Hidden persistent disasters and asset prices

DOI10.1007/s10436-013-0226-5zbMath1320.91061OpenAlexW2072648907MaRDI QIDQ481370

Masataka Suzuki

Publication date: 12 December 2014

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

Full work available at URL: https://doi.org/10.1007/s10436-013-0226-5

zbMATH Keywords

asset pricingequity premiumstochastic differential utilityequity volatilitypersistent disasters

Mathematics Subject Classification ID

Cites Work

• Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings
• The peso problem hypothesis and stock market returns
• Continuous-time security pricing. A utility gradient approach
• Rare Disasters and Asset Markets in the Twentieth Century*
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
• Unnamed Item

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