A Dynamic Equilibrium Model for U-Shaped Pricing Kernels

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Summary, etc.：: This paper proposes a dynamic equilibrium model that can provide a uni ed explanation for the stylized facts observed in stock index markets such as t...

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Material Type: 文書・図像類
Title: A Dynamic Equilibrium Model for U-Shaped Pricing Kernels
Author/Editor: YAMAZAKI, Akira
Author Heading: YAMAZAKI, Akira
Publication, Distribution, etc.: 法政大学イノベーション・マネジメント研究センター
Publication Date: 2017-02-10
Publication Date (W3CDTF): 2017-02-10
Periodical title: 法政大学イノベーション・マネジメント研究センターワーキングペーパーシリーズ
No. or year of volume/issue: 173
Volume: 173
Pages: 1-40
Text Language Code: eng
Subject Heading: stock index
U-shaped pricing kernel
stochastic activity rate
aggregate consumption
physical distribution
risk-neutral distribution
realized variance
Target Audience: 一般
Note (General): イノベーション・マネジメント研究センターの許諾済。引用には出典を明記してください。
Format (IMT): application/pdf
Source: im_WPNo.173_Yamazaki.pdf （fulltext）
https://hosei.ecats-library.jp/da/repository/00013862/im_WPNo.173_Yamazaki.pdf
Access Restrictions: 限定公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 法政大学 : 法政大学学術機関リポジトリ