The impact of fat tails on equilibrium rates of return and term premia Article

Bidarkota, Prasad V, Dupoyet, Brice V. (2007). The impact of fat tails on equilibrium rates of return and term premia . JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 31(3), 887-905. 10.1016/j.jedc.2006.03.001

keywords

  • Business & Economics
  • Economics
  • SHOCKS
  • Social Sciences
  • asset-pricing model
  • dampened power law
  • equity premium
  • fat tails
  • habit formation
  • term premium

Digital Object Identifier (DOI)

publisher

  • ELSEVIER SCIENCE BV

start page

  • 887

end page

  • 905

volume

  • 31

issue

  • 3