Asset pricing and the role of macroeconomic volatility

DOI10.1007/s10436-013-0237-2zbMath1298.91092OpenAlexW2157538258MaRDI QIDQ470727

Stefano d'Addona, Christos I. Giannikos

Publication date: 13 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-013-0237-2

zbMATH Keywords

asset pricingreal business cycle modelsMarkov switching modelsrecursive preferences

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Equilibrium stock return dynamics under alternative rules of learning about hidden states
• Consumption adjustment to real interest rates: Intertemporal substitution revisited
• Time to Build and Aggregate Fluctuations
• Public Finance in Models of Economic Growth
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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