Pricing of the time-change risks
From MaRDI portal
Publication:543799
DOI10.1016/j.jedc.2011.01.003zbMath1231.91111OpenAlexW3124158955MaRDI QIDQ543799
Ivan Shaliastovich, George Tauchen
Publication date: 17 June 2011
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.01.003
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (2)
Stochastic distortion and its transformed copula ⋮ Optimal control for a linear quadratic problem with a stochastic time scale
Cites Work
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Learning, confidence, and option prices
- The market for crash risk
- The impact of fat tails on equilibrium rates of return and term premia
- Asset pricing with incomplete information and fat tails
- Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
- Time Changes for Lévy Processes
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
- Rare Disasters and Asset Markets in the Twentieth Century*
- Long-Term Risk: An Operator Approach
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Financial Modelling with Jump Processes
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
- Consumption-Based Asset Pricing with Higher Cumulants
- Stochastic Clock and Financial Markets
- A note on some limitations of CRRA utility
This page was built for publication: Pricing of the time-change risks
