Penn Economics Department.
  • Handle: RePEc:cla:penntw:471ab9dee66c9aa1d3ef23dd9ba1ceb3
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    File URL: http://www.econ.upenn.edu/Centers/CARESS/CARESSpdf/01-03.pdf
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    References listed on IDEAS

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    1. Angus Deaton & Guy Laroque, 1992. "On the Behaviour of Commodity Prices," Review of Economic Studies, Oxford University Press, vol. 59(1), pages 1-23.
    2. Abel, Andrew B. & Eberly, Janice C., 1999. "The effects of irreversibility and uncertainty on capital accumulation," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 339-377, December.
    3. Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997. "Scaling in stock market data: stable laws and beyond," Science & Finance (CFM) working paper archive 9705087, Science & Finance, Capital Fund Management.
    4. Seung-Ryong Yang & B. Wade Brorsen, 1992. "Nonlinear Dynamics of Daily Cash Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 74(3), pages 706-715.
    5. Ole E. Barndorff-Nielsen, 1997. "Processes of normal inverse Gaussian type," Finance and Stochastics, Springer, vol. 2(1), pages 41-68.
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    Cited by:

    1. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Practical guide to real options in discrete time II," Finance 0501014, University Library of Munich, Germany.

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