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Linear hyperfinite Lévy integrals
Herzberg, Frederik - 2008
This article shows that the nonstandard approach to stochastic integration with respect to (C² functions of) Lévy processes is consistent with the classical theory of pathwise stochastic integration with respect to (C² functions of) jump-diffusions with finite-variation jump part. It is...
Persistent link: https://www.econbiz.de/10010272557
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On equilibrium prices in continuous time
Martins-da-Rocha, V. Filipe; Riedel, Frank - 2008
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about …
Persistent link: https://www.econbiz.de/10010272583
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An alternative nonparametric tail risk measure
Law, Keith K. F.; Li, Wai Keung; Yu, Philip L. H. - In: Quantitative finance 21 (2021) 4, pp. 685-696
Persistent link: https://www.econbiz.de/10012483847
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Frequency dependent risk
Neuhierl, Andreas; Varneskov, Rasmus Tangsgaard - In: Journal of financial economics 140 (2021) 2, pp. 644-675
Persistent link: https://www.econbiz.de/10012650626
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The efficiency of risk sharing between UK and US : robust estimation and calibration under market incompleteness
Fernandes, Marcelo; Ferreira Vieira Filho, Jose Gil - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 2, pp. 303-326
Persistent link: https://www.econbiz.de/10012211815
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314
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Financial contagion risk and the stochastic discount factor
Piccotti, Louis R. - In: Journal of banking & finance 77 (2017), pp. 230-248
Persistent link: https://www.econbiz.de/10011814444
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Continuous-time smooth ambiguity preferences
Suzuki, Masataka - In: Journal of economic dynamics & control 90 (2018), pp. 30-44
Persistent link: https://www.econbiz.de/10011974017
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Recovery with unbounded diffusion processes
Walden, Johan - In: Review of finance : journal of the European Finance … 21 (2017) 4, pp. 1403-1444
Persistent link: https://www.econbiz.de/10011803839
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Robust asset pricing with stochastic hyperbolic discounting
Wang, Haijun - In: Finance research letters 21 (2017), pp. 178-185
Persistent link: https://www.econbiz.de/10011807766