Dynamic equilibrium and volatility in financial asset markets
DOI10.1016/S0304-4076(97)80001-2zbMATH Open0908.62118OpenAlexW3123487651MaRDI QIDQ1379917FDOQ1379917
Authors: Yacine Aït-Sahalia 
Publication date: 3 March 1999
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(97)80001-2
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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)
Cites Work
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- The Present-Value Relation: Tests Based on Implied Variance Bounds
- A Model of Intertemporal Asset Prices Under Asymmetric Information
- Rational expectations equilibrium with conditioning on past prices: A mean-variance example
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Cited In (9)
- MARKET FORCES AND DYNAMIC ASSET PRICING
- Insights into the macroscopic behavior of equity markets: theory and application
- Asset price volatility in a nonconvex general equilibrium model
- Changes in the output Euler equation and asset markets participation
- Aspetti dinamici di leggi finanziarie scindibili
- Asset flow and momentum: deterministic and stochastic equations
- Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
- Market volatility and feedback effects from dynamic hedging
- Dynamic effects of increasing heterogeneity in financial markets
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