The Present-Value Relation: Tests Based on Implied Variance Bounds
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(69)- Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices
- Behavioral heterogeneity in stock prices
- Trends and random walks in macroeconomic time series
- Convergence of least squares learning mechanisms in self-referential linear stochastic models
- A cross-sectional variance bounds test
- Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence
- Intrinsic bubbles and asset price volatility
- Rational expectations, inflation and the nominal interest rate
- Dynamic equilibrium and volatility in financial asset markets
- Fuzzy inductive reasoning, expectation formation and the behavior of security prices
- Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics
- Cross-sectional asset pricing with heterogeneous preferences and beliefs
- Asset price volatility and information structures
- Early warning on stock market bubbles via methods of optimization, clustering and inverse problems
- A state space model of the economic fundamentals
- Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
- Market efficiency, asset returns, and the size of the risk premium in global equity markets.
- A mispricing model of stocks under asymmetric information
- Information and asset prices in complete markets exchange economies
- Speed of price adjustment in Indian stock market: a paradox
- Snowballing private information
- Momentum and the cross-section of stock volatility
- The stock implied volatility and the implied dividend volatility
- Informed speculation with k-level reasoning
- Sharing idiosyncratic risk even though prices are ``wrong
- Fundamental bubbles in equity markets
- Behavioral heterogeneity and financial crisis: the role of sentiment
- Stationary bubble equilibria in rational expectation models
- Nonmyopic optimal portfolios in viable markets
- Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
- Complex stock price dynamics under Max Weber's spirit of capitalism hypothesis
- The volatility of asset prices in a stochastic production economy
- Price impact in Nash equilibria
- Discounted utility and present value -- a close relation
- A jump model for fads in asset prices under asymmetric information
- Delegated portfolio management, optimal fee contracts, and asset prices
- Heterogeneity in stock prices: a STAR model with multivariate transition function
- A discontinuous mispricing model under asymmetric information
- Asset prices and the fundamentals: a Q test
- On the volatility of stock prices: an exercise in quantitative theory
- Fundamentalists, chartists and asset pricing anomalies
- Strong resonances and chaos in a stock market model
- Rational bubbles and macroeconomic fluctuations: the (de-)stabilizing role of monetary policy
- A dynamical systems model of price bubbles and cycles
- Size and power in tests of return predictability
- Indeterminacy in stochastic overlapping generations models: real effects in the long run
- Real business cycles, animal spirits, and stock market valuation
- BUBBLES IN FOREIGN EXCHANGE MARKETS
- LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL
- Testing for a rational bubble under long memory
- Liquidity and interest rates
- Multiple subordinated modeling of asset returns: implications for option pricing
- Stock market conditions and monetary policy in a DSGE model for the U.S.
- Extrapolative asset pricing
- Liquidity and asset prices in rational expectations equilibrium with ambiguous information
- Disaster learning and aggregate investment
- Present value models with feedback
- Rational bubbles. A test
- Replicating business cycles and asset returns with sentiment and low risk aversion
- The U.S. public debt valuation puzzle
- Detecting bubbles via FDR and FNR based on calibrated p -values
- A martingale theory of asset pricing in a production economy
- Informational differences and learning in an asset market with boundedly rational agents
- Asymmetric information in fads models
- Patent propensity, R\&D and market competition: dynamic spillovers of innovation leaders and followers
- Monetary policy and asset prices with belief-driven fluctuations
- Testing for bubbles and change-points
- Properties of equilibrium asset prices under alternative learning schemes
- On rational exuberance
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