This paper theoretically investigates the pricing effects of financial innovation in an economy with endogenous participation and heterogeneous income risks. The introduction of non-redundant assets can endogenously modify the participation set, reduce the covariance between dividends and...

This paper investigates the pricing effects of financial innovation in an economy with endogenous participation and heterogeneous income risks. The introduction of non-redundant assets endogenously modifies the participation set, reduces the covariance between dividends and participants'...

This paper theoretically investigates the pricing effects of financial innovation in an economy with endogenous participation and heterogeneous income risks. The introduction of non-redundant assets can endogenously modify the participation set, reduce the covariance between dividends and...

This paper investigates the Multifractal Model of Asset Returns, a continuous-time process that incorporates the thick tails and volatility persistence exhibited by many financial time series. The model is constructed by compounding a Brownian Motion with a multifractal time-deformation process....

This paper develops analytical methods to forecast the distribution of future returns for a new continuous-time process, the Poisson multifractal. Out model captures the thick tails and volatility persistence exhibited by many financial time series. We assume that the forecaster knows the true...

We propose a discrete-time stochastic volatility model in which regime-switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth...

We propose a discrete-time stochastic volatility model in which regime-switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth...

This paper investigates the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we observe little aggregate rebalancing in the financial portfolio of participants. These patterns conceal strong...

This paper investigates the efficiency of household investment decisions using comprehensive disaggregated Swedish data. We consider two main sources of inefficiency: underdiversification (quot;downquot;) and nonparticipation in risky asset markets (quot;outquot;). While a few households are...

This paper proposes that equilibrium valuation is a powerful method to generate endogenous jumps in asset prices, which provides a structural alternative to traditional reduced-form specifications with exogenous discontinuities. We specify an economy with continuous consumption and dividend...