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A partially observed model for micromovement of asset prices with Bayes estimation via filtering

Zeng, Yong - In: Mathematical finance : an international journal of … 13 (2003) 3, pp. 411-444

Persistent link: https://www.econbiz.de/10001782290

Risk minimization for a filtering micromovement model of asset price

Lee, Kiseop; Zeng, Yong - In: Applied mathematical finance 17 (2010) 1/2, pp. 177-199

Persistent link: https://www.econbiz.de/10003975381

Maximum likelihood estimation of the double exponential jump-diffusion process

Ramezani, Cyrus A.; Zeng, Yong - In: Annals of finance 3 (2007) 4, pp. 487-507

Persistent link: https://www.econbiz.de/10003529812

Bayesian model selection via filtering for a class of micro-movement models of asset price

Kouritzin, Michael A.; Zeng, Yong - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 97-121

Persistent link: https://www.econbiz.de/10002625269

Heterogeneous Preferences, Investment, and Asset Pricing

Liu, Bo - 2019

We present a production-based model in which agents have heterogeneous risk aversion and heterogeneous discount rates. When the less risk-averse agent is more impatient, the two types of agents can coexist for a long time. The heterogeneity in risk aversion and discount rate induces the wealth...

Persistent link: https://www.econbiz.de/10012902533

Uncertainty of political subsidy, heterogeneous beliefs, and IPO anomalies

Liu, Bo; Wang, Kemin - In: Review of quantitative finance and accounting 52 (2019) 4, pp. 923-951

Persistent link: https://www.econbiz.de/10012172862