My bibliography
Save this item
An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Vila, Jean-Luc & Zariphopoulou, Thaleia, 1997. "Optimal Consumption and Portfolio Choice with Borrowing Constraints," Journal of Economic Theory, Elsevier, vol. 77(2), pages 402-431, December.
- Maliar, Lilia & Maliar, Serguei, 2001.
"Heterogeneity in capital and skills in a neoclassical stochastic growth model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 25(9), pages 1367-1397, September.
- Lilia Maliar & Serguei Maliar, 1999. "- Heterogeneity In Capital And Skills In A Neoclassical Stochastic Growth Model," Working Papers. Serie AD 1999-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Suleyman Basak & Michael Gallmeyer, 1999.
"Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium,"
Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 1-30, January.
- Süleyman Basak & Mike Gallmeyer, "undated". "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 9-98, Wharton School Rodney L. White Center for Financial Research.
- Basak, S. & Gallmeyer, M., 1998. "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium," Weiss Center Working Papers 98-04, Wharton School - Weiss Center for International Financial Research.
- Süleyman Basak & Mike Gallmeyer, "undated". "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 09-98, Wharton School Rodney L. White Center for Financial Research.
- Basak, Suleyman, 1999.
"On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis,"
Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 1029-1064, June.
- Süleyman Basak, "undated". "On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis," Rodney L. White Center for Financial Research Working Papers 10-98, Wharton School Rodney L. White Center for Financial Research.
- Ghysels, E., 1995.
"On Stable Factor Structurs in the Pricing of Risk,"
Cahiers de recherche
9525, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO.
- repec:dau:papers:123456789/56 is not listed on IDEAS
- Riedel, Frank & Herzberg, Frederik, 2013.
"Existence of financial equilibria in continuous time with potentially complete markets,"
Journal of Mathematical Economics, Elsevier, vol. 49(5), pages 398-404.
- Frederik Herzberg & Frank Riedel, 2012. "Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets," Papers 1207.2010, arXiv.org.
- Riedel, Frank & Herzberg, Frederik, 2017. "Existence of financial equilibria in continuous time with potentially complete markets," Center for Mathematical Economics Working Papers 443, Center for Mathematical Economics, Bielefeld University.
- Kazemi, Hossein B. & Warotamasikkhadit, Dolly & Nageswaran, V. Anantha, 1997. "International convergence of short-term and long-term interest rates: Theory and empirical tests," Global Finance Journal, Elsevier, vol. 8(2), pages 239-256.
- Kabderian Dreyer, Johannes & Sharma, Vivek & Smith, William, 2023. "Warm-glow investment and the underperformance of green stocks," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 546-570.
- Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
- repec:dau:papers:123456789/5374 is not listed on IDEAS
- Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc.
- Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.
- Bardhan, Indrajit & Chao, Xiuli, 1996. "Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 20(1-3), pages 361-384.
- Jose S. Penalva Zuasti, 2001.
"Insurance with Frequency Trading: A Dynamic Analysis of Efficient Insurance Markets,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(4), pages 790-822, October.
- José Penalva, 2000. "Full insurance, asymmetric information and genetic testing," Economics Working Papers 461, Department of Economics and Business, Universitat Pompeu Fabra.
- Chiarolla, Maria B. & Haussmann, Ulrich G., 2001. "Equilibrium in a stochastic model with consumption, wages and investment," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 311-346, April.
- Asea, Patrick K. & Ncube, Mthuli, 1998.
"Heterogeneous information arrival and option pricing,"
Journal of Econometrics, Elsevier, vol. 83(1-2), pages 291-323.
- Patrick K. Asea & Mthuli Ncube, 1997. "Heterogeneous Information Arrival and Option Pricing," NBER Working Papers 5950, National Bureau of Economic Research, Inc.
- Drost, Feike C. & Werker, Bas J. M., 1996.
"Closing the GARCH gap: Continuous time GARCH modeling,"
Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September.
- Drost, F.C. & Werker, B.J.M., 1994. "Closing the GARCH gap : Continuous time GARCH modeling," Discussion Paper 1994-2, Tilburg University, Center for Economic Research.
- Drost, F.C. & Werker, B.J.M., 1996. "Closing the GARCH gap : Continuous time GARCH modeling," Other publications TiSEM c3d29817-403a-4ad1-9295-8, Tilburg University, School of Economics and Management.
