Shock elasticities and impulse responses
From MaRDI portal
Publication:475311
DOI10.1007/s11579-014-0122-4zbMath1307.91124MaRDI QIDQ475311
Lars Peter Hansen, Jaroslav Borovička, José Alexandre Scheinkman
Publication date: 26 November 2014
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-014-0122-4
Malliavin derivative; risk pricing; shock elasticities; Markov dynamics; nonlinear impulse response functions
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
91B55: Economic dynamics
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