کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5099495 1377011 2011 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing of the time-change risks
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Pricing of the time-change risks
چکیده انگلیسی
We develop an equilibrium endowment economy with Epstein-Zin recursive utility and a Lévy time-change subordinator, which represents a clock that connects business and calendar time. Our setup provides a tractable equilibrium framework for pricing non-Gaussian jump-like risks induced by the time-change, with closed-form solutions for asset prices. Persistence of the time-change shocks leads to predictability of consumption and dividends and time-variation in asset prices and risk premia in calendar time. In numerical calibrations, we show that the risk compensation for Lévy risks accounts for about one-third of the overall equity premium.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 6, June 2011, Pages 843-858
نویسندگان
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