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The Dynamics of Crises and the Equity Premium
(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: ...
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
(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 ...
Asset Pricing Under Uncertainty About Shock Propagation
(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 ...