Matches in SemOpenAlex for { <https://semopenalex.org/work/W2264716093> ?p ?o ?g. }
Showing items 1 to 93 of
93
with 100 items per page.
- W2264716093 endingPage "338" @default.
- W2264716093 startingPage "326" @default.
- W2264716093 abstract "Abstract In this paper, we extend Zhang, Zhao and Chang's (2012) production-based equilibrium asset pricing model from a jump diffusion setting to a Levy process with stochastic volatility. This paper is a further extension of Fu and Yang (2012), which is under a Levy process with a constant volatility. Using newly developed closed-form formulas of equity premium and pricing kernel, we are able to price Schouten's (2005) moment swaps analytically. Numerical results show that our pricing formula performs very well. Our model explains Zhao, Zhang and Chang's (2013) empirical observations on moment risk premiums." @default.
- W2264716093 created "2016-06-24" @default.
- W2264716093 creator A5020277265 @default.
- W2264716093 creator A5058992075 @default.
- W2264716093 creator A5075230582 @default.
- W2264716093 creator A5089564283 @default.
- W2264716093 date "2016-04-01" @default.
- W2264716093 modified "2023-10-17" @default.
- W2264716093 title "Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums" @default.
- W2264716093 cites W1909638435 @default.
- W2264716093 cites W1976020937 @default.
- W2264716093 cites W1981539687 @default.
- W2264716093 cites W1984328418 @default.
- W2264716093 cites W2023147506 @default.
- W2264716093 cites W2029407230 @default.
- W2264716093 cites W2047644504 @default.
- W2264716093 cites W2048515311 @default.
- W2264716093 cites W2064978316 @default.
- W2264716093 cites W2071266747 @default.
- W2264716093 cites W2100190417 @default.
- W2264716093 cites W2104677851 @default.
- W2264716093 cites W2119143694 @default.
- W2264716093 cites W2145008783 @default.
- W2264716093 cites W2150163453 @default.
- W2264716093 cites W2158512712 @default.
- W2264716093 cites W2158580072 @default.
- W2264716093 cites W2159879678 @default.
- W2264716093 cites W2168308822 @default.
- W2264716093 cites W2330403207 @default.
- W2264716093 cites W2915749805 @default.
- W2264716093 cites W3023591372 @default.
- W2264716093 cites W3121239128 @default.
- W2264716093 cites W3122817125 @default.
- W2264716093 cites W3123194489 @default.
- W2264716093 cites W3123200937 @default.
- W2264716093 cites W3123321876 @default.
- W2264716093 cites W3124288866 @default.
- W2264716093 cites W3124475197 @default.
- W2264716093 cites W3125308425 @default.
- W2264716093 cites W4244083731 @default.
- W2264716093 cites W4254279565 @default.
- W2264716093 doi "https://doi.org/10.1016/j.econmod.2015.12.030" @default.
- W2264716093 hasPublicationYear "2016" @default.
- W2264716093 type Work @default.
- W2264716093 sameAs 2264716093 @default.
- W2264716093 citedByCount "13" @default.
- W2264716093 countsByYear W22647160932012 @default.
- W2264716093 countsByYear W22647160932017 @default.
- W2264716093 countsByYear W22647160932018 @default.
- W2264716093 countsByYear W22647160932019 @default.
- W2264716093 countsByYear W22647160932020 @default.
- W2264716093 countsByYear W22647160932021 @default.
- W2264716093 countsByYear W22647160932022 @default.
- W2264716093 crossrefType "journal-article" @default.
- W2264716093 hasAuthorship W2264716093A5020277265 @default.
- W2264716093 hasAuthorship W2264716093A5058992075 @default.
- W2264716093 hasAuthorship W2264716093A5075230582 @default.
- W2264716093 hasAuthorship W2264716093A5089564283 @default.
- W2264716093 hasConcept C106159729 @default.
- W2264716093 hasConcept C149782125 @default.
- W2264716093 hasConcept C151541453 @default.
- W2264716093 hasConcept C162324750 @default.
- W2264716093 hasConcept C181236170 @default.
- W2264716093 hasConcept C85393063 @default.
- W2264716093 hasConcept C91602232 @default.
- W2264716093 hasConceptScore W2264716093C106159729 @default.
- W2264716093 hasConceptScore W2264716093C149782125 @default.
- W2264716093 hasConceptScore W2264716093C151541453 @default.
- W2264716093 hasConceptScore W2264716093C162324750 @default.
- W2264716093 hasConceptScore W2264716093C181236170 @default.
- W2264716093 hasConceptScore W2264716093C85393063 @default.
- W2264716093 hasConceptScore W2264716093C91602232 @default.
- W2264716093 hasFunder F4320321001 @default.
- W2264716093 hasLocation W22647160931 @default.
- W2264716093 hasOpenAccess W2264716093 @default.
- W2264716093 hasPrimaryLocation W22647160931 @default.
- W2264716093 hasRelatedWork W2130830554 @default.
- W2264716093 hasRelatedWork W2183435474 @default.
- W2264716093 hasRelatedWork W2185057559 @default.
- W2264716093 hasRelatedWork W2265444719 @default.
- W2264716093 hasRelatedWork W2471403686 @default.
- W2264716093 hasRelatedWork W2735011330 @default.
- W2264716093 hasRelatedWork W2943666876 @default.
- W2264716093 hasRelatedWork W3125247797 @default.
- W2264716093 hasRelatedWork W3125784162 @default.
- W2264716093 hasRelatedWork W3150449941 @default.
- W2264716093 hasVolume "54" @default.
- W2264716093 isParatext "false" @default.
- W2264716093 isRetracted "false" @default.
- W2264716093 magId "2264716093" @default.
- W2264716093 workType "article" @default.