Bayesian Estimation of a Dynamic Asset Pricing Model with Long-Run Risk

SSRN Electronic Journal ◽

10.2139/ssrn.1913506 ◽

2011 ◽

Author(s):

Debasis Rooj

Keyword(s):

Asset Pricing ◽

Bayesian Estimation ◽

Pricing Model ◽

Asset Pricing Model ◽

Long Run ◽

Dynamic Asset Pricing ◽

Download Full-text

A Two-Step Indirect Inference Approach to Estimate the Long-Run Risk Asset Pricing Model

SSRN Electronic Journal ◽

10.2139/ssrn.3038722 ◽

2017 ◽

Author(s):

Joachim Grammig ◽

Eva-Maria KKchlin

Keyword(s):

Asset Pricing ◽

Indirect Inference ◽

Pricing Model ◽

Asset Pricing Model ◽

Long Run ◽

Download Full-text

Filtering Methods for the Estimation of the Long-Run Risk Asset Pricing Model

SSRN Electronic Journal ◽

10.2139/ssrn.2867519 ◽

2016 ◽

Author(s):

Eva-Maria KKchlin

Keyword(s):

Asset Pricing ◽

Pricing Model ◽

Asset Pricing Model ◽

Long Run ◽

Download Full-text

An External Habit Model Subject to Long Run Risk in Continuous Time: A Multi-Dimensional Asset Pricing Model

SSRN Electronic Journal ◽

10.2139/ssrn.1794181 ◽

2011 ◽

Author(s):

Yu Chen ◽

Thomas F. Cosimano ◽

Alex A. Himonas

Keyword(s):

Asset Pricing ◽

Continuous Time ◽

Pricing Model ◽

Asset Pricing Model ◽

Long Run ◽

Long Run Risk ◽

Download Full-text

Estimating the Long-Run Risk Asset Pricing Model with a Two-Step Indirect Inference Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2820506 ◽

2016 ◽

Author(s):

Joachim Grammig ◽

Eva-Maria KKchlin

Keyword(s):

Asset Pricing ◽

Indirect Inference ◽

Pricing Model ◽

Asset Pricing Model ◽

Long Run ◽

Download Full-text

A two-step indirect inference approach to estimate the long-run risk asset pricing model

Journal of Econometrics ◽

10.1016/j.jeconom.2018.03.003 ◽

2018 ◽

Vol 205 (1) ◽

pp. 6-33 ◽

Author(s):

Joachim Grammig ◽

Eva-Maria Küchlin

Keyword(s):

Asset Pricing ◽

Indirect Inference ◽

Pricing Model ◽

Asset Pricing Model ◽

Long Run ◽

Download Full-text

Measuring the Arbitrage Opportunities in an Intertemporal Dynamic Asset Pricing Model

Applied Decision Analysis ◽

10.1007/978-94-017-0759-6_13 ◽

1998 ◽

pp. 159-172 ◽

Author(s):

A. Balbás ◽

P. Jiménez Guerra ◽

M. J. Muñoz Bouzo

Keyword(s):

Asset Pricing ◽

Pricing Model ◽

Asset Pricing Model ◽

Arbitrage Opportunities ◽

Dynamic Asset Pricing

Download Full-text

Kenneth J. Singleton: Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment

Financial Markets and Portfolio Management ◽

10.1007/s11408-007-0054-6 ◽

2007 ◽

Vol 21 (2) ◽

pp. 263-264

Author(s):

Anna Cieslak

Keyword(s):

Asset Pricing ◽

Model Specification ◽

Pricing Model ◽

Asset Pricing Model ◽

Dynamic Asset Pricing ◽

Econometric Assessment

Download Full-text

Asset Pricing with Growth

Finance and Financial Intermediation ◽

10.1093/oso/9780190941697.003.0004 ◽

2019 ◽

pp. 45-55

Author(s):

Harold L. Cole

Keyword(s):

Asset Pricing ◽

Pricing Model ◽

Asset Pricing Model ◽

Long Run ◽

This chapter extends the risk-neutral asset pricing model to account for long-run growth.

Download Full-text

A Dynamic Asset Pricing Model with Time-Varying Idiosyncratic Risk

SSRN Electronic Journal ◽

10.2139/ssrn.627686 ◽

2004 ◽

Author(s):

Paskalis Glabadanidis

Keyword(s):

Asset Pricing ◽

Idiosyncratic Risk ◽

Time Varying ◽

Pricing Model ◽

Asset Pricing Model ◽

Dynamic Asset Pricing

Download Full-text

A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbp006 ◽

2009 ◽

Vol 7 (3) ◽

pp. 247-264 ◽

Author(s):

P. Glabadanidis

Keyword(s):

Asset Pricing ◽

Idiosyncratic Risk ◽

Time Varying ◽

Pricing Model ◽

Asset Pricing Model ◽

Dynamic Asset Pricing

Download Full-text