• 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 ...