Ergodicity, State Prices, and Long Bond Returns

DOI10.1111/1467-9965.00046MaRDI QIDQ4213034zbMATH OpenOpenAlexFDO

Authors Anthony Tessitore, Nilufer Usmen

Publication date 19 April 1999

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.00046

zbMATH Keywords

ergodicityincomplete marketslong bond returnslong-horizonMarkov price systemprice systems in securities markets

Mathematics Subject Classification ID

Markov processes (60J99) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(3)

• Long-term factorization of affine pricing kernels
• Decomposing Long Bond Returns: A Decentralized Theory
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions

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