- Calvet, Laurent E. & Fisher, Adlai J., 2008.
"Multifrequency jump-diffusions: An equilibrium approach,"
Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
- Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008. "Multifrequency jump-diffusions: An equilibrium approach," Post-Print hal-00459681, HAL.
- Merton, Robert, 1990.
"Capital market theory and the pricing of financial securities,"
Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581,
Elsevier.
- Merton, Robert C., 1986. "Capital market theory and the pricing of financial securities," Working papers 1818-86., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.
- Elyès Jouini & Clotilde Napp, 1998.
"Contiuous Time Equilibrium Pricing of Nonredundant Assets,"
Working Papers
98-30, Center for Research in Economics and Statistics.
- Elyes Jouini & Clotilde Napp, 1999. "Continuous Time Equilibrium Pricing of Nonredundant Assets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-008, New York University, Leonard N. Stern School of Business-.
- Jouini, Elyes, 2001.
"Arbitrage and control problems in finance: A presentation,"
Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
- Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
- Jouini, Elyes & Napp, Clotilde, 2003.
"A class of models satisfying a dynamical version of the CAPM,"
Economics Letters, Elsevier, vol. 79(3), pages 299-304, June.
- Elyès Jouini & Clotilde Napp, 2003. "A class of models satisfying a dynamical version of the CAPM," Post-Print halshs-00167159, HAL.
- Elyès Jouini & Clotilde Napp, 2002.
"Arbitrage Pricing And Equilibrium Pricing: Compatibility Conditions,"
World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 6, pages 131-158,
World Scientific Publishing Co. Pte. Ltd..
- Elyès Jouini & Clotilde Napp, 2002. "Arbitrage pricing and equilibrium pricing : compatibility conditions," Post-Print halshs-00176423, HAL.
- Jiang, Wang, 1996. "The term structure of interest rates in a pure exchange economy with heterogeneous investors," Journal of Financial Economics, Elsevier, vol. 41(1), pages 75-110, May.
- Pakoš, Michal, 2013.
"Long-run risk and hidden growth persistence,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
- Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
- Zapatero, Fernando, 1995. "Equilibrium asset prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 787-811, May.
- Barbachan, José Fajardo, 2002. "Equilibrium in stochastic economies with incomplete financial markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 22(1), May.
- Chichilnisky, Graciela & Zhou, Yuqing, 1998. "Smooth infinite economies," Journal of Mathematical Economics, Elsevier, vol. 29(1), pages 27-42, January.
- Dana, R. A. & Le Van, C., 1996.
"Asset Equilibria in Lp spaces with complete markets: A duality approach,"
Journal of Mathematical Economics, Elsevier, vol. 25(3), pages 263-280.
- Dana, R.A. & Le Van, C., 1996. "Asset Equilibria in "L" Spaces with Complete Markets: A Duality Approach," Papers 95.388, Toulouse - GREMAQ.
- Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
- Jerome Detemple & Marcel Rindisbacher & Scott Robertson, 2020. "Dynamic Noisy Rational Expectations Equilibrium With Insider Information," Econometrica, Econometric Society, vol. 88(6), pages 2697-2737, November.
- Basak, Suleyman, 2000. "A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 63-95, January.
- Patrick Asea & Mthuli Nube, 1997. "Heterogeneous Information Arrival and Option Pricing," UCLA Economics Working Papers 763, UCLA Department of Economics.
- Li, Tao, 2007. "Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy," Journal of Economic Dynamics and Control, Elsevier, vol. 31(5), pages 1697-1727, May.
- Basak, Suleyman, 2002. "A comparative study of portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1217-1241, July.
- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Cox, John C. & Huang, Chi-fu., 1989. "A variational problem arising in financial economics," Working papers 2110-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Pierre Lavigne & Peter Tankov, 2023. "Decarbonization of financial markets: a mean-field game approach," Papers 2301.09163, arXiv.org.
- Ki Beom Binh & Hogyu Jhang, 2015. "Extraneous Risk: Pricing of Non-Systematic Risk," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 335-352, November.
- Antonio Mele & Fabio Fornari, 1999. "Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis," Computing in Economics and Finance 1999 912, Society for Computational Economics.
- repec:dau:papers:123456789/5590 is not listed on IDEAS
- Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.