Showing 1 - 10 of 11,112
Motivated by increment process modeling for two correlated random and non-random systems from a discrete-time asset pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a non-random and a random system. Unlike classical...
Persistent link: https://www.econbiz.de/10008772580
Persistent link: https://www.econbiz.de/10001673073
Persistent link: https://www.econbiz.de/10012820592
Persistent link: https://www.econbiz.de/10003558621
Persistent link: https://www.econbiz.de/10011820664
conditional volatility of income process. An important prediction of the model is that income volatility predicts future jumps …We develop a general equilibrium model in which income and dividends are smooth, but asset prices are subject to large …, while the variation in the level of income does not. We find that indeed in the data large moves in returns are predicted by …
Persistent link: https://www.econbiz.de/10013221105
Persistent link: https://www.econbiz.de/10003823690
Persistent link: https://www.econbiz.de/10009312622
conditional volatility of income process. An important prediction of the model is that income volatility predicts future jumps …We develop a general equilibrium model in which income and dividends are smooth, but asset prices are subject to large …, while the variation in the level of income does not. We find that indeed in the data large moves in returns are predicted by …
Persistent link: https://www.econbiz.de/10012463833
Persistent link: https://www.econbiz.de/10009155399