Asset pricing with incomplete information and fat tails

DOI10.1016/j.jedc.2009.01.002zbMath1176.91044OpenAlexW2037935792MaRDI QIDQ1042357

Prasad V. Bidarkota, Brice V. Dupoyet, J. Huston McCulloch

Publication date: 7 December 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2009.01.002

zbMATH Keywords

asset pricingstable distributionsincomplete informationfat tailstime-varying volatility

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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