Hidden persistent disasters and asset prices
type: Item
instance of: scholarly article
title: Hidden persistent disasters and asset prices
zbMATH Open document ID: 1320.91061
author: Masataka Suzuki
published in: Annals of Finance
publication date: 2014-12-12T00:00:00Z
Mathematics Subject Classification ID: 91B25
Mathematics Subject Classification ID: 91B62
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 60J20
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6380098
zbMATH Keywords: asset pricing
zbMATH Keywords: equity premium
zbMATH Keywords: equity volatility
zbMATH Keywords: persistent disasters
zbMATH Keywords: stochastic differential utility
MaRDI profile type: Publication
full work available at URL: s10436-013-0226-5
OpenAlex ID: W2072648907
cites work: Rare Disasters and Asset Markets in the Twentieth Century*
cites work: Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings
cites work: Continuous-time security pricing. A utility gradient approach
cites work: Stochastic Differential Utility
cites work: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
cites work: Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
cites work: Q4522401
cites work: The peso problem hypothesis and stock market returns
DOI: 10.1007/S10436-013-0226-5
description: scientific article; zbMATH DE number 6380098