Dynamic equilibrium and volatility in financial asset markets

DOI10.1016/S0304-4076(97)80001-2zbMath0908.62118OpenAlexW3123487651MaRDI QIDQ1379917

Yacine Aït-Sahalia

Publication date: 3 March 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)80001-2

zbMATH Keywords

asset pricingmarket microstructureexcess volatilitynonlinear dynamics and filtering

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Other game-theoretic models (91A40) Stochastic games, stochastic differential games (91A15) General equilibrium theory (91B50)

Related Items (1)

MARKET FORCES AND DYNAMIC ASSET PRICING

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