This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of … the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption … shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility …

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium … risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is … equivalent to survival under an agent-specific, wealth-forward measure. These results allow us to show that price impact and …

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …, intrinsic characteristic of the aggregate dividend process that we call the ”rate of discounting volatility” and show that, in …

investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and …

investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and …

investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only …

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang … transform, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model … approach, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating …

correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …

discussed Autocorrelation of returns is researched and volatility of stock index by the example of MICEX is modeled Several …-coefficients on stock’s volatility is analyzed …