Asset pricing for general processes
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Publication:804457
DOI10.1016/0304-4068(91)90037-TzbMATH Open0727.90014OpenAlexW2031855349WikidataQ127213098 ScholiaQ127213098MaRDI QIDQ804457FDOQ804457
Authors: Kerry Back 
Publication date: 1991
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4068(91)90037-t
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Cited In (52)
- IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS
- Nonparametric estimation of quadratic variation using high-frequency data
- Positive alphas and a generalized multiple-factor asset pricing model
- SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
- Realised quantile-based estimation of the integrated variance
- Explicit characterizations of financial prices with history-dependent utility
- Value preserving portfolio strategies in continuous-time models
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
- Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
- Stochastic string models with continuous semimartingales
- Forecasting and trading high frequency volatility on large indices
- A GMM approach to estimate the roughness of stochastic volatility
- Continuous-time security pricing. A utility gradient approach
- Monitoring disruptions in financial markets
- Econometric analysis of high frequency data
- Causality effects in return volatility measures with random times
- Effects of intervaling on high-frequency realized higher-order moments
- Positive alphas, abnormal performance, and illusory arbitrage
- Bias-correcting the realized range-based variance in the presence of market microstructure noise
- Viable prices in financial markets with solvency constraints
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- Labor income, borrowing constraints, and equilibrium asset prices
- High-frequency returns, jumps and the mixture of normals hypothesis
- Semi- and nonparametric ARCH processes
- Correlation and the pricing of risks
- Martingale densities for general asset prices
- An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis
- Large-dimensional factor modeling based on high-frequency observations
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- No Arbitrage and the Growth Optimal Portfolio
- Optimal consumption choice with intolerance for declining standard of living
- Optimal Consumption‐Portfolio Policies With Habit Formation1
- Option Pricing When Jump Risk Is Systematic1
- Dividends in the theory of derivative securities pricing
- A robust neighborhood truncation approach to estimation of integrated quarticity
- Forecasting volatility with time-varying coefficient regressions
- Yan theorem in \(L^{\infty}\) with applications to asset pricing
- New evidence on the relation between return volatility and trading volume
- ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
- Equilibrium with new investment opportunities
- Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets
- Inference for local distributions at high sampling frequencies: a bootstrap approach
- Asset pricing theory for two price economies
- Actuarial bridges to dynamic hedging and option pricing
- Structured products equilibria in conic two price markets
- Inference from high-frequency data: a subsampling approach
- Heterogeneous information arrival and option pricing
- Semilattices, canonical embeddings and representing measures
- Option Pricing With V. G. Martingale Components1
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
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