Asset Pricing in Economies with Frictions
From MaRDI portal
Publication:5689668
DOI10.2307/2171838zbMath0862.90025OpenAlexW2045449505MaRDI QIDQ5689668
Publication date: 7 January 1997
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2171838
Related Items
Estimation with overidentifying inequality moment conditions ⋮ Viable prices in financial markets with solvency constraints ⋮ Submodular financial markets with frictions ⋮ Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs ⋮ A Bayesian approach to diagnosis of asset pricing models ⋮ Rejecting small gambles under expected utility ⋮ Put-call parity and market frictions ⋮ Financial market structures revealed by pricing rules: efficient complete markets are prevalent ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Transaction costs, trading volume, and the liquidity premium ⋮ Credit risk in general equilibrium ⋮ Asset pricing in an imperfect world ⋮ Dynamic market participation and endogenous information aggregation ⋮ Risk sharing through financial markets with endogenous enforcement of trades ⋮ Estimating asset pricing models with frictions ⋮ A dual approach to inference for partially identified econometric models ⋮ Equilibria Under Knightian Price Uncertainty ⋮ Updating pricing rules ⋮ On infinite-horizon minimum-cost hedging under cone constraints ⋮ Testing affine term structure models in case of transaction costs