Asset pricing with incomplete information and fat tails
From MaRDI portal
Publication:1042357
DOI10.1016/j.jedc.2009.01.002zbMath1176.91044MaRDI QIDQ1042357
Prasad V. Bidarkota, Brice V. Dupoyet, J. Huston McCulloch
Publication date: 7 December 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2009.01.002
91B24: Microeconomic theory (price theory and economic markets)
Related Items
On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty, Asset pricing in a Lucas fruit-tree economy with the best and worst in mind, Pricing of the time-change risks
Cites Work
- Unnamed Item
- Determinants of stock market volatility and risk premia
- Computing the probability density function of the stable Paretian distribution
- Further results on asset pricing with incomplete information
- Equilibrium stock return dynamics under alternative rules of learning about hidden states
- The impact of fat tails on equilibrium rates of return and term premia
- Solving asset pricing models with Gaussian shocks
- A simple general approach to inference about the tail of a distribution
- Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
- Recursive Bayesian estimation using Gaussian sums
- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Asset Prices in an Exchange Economy
- Testing When a Parameter is on the Boundary of the Maintained Hypothesis
- Testing for persistence in stock returns with GARCH-stable shocks
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
- A note on some limitations of CRRA utility
