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An Intertemporal General Equilibrium Model of Asset Prices

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Cited by:

  1. K. Chaudhuri & S. Smiles, 2004. "Stock market and aggregate economic activity: evidence from Australia," Applied Financial Economics, Taylor & Francis Journals, vol. 14(2), pages 121-129.
  2. Bernard Dumas, "undated". "Two-Person Dynamic Equilibrium: Trading in the Capital Market," Rodney L. White Center for Financial Research Working Papers 11-86, Wharton School Rodney L. White Center for Financial Research.
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  6. Vorst, A. C. F., 1988. "Option Pricing And Stochastic Processes," Econometric Institute Archives 272366, Erasmus University Rotterdam.
  7. Patricia Fraser & Andrew McKaig, 2001. "Basis variation and a common source of risk: evidence from UK futures markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 39-62.
  8. Lundtofte, Frederik, 2008. "Expected life-time utility and hedging demands in a partially observable economy," European Economic Review, Elsevier, vol. 52(6), pages 1072-1096, August.
  9. Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2017. "Semiparametric Estimation of Risk–Return Relationships," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 40-52, January.
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  22. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Working Papers hal-02946146, HAL.
  23. Bernard Dumas, "undated". "Pricing Physical Assets Internationally," Rodney L. White Center for Financial Research Working Papers 12-88, Wharton School Rodney L. White Center for Financial Research.
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  25. Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 453-475.
  26. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
  27. Christoph Berninger & Julian Pfeiffer, 2020. "The Gauss2++ Model -- A Comparison of Different Measure Change Specifications for a Consistent Risk Neutral and Real World Calibration," Papers 2006.08004, arXiv.org.
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  30. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Post-Print hal-02946146, HAL.
  31. Calum G. Turvey & Shihong Yin, 2002. "On the Pricing of Cross Currency Futures Options for Canadian Grains and Livestock," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 50(3), pages 317-332, November.
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  34. Turvey, Calum G., 2001. "Random Walks And Fractal Structures In Agricultural Commodity Futures Prices," Working Papers 34151, University of Guelph, Department of Food, Agricultural and Resource Economics.
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  37. Lioui, Abraham & Poncet, Patrice, 2003. "Dynamic asset pricing with non-redundant forwards," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1163-1180, May.
  38. Koulovatianos, Christos & Wieland, Volker, 2011. "Asset pricing under rational learning about rare disasters," IMFS Working Paper Series 46, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
  39. Basak, Suleyman, 1999. "On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 1029-1064, June.
  40. Aase, Knut K., 2015. "The equity premium in a production economy; A new perspective involving recursive utility," Discussion Papers 2015/15, Norwegian School of Economics, Department of Business and Management Science.
  41. Leo Krippner, 2014. "Measuring the stance of monetary policy in conventional and unconventional environments," CAMA Working Papers 2014-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  42. Bernaschi, M. & Torosantucci, L. & Uboldi, A., 2007. "Empirical evaluation of the market price of risk using the CIR model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 543-554.
  43. Jianhai Bao & Xing Huang, 2022. "Approximations of McKean–Vlasov Stochastic Differential Equations with Irregular Coefficients," Journal of Theoretical Probability, Springer, vol. 35(2), pages 1187-1215, June.
  44. Duarte, Jefferson., 2003. "Evaluating an Alternative Risk Preference in Affine Term Structure Models," Finance Lab Working Papers flwp_49, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  45. Larrain, Borja, 2011. "World betas, consumption growth, and financial integration," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 999-1018, October.
  46. Antonio L. Lara Galera & Antonio Sánchez Soliño, 2010. "A Real Options Approach for the Valuation of Highway Concessions," Transportation Science, INFORMS, vol. 44(3), pages 416-427, August.
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  48. Kim, In Joon & Kim, So Jung & Yoon, Sun-Joong, 2014. "A dark side of international capital market integration: Domestic investors' view," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 238-256.
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  51. Fang, Lu & Munneke, Henry J., 2021. "A spatial analysis of borrowers’ mortgage termination decision – A nonparametric approach," Regional Science and Urban Economics, Elsevier, vol. 86(C).
  52. Xin Ling, 2017. "Normality of stock returns with event time clocks," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 277-298, April.
  53. Xiang, Yun & He, Jiaxuan, 2022. "Pairs trading and asset pricing," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  54. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
  55. Matteo Maggiori, 2017. "Financial Intermediation, International Risk Sharing, and Reserve Currencies," American Economic Review, American Economic Association, vol. 107(10), pages 3038-3071, October.
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