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Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
Continuous-time equilibrium exponential utility CAPM affine processes information based asset pricing implied volatility
2012/3/2
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of u...
Asset returns and volatility clustering in financial time series
Asset returns volatility clustering financial time series
2010/10/18
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation function...