Asset pricing with incomplete information and fat tails Article

Bidarkota, Prasad V, Dupoyet, Brice V, McCulloch, J Huston. (2009). Asset pricing with incomplete information and fat tails . JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 33(6), 1314-1331. 10.1016/j.jedc.2009.01.002

keywords

  • Asset pricing
  • Business & Economics
  • CONSUMPTION
  • Economics
  • Fat tails
  • Incomplete information
  • MODELS
  • PERSISTENCE
  • RATES
  • RETURNS
  • RISK-AVERSION
  • STOCK
  • SUBSTITUTION
  • Social Sciences
  • Stable distributions
  • TEMPORAL BEHAVIOR
  • Time-varying volatility
  • VOLATILITY

Digital Object Identifier (DOI)

publisher

  • ELSEVIER

start page

  • 1314

end page

  • 1331

volume

  • 33

issue

  • 6