Equilibrium stock return dynamics under alternative rules of learning about hidden states
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Publication:953695
DOI10.1016/j.jedc.2003.09.003zbMath1201.91209OpenAlexW3124430593MaRDI QIDQ953695
Lu Zhang, Qi Zeng, Michael W. Brandt
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2003.09.003
Interest rates, asset pricing, etc. (stochastic models) (91G30) Special types of economic markets (including Cournot, Bertrand) (91B54)
Related Items (8)
Learning and forecasts about option returns through the volatility risk premium ⋮ Asset pricing with flexible beliefs ⋮ Asset pricing and the role of macroeconomic volatility ⋮ Long-run risk and hidden growth persistence ⋮ Predictability and habit persistence ⋮ Properties of equilibrium asset prices under alternative learning schemes ⋮ Asset pricing with incomplete information and fat tails ⋮ Through the looking glass: indirect inference via simple equilibria
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