Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/72271 
Autor:innen: 
Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 153
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market fluctuations? This paper develops theoretical test conditions addressing this and related reverse engineering issues arising within a fairly general class of long-lived asset pricing models. These conditions solely affect the first primitives of the economy (probabilistic descriptions of the world, information structures, and preferences). They thus remove some of the arbitrariness related to the specification of theoretical models involving unobserved variables, state-dependent preferences, and incomplete markets.
Schlagwörter: 
pricing kernel restrictions
convexity
equilibrium volatility
JEL: 
D91
E44
G12
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
571.82 kB





Publikationen in EconStor sind urheberrechtlich geschützt.