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3 results

26 - Equilibrium Theory
from Part V - Applications in Financial Economics
Tomas Björk, Stockholm School of Economics
Book:

Point Processes and Jump Diffusions

Published online:

27 May 2021

Print publication:

17 June 2021, pp 284-297
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Summary

In this chapter we study dynamic market equilibrium. This is done within the framework of a representative agent and a unit net supply jump–diffusion endowment process. We derive formulas for the equilibrium short, the equilibrium stochastic discount factor, and the equilibrium market prices of risk. We also study factor models and give concrete examples. We finish by studying an equilibrium model with partial observations, using our earlier filtering results.

On the minimal number of driving Lévy motions in a multivariate price model
Part of
- Stochastic processes
- Stochastic analysis
Jean Jacod, Mark Podolskij
Journal:

Journal of Applied Probability / Volume 55 / Issue 3 / September 2018

Published online by Cambridge University Press:

16 November 2018, pp. 823-833

Print publication:

September 2018
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In this paper we consider the factor analysis for Lévy-driven multivariate price models with stochastic volatility. Our main aim is to provide conditions on the volatility process under which we can possibly reduce the dimension of the driving Lévy motion. We find that these conditions depend on a particular form of the multivariate Lévy process. In some settings we concentrate on nondegenerate symmetric α-stable Lévy motions.

Nowcasting Euro Area Economic Activity in Real Time: The Role of Confidence Indicators
Domenico Giannone, Lucrezia Reichlin, Saverio Simonelli
Journal:

National Institute Economic Review / Volume 210 / October 2009

Published online by Cambridge University Press:

26 March 2020, pp. 90-97

Print publication:

October 2009
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This paper assesses the role of qualitative surveys for the early estimation of GDP in the Euro Area in a model-based automated procedure which exploits the timeliness of their release. The analysis is conducted using both an historical evaluation and a real-time case study on the current conjuncture.

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3 results

26 - Equilibrium Theory

Summary

On the minimal number of driving Lévy motions in a multivariate price model

Nowcasting Euro Area Economic Activity in Real Time: The Role of Confidence Indicators