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Fast and slow optimal trading with exogenous information
Cont, Rama; Micheli, Alessandro; Neuman, Eyal - In: Finance and stochastics 29 (2025) 2, pp. 553-607
Persistent link: https://www.econbiz.de/10015394810
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Pricing Climate Change Risks : CAPM with Rare Disasters and Stochastic Probabilities
Karydas, Christos; Xepapadeas, Anastasios - 2019
of these events. Using theory and simulations we study the implications of the imminent threat of climate change on …
Persistent link: https://www.econbiz.de/10014108526
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Equity price dynamics under shocks : in distress or short squeeze
Hui, Cho H.; Lo, Chi-Fai; Liu, Chi-Hei - 2024
Persistent link: https://www.econbiz.de/10014500997
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Asset pricing under uncertainty about shock propagation
Branger, Nicole; Grüning, Patrick; Kraft, Holger; … - 2013 - This version: November 18, 2013
sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the …
Persistent link: https://www.econbiz.de/10010226589
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Technical change, the long-run behavior of the United States stock market, and an enquiry into the accuracy of simulations
Peralta-Alva, Adrian - 2003
Persistent link: https://www.econbiz.de/10003385463
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Are asset price data informative about news shocks? : a DSGE perspective
Iskrev, Nikolay - 2018
Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...
Persistent link: https://www.econbiz.de/10011864177
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The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018
The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...
Persistent link: https://www.econbiz.de/10011900335
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Shifts in volatility driven by large stock market shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147
Persistent link: https://www.econbiz.de/10011587216
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Macroeconomic Risks and Asset Pricing : Evidence from a Dynamic Stochastic General Equilibrium Model
Li, Erica X. N. - 2018
variables and extract the time-series of four latent fundamental shocks of the model: neutral technology shock, investment …-specific technological shock, monetary policy shock, and risk shock. Asset pricing tests show that our model-implied four-factor model can …-term reversal. The investment-specific technological shock and risk shock play the most important role in explaining those return …
Persistent link: https://www.econbiz.de/10012933804
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Pricing climate change risks : CAPM with rare disasters and stochastic probabilities
Karydas, Christos; Xepapadeas, Anastasios - 2019
these events. Using theory and simulations we study the implications of the imminent threat of climate change on different …
Persistent link: https://www.econbiz.de/10011962146