Disaster learning and aggregate investment

DOI10.1016/J.JET.2024.105872zbMATH Open1544.91343MaRDI QIDQ6604760FDOQ6604760

Authors: Yingjie Niu, Jinqiang Yang, Zhentao Zou 

Publication date: 13 September 2024

Published in: Journal of Economic Theory (Search for Journal in Brave)

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zbMATH Keywords

learningequity risk premiumjump sizerare disastergrowth volatility

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Risk models (general) (91B05)

Cites Work

• Stochastic Differential Utility
• Title not available (Why is that?)
• Tobin's Marginal q and Average q: A Neoclassical Interpretation
• The Present-Value Relation: Tests Based on Implied Variance Bounds
• Optimal consumption and savings with stochastic income and recursive utility
• Rare disasters and asset markets in the twentieth century
• Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance
• The Bond Market'sq^*
• Rare Disasters and Exchange Rates *
• Learning about Rare Disasters: Implications For Consumption and Asset Prices*
• On the size distribution of macroeconomic disasters

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