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conditional comovement (SDCC) model. The asymptotic distribution of the derived SVIRFs is also studied for asymptotic inference. Section 2 applies the proposed SVIRFs to the U.S. daily commodity and stock ...
with a determination of the deviation of market from normal (natural) prices which closely follows the description provided by Adam Smith: each period the level of the market price of a commodity will be higher (lower ...
number of parameters) stochastic discount factors are often tested by looking directly at the average “ pricing errors” of the models. Formal statistical tests are performed using a time series of portfolio ...
, and Rubinstein (1979) as well as the recent work of Nelson and Ramaswamy (1990), which provides useful discrete-time approximations for options pricing by incorporating a richer set of stochastic processes than ...
Abstract When randomness in demand affects the sales of a product, retailers use dynamic pricing strategies to maximize their profits. In this article, we formulate the pricing problem ...
copper prices , especially when economic crisis or wars occur in the world, because of the copper strategic role in economies. Copper has also been known as one of the most widely used metals ...
processes on equilibrium asset prices . Merton (1975) develops an asymptotic theory of growth under uncertainty and presents the steady-state distribution of the economy. Merton also derives a closed-form ...
as follows. Section I derives a simple empirical model of price determination. In Section II we estimate the model using aggregate data for the United Kingdom, 1951–91. We test the assumptions underlying our ...
of investors. Because our interest is in social valuation, the prices of interest use the marginal rates of substitution of the preferences of the fictitious planner for stochastic discounting and the pertinent ...
},$| if and only if they share at least one pricing rule. The duality nature of the Riesz theorem allows us to work with either the pricing functionals themselves or, equivalently, the stochastic discount factors ...
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