General equilibrium asset pricing under regime switching

MaRDI QIDQ2790484zbMATH OpenFDO

Authors Robert J. Elliott, Hong Miao, Jin Yu

Publication date 4 March 2016

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

zbMATH Keywords

equity premium puzzlegeneral equilibriumregime switchingrepresentative agentstochastic discount factorutility function

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) General equilibrium theory (91B50) Financial applications of other theories (91G80)

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(10)

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• Asset pricing using trading volumes in a hidden regime-switching environment
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• GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
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