Preferences with taste shock representations: price volatility and the liquidity premium

DOI10.1016/J.MATHSOCSCI.2019.06.004zbMATH Open1426.91124OpenAlexW3125192116WikidataQ127613126 ScholiaQ127613126MaRDI QIDQ2334830FDOQ2334830

Authors: R. Vijay Krishna, Philipp Sadowski 

Publication date: 8 November 2019

Published in: Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10161/13246

Recommendations

• Price volatility and risk with non-separability of preferences
• Interpreting volatility shocks as preference shocks
• Liquidity shocks and equilibrium liquidity premia.
• Endogenous liquidity and volatility
• HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY

zbMATH Keywords

preferencesprice volatilitytaste shocks

Mathematics Subject Classification ID

Individual preferences (91B08) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Asset Prices in an Exchange Economy
• Self-Control and the Theory of Consumption
• Pareto Optima and Competitive Equilibria with Adverse Selection and Moral Hazard
• General Competitive Analysis in an Economy with Private Information
• Dynamic Preference for Flexibility

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