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Tag: asset-pricing
45 items with this tag.
Apr 13, 2026
Bond and dividend-strip prices in regime-switching affine models admit closed-form Riccati recursions conditional on a regime path
riccati
regime-switching
asset-pricing
exponential-affine
cre-pricing
mjls
Apr 13, 2026
Adding commercial real estate prices to a joint estimation sharpens monetary policy regime identification
commercial-real-estate
monetary-policy
regime-switching
identification
asset-pricing
Apr 13, 2026
GDA preferences with long-run volatility risk alone explain the equity premium
asset-pricing
equity-premium
disappointment-aversion
long-run-risk
preferences
Apr 13, 2026
Log-linearization errors exceed 70% in persistent long-run risk models
asset-pricing
approximation-error
long-run-risk
numerical-methods
Apr 13, 2026
The principal eigenvalue of the pricing semigroup determines the long-run yield and the long-run risk-price vector
asset-pricing
eigenvalue
long-run-risk
term-structure
yield
Apr 13, 2026
Strictly positive multiplicative functionals admit a unique decomposition into exponential trend, martingale, and transient eigenfunction-ratio components
asset-pricing
sdf
long-run-risk
decomposition
martingale
Apr 13, 2026
Strip-integral pricing is exact for psi=1 and time-additive utility
asset-pricing
recursive-utility
equity-strips
affine-models
exact-solution
Apr 13, 2026
Coupled Riccati Recursions for Regime-Switching Asset Pricing
riccati
regime-switching
asset-pricing
exponential-affine
mjls
cre-pricing
Apr 13, 2026
CRE Cap Rate Decomposition
commercial-real-estate
asset-pricing
cap-rates
present-value
risk-premia
Apr 13, 2026
Efficient Method of Moments (EMM)
estimation
simulated-method-of-moments
time-series
asset-pricing
Apr 13, 2026
Exponential-Quadratic Asset Pricing Factors
asset-pricing
riccati
no-arbitrage
term-structure
real-estate
Apr 13, 2026
Generalized Disappointment Aversion
preferences
asset-pricing
risk-aversion
recursive-utility
Apr 13, 2026
Log-Linearization Approximation Error
asset-pricing
numerical-methods
approximation
long-run-risk
Apr 13, 2026
Markov Regime Switching in Asset Prices
regime-switching
asset-pricing
hidden-markov
no-arbitrage
business-cycle
Apr 13, 2026
Markov-Switching Rational Expectations CRE Pricing
commercial-real-estate
markov-switching
rational-expectations
asset-pricing
dsge
monetary-policy
Apr 13, 2026
Multiplicative Factorization of the Stochastic Discount Factor
asset-pricing
sdf
long-run-risk
decomposition
martingale
Apr 13, 2026
No-Bubble Condition (NBC)
rational-expectations
no-bubble-condition
asset-pricing
determinacy
transversality
Apr 13, 2026
Principal Eigenfunction of a Pricing Operator
asset-pricing
eigenvalue
semigroup
long-run-risk
perron-frobenius
Apr 13, 2026
Regime-Shift Risk Premium
risk-premium
regime-switching
term-structure
no-arbitrage
asset-pricing
Apr 13, 2026
Regime-switching no-arbitrage term structure
term-structure
regime-switching
no-arbitrage
asset-pricing
Apr 13, 2026
Semigroup Approach to Asset Pricing
asset-pricing
operator-methods
semigroup
markov
valuation
Apr 13, 2026
Identification theory for compound (product-of-independent) Markov chains in regime-switching asset pricing
identification
compound-chain
markov-switching
asset-pricing
independence
theory
product-structure
Apr 13, 2026
Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices
asset-pricing
long-run-risk
disappointment-aversion
equity-premium
Markov-switching
recursive-utility
Apr 13, 2026
Long-Term Risk: An Operator Approach
long-run-risk
operator-approach
asset-pricing
eigenvalue
semigroup
stochastic-discount-factor
Apr 13, 2026
Higher Order Effects in Asset Pricing Models with Long-Run Risks
asset-pricing
long-run-risk
log-linearization
approximation-error
recursive-utility
numerical-methods
Apr 13, 2026
Macro Fundamentals & Commercial Real Estate Price Dynamics
commercial-real-estate
markov-switching
asset-pricing
no-arbitrage
dsge
monetary-policy
wage-rigidity
exponential-quadratic
riccati
Apr 13, 2026
Pricing Long-Lived Securities in Dynamic Endowment Economies
asset-pricing
recursive-utility
rare-disasters
affine-models
equity-strips
cross-section
ICAPM
Apr 13, 2026
alberto-plazzi
real-estate
financial-economics
asset-pricing
predictability
REIT
Apr 13, 2026
andrew-ang
asset-pricing
term-structure
regime-switching
factor-investing
macro-finance
Apr 13, 2026
david-leather
commercial-real-estate
asset-pricing
regime-switching
monetary-policy
dsge
mjls
term-structure
Apr 13, 2026
david-ling
real-estate
asset-pricing
REIT
cap-rates
institutional-investors
Apr 13, 2026
geert-bekaert
asset-pricing
term-structure
international-finance
regime-switching
macro-finance
Apr 13, 2026
hao-zhou
asset-pricing
term-structure
fixed-income
regime-switching
Apr 13, 2026
jacob-sagi
commercial-real-estate
asset-pricing
regime-switching
term-structure
monetary-policy
oil-pricing
real-estate
Apr 13, 2026
jessica-wachter
asset-pricing
rare-disasters
recursive-utility
term-structure
Apr 13, 2026
jose-scheinkman
mathematical-economics
asset-pricing
financial-economics
long-run-risk
dynamics
Apr 13, 2026
kenneth-singleton
finance
asset-pricing
term-structure
econometrics
Apr 13, 2026
lars-peter-hansen
econometrics
asset-pricing
gmm
long-run-risk
nobel-laureate
Apr 13, 2026
mikhail-chernov
asset-pricing
term-structure
derivatives
macro-finance
fixed-income
Apr 13, 2026
qiang-dai
finance
asset-pricing
term-structure
econometrics
Apr 13, 2026
ravi-bansal
asset-pricing
macro-finance
term-structure
long-run-risks
Apr 13, 2026
walter-torous
real-estate
financial-economics
asset-pricing
REIT
derivatives
Apr 13, 2026
wei-yang
finance
asset-pricing
term-structure
econometrics
Apr 13, 2026
Commercial Real Estate Pricing with Regime-Switching Macro Dynamics
commercial-real-estate
asset-pricing
regime-switching
no-arbitrage
cap-rates
Apr 13, 2026
Markov-Switching Term Structure Models
term-structure
regime-switching
asset-pricing
no-arbitrage
monetary-policy
bond-pricing
macro-finance