Auflistung LIF-SAFE Working Papers nach Autor "Branger, Nicole"

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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 ...

    • Commodities, Financialization, and Heterogeneous Agents 

      Branger, Nicole; Grüning, Patrick; Schlag, Christian (2016-04-28)
      The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for ...

    • 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 ...

    • Level and Slope of Volatility Smiles in Long-Run Risk Models 

      Branger, Nicole; Rodrigues, Paulo; Schlag, Christian (2017-10-16)
      We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine ...

    • "Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors 

      Branger, Nicole; Schlag, Christian; Wu, Lue (2015-07-31)
      In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with ...

    • Optimists and Pessimists in (In)Complete Markets 

      Branger, Nicole; Konermann, Patrick; Schlag, Christian (2019-06-06)
      We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In ...

    • 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: ...

    • When Do Jumps Matter for Portfolio Optimization? 

      Ascheberg, Marius; Branger, Nicole; Kraft, Holger (2015-11-25)
      We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a ...