Asset price
Real indeterminacy and dynamics of asset price bubbles in general equilibrium
... of asset price bubbles depend on fundamentals such as endowments and the asset structure (divi- dends, asset supply, and borrowing ...(1) asset supply is low, (2) borrowing limits of ...
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Secular Stagnation, Liquidity Trap and Rational Asset Price Bubbles
... But the economy can escape the liquidity trap and reach equilibrium in another way. Indeed, if the agents succeed in coordinating their expectations, they create asset price bubbles. By providing the savers ...
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Shuffling for understanding multifractality, application to asset price time series
... the asset price times series consid- ered here display a significant multifractality (large c 2 ) that tends to involves only even cumulants (c 3 ' 0 while c 4 significantly departs from ...
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Market Time and Asset Price Movements Theory and Estimation
... Eric Ghysels , Christian Gouriéroux , Joanna Jasiak c Abstract / Résumé Subordinated stochastic processes, also called time deformed stochastic processes, have been proposed in a variety of contexts to describe ...
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Empirical Martingale Simulation for Asset Prices
... Conclusion Asset prices are typically modeled as exponential ...the price estimate to violate rational option pricing bounds which makes these price estimates non- ...the price estimate by ...
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Dispersed Information and Asset Prices
... equilibrium price with an updating wedge, the construction of the risk-neutral measure, and the asset pricing implications of excess weight on tail risks generalize immediately without further assumptions ...
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A Volatility-Driven Asset Allocation (VDAA)
... ROBUSTNESS STUDY Some implementation issues have been discovered in practice. First, as mentioned above, the unconditional volatilities and correlations are subject to changes and can thus induce some instability in ...
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Collusion and price rigidity
... Now, we compare the off-schedule incentive constraints across the two schedules, lb do so, let It; G V^ be the punishment used following an off-schedule deviation in the original scheme.[r] ...
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Volatility Exposure for Strategic Asset Allocation
... Long exposure to volatility One approach to volatility investing is to expose a portfolio to implied volatility changes in an underlying asset. The rationale for this kind of investment is primarily the ...
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Contractual form, retail price and asset characteristics
... The model assumes that the refiner chooses station characteristics, a reasonable assumption at company-owned and lessee-dealer stations where the capital is owned by[r] ...
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The price of terrorism
... [Research Report] RECEP, Institut Economique de la Transition de Moscou et Université Pierre Mendès France, Grenoble... The price of terrorism Jacques Fontanel, Michael Ward.[r] ...
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Intraday Transaction Price Dynamics
... ment) has a direct interpretation in terms of news arrival. In the microstruc- ture theorical litterature, some authors focussed on the role of time in the price adjustment. D IAMOND and V ERRECCHIA [1987] ...
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Search and price competition
... equilibrium price distribution for different values of a and k and v = ...the price variance to start decreasing. Thus, price dispersion increases for a wide range of parameter ...sufficiently ...
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Price Discrimination & Collusion with AI
... facilitate Price Discrimination (PD) • But is PD an equilibrium in a competitive environment? • Important to consider retail & data markets when analyzing the impact of AI on PD • For equilibrium: limited ...
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Algorithms for Price Discrimination
... • Search costs (some consumers have no other options than a given vendor) • Switching costs (brand preferences). • Information hard to obtain or unknown to firms.[r] ...
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Asset pledgeability and endogenously leveraged bubbles
... the price of debt (or equivalently, the face-value interest rate on a loan) is an explicit function of the amount that the borrower ...this price-taking assumption, we have in mind situations where home- ...
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Literature review on the consequences of food price spikes and price volatility
... 2008 price shocks in Ethiopia (see also Kumar and Quisumbing, ...food price rises in Ethiopia were associated with significant decreases in the number of meals taken, and a switch toward the consumption of ...
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Past Market Variance and Asset Prices
... Relying on the countercyclical nature of variance, we show that past market variance (pmv ) may serve as an easily-computable proxy for macro variables driving state dependence in the stochastic discount factor. ...
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Three essays in empirical asset pricing
... FinaIly, the third chapter develops a discrete time affine multifactor latent variable model of as set returns which allows for both stochastic volatility and stochastic skew[r] ...
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The asset cost of poor health
... 1994 asset quintile, individuals in the top third of the 1994 health status distribution averaged 50 percent more wealth in 2010 than those in the bottom third of that ...
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