| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12797 |
| 来源ID | Working Paper 12797 |
| Multifrequency Jump-Diffusions: An Equilibrium Approach | |
| Laurent E. Calvet; Adlai J. Fisher | |
| 发表日期 | 2006-12-22 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | This paper proposes that equilibrium valuation is a powerful method to generate endogenous jumps in asset prices, which provides a structural alternative to traditional reduced-form specifications with exogenous discontinuities. We specify an economy with continuous consumption and dividend paths, in which endogenous price jumps originate from the market impact of regime-switches in the drifts and volatilities of fundamentals. We parsimoniously incorporate shocks of heterogeneous durations in consumption and dividends while keeping constant the number of parameters. Equilibrium valuation creates an endogenous relation between a shock's persistence and the magnitude of the induced price jump. As the number of frequencies driving fundamentals goes to infinity, the price process converges to a novel stochastic process, which we call a multifractal jump-diffusion. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; General Equilibrium ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12797 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570460 |
| 推荐引用方式 GB/T 7714 | Laurent E. Calvet,Adlai J. Fisher. Multifrequency Jump-Diffusions: An Equilibrium Approach. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12797.pdf（592KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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