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We propose a new model of exchange rates, which yields a theory of the forward premium puzzle. Our explanation combines …
Persistent link: https://www.econbiz.de/10012464842
This methodological paper presents a class of stochastic processes with appealing properties for theoretical or empirical work in finance and macroeconomics, the "linearity-generating" class. Its key property is that it yields simple exact closed-form expressions for stocks and bonds, with an...
Persistent link: https://www.econbiz.de/10012465219
We present a theory of excess stock market volatility, in which market movements are due to trades by very large …
Persistent link: https://www.econbiz.de/10012466944