Auflistung nach Autor "Meinerding, Christoph"

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    • Asset Pricing Under Uncertainty About Shock Propagation 

      Branger, Nicole; Grüning, Patrick; Kraft, Holger; Meinerding, Christoph (2014-03-25)
      We analyze the equilibrium in a two-tree (sector) economy with two regimes. The output of each tree is driven by a jump-diffusion process, and a downward jump in one sector of the economy can (but need not) trigger a shift ...

    • Equilibrium Asset Pricing in Directed Networks 

      Branger, Nicole; Konermann, Patrick; Meinerding, Christoph; Schlag, Christian (2018-10-16)
      Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an ...

    • Investment-Specific Shocks, Business Cycles, and Asset Prices 

      Curatola, Giuliano; Donadelli, Michael; Grüning, Patrick; Meinerding, Christoph (2016-03-14)
      We introduce long-run investment productivity risk in a two-sector production economy to explain the joint behavior of macroeconomic quantities and asset prices. Long-run productivity risk in both sectors, for which we ...

    • Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization 

      Branger, Nicole; Kraft, Holger; Meinerding, Christoph (2013-04-18)
      This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ...

    • The Dynamics of Crises and the Equity Premium 

      Branger, Nicole; Kraft, Holger; Meinerding, Christoph (2015-05-18)
      It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: ...