Article ID Journal Published Year Pages File Type
5099284 Journal of Economic Dynamics and Control 2007 20 Pages PDF
Abstract
We derive a link between assets and interest rates in a standard multi-asset diffusion economy from two structural assumptions-one on the volatility and one on the short rate function. Our main result is economically intuitive and testable from data since it only involves empirically observable quantities. A preliminary study illustrates how this could be done.
Related Topics
Physical Sciences and Engineering Mathematics Control and Optimization
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