Dynamic equilibrium and volatility in financial asset markets
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Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15) Other game-theoretic models (91A40) General equilibrium theory (91B50)
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Cites work
- scientific article; zbMATH DE number 3866991 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- scientific article; zbMATH DE number 3998900 (Why is no real title available?)
- A Model of Intertemporal Asset Prices Under Asymmetric Information
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- Large Sample Properties of Generalized Method of Moments Estimators
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- Rational expectations equilibrium with conditioning on past prices: A mean-variance example
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Cited in
(9)- Asset flow and momentum: deterministic and stochastic equations
- Dynamic effects of increasing heterogeneity in financial markets
- Asset price volatility in a nonconvex general equilibrium model
- Market volatility and feedback effects from dynamic hedging
- Changes in the output Euler equation and asset markets participation
- Aspetti dinamici di leggi finanziarie scindibili
- Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
- MARKET FORCES AND DYNAMIC ASSET PRICING
- Insights into the macroscopic behavior of equity markets: theory and application
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