| 书目名称 | Economic Foundation of Asset Price Processes |
| 编辑 | Erik Lüders |
| 视频video | |
| 丛书名称 | ZEW Economic Studies |
| 图书封面 |  |
| 描述 | .In this book the relation between the characteristics of investors‘ preferences and expectations and equilibrium asset price processes are analysed. It is shown that declining elasticity of the pricing kernel can lead to positive serial correlation of short term asset returns and negative serial correlation of long term returns. Analytical asset price processes are also derived. In contrast to the widely used "empirical" time-series models these processes do not lack a sound economic foundation. Moreover, in contrast to the popular Ornstein Uhlenbeck process and the Constant Elasticity of Variance model the proposed stochastic processes are consistent with a classical representative investor economy.. |
| 出版日期 | Book 2004 |
| 关键词 | Arbitrage; Asset Pricing; Financial Economics; Pricing Kernel; Stochastic Processes; Time Series Analysis |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-7908-2660-9 |
| isbn_softcover | 978-3-7908-0149-1 |
| isbn_ebook | 978-3-7908-2660-9Series ISSN 1615-6781 Series E-ISSN 1867-2027 |
| issn_series | 1615-6781 |
| copyright | Springer-Verlag Berlin Heidelberg 2004 |
发表于 2025-3-21 17:21:09
