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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

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

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

Equity price dynamics under shocks : in distress or short squeeze

Hui, Cho H.; Lo, Chi-Fai; Liu, Chi-Hei - In: Risks : open access journal 12 (2024) 1, pp. 1-19

This paper proposes a simple bounded stochastic motion to model equity price dynamics under shocks. The stochastic process has a quasi-bounded boundary which can be breached if the probability leakage condition is met. The quasi-boundedness of the process at the boundary can thus provide an...

Persistent link: https://www.econbiz.de/10014480888

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

Changing impact of shocks : a time-varying proxy svar approach

Mumtaz, Haroon; Petrova, Katerina - In: Journal of money, credit and banking : JMCB 55 (2023) 2/3, pp. 635-654

Persistent link: https://www.econbiz.de/10014306066

Asset price dynamics : shocks and regimes

MacLean, Leonard C.; Zhao, Yonggan - In: Optimal financial decision making under uncertainty, (pp. 35-53). 2017

Persistent link: https://www.econbiz.de/10011558441

Asset prices and wealth dynamics in a financial market with random demand shocks

Dindo, Pietro; Staccioli, Jacopo - In: Journal of economic dynamics & control 95 (2018), pp. 187-210

Persistent link: https://www.econbiz.de/10012004924

Changing impact of shocks : a time-varying proxy SVAR approach

Mumtaz, Haroon; Petrova, Katerina - 2018

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

Persistent link: https://www.econbiz.de/10011933414

Optimal dividend policy and stock prices

Li, Weiping - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-29

Persistent link: https://www.econbiz.de/10012284594

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