Asset pricing and the role of macroeconomic volatility

DOI10.1007/S10436-013-0237-2MaRDI QIDQ470727zbMATH OpenOpenAlexFDO

Authors Stefano D'Addona, Christos I. Giannikos

Publication date 13 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-013-0237-2

zbMATH Keywords

asset pricingMarkov switching modelsreal business cycle modelsrecursive preferences

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Consumption adjustment to real interest rates: Intertemporal substitution revisited
• Equilibrium stock return dynamics under alternative rules of learning about hidden states
• Public Finance in Models of Economic Growth
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Time to Build and Aggregate Fluctuations

Cited in

(12)

• Stochastic volatility implies fourth-degree risk dominance: applications to asset pricing
• Asset prices in affine real business cycle models
• Asset pricing with free entry and exit of firms
• The volatility of asset prices in a stochastic production economy
• Asset price volatility and banks
• Breaks and persistency: macroeconomic causes of stock market volatility
• A parsimonious macroeconomic model for asset pricing
• Macroeconomic Effects of Asset‐Price Shocks in a Globalized Financial Market
• Examining macroeconomic models through the lens of asset pricing
• Rational Pessimism, Rational Exuberance, and Asset Pricing Models
• Volatility and stock prices: Implications from a production model of asset pricing
• Asset pricing implications of a New Keynesian model

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