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Solving asset pricing models with stochastic volatility
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dc.contributor.author | de Groot, Oliver | |
dc.date.accessioned | 2017-05-08T15:30:08Z | |
dc.date.available | 2017-05-08T15:30:08Z | |
dc.date.issued | 2015-03 | |
dc.identifier | 212288395 | |
dc.identifier | fc43c0c4-4efa-4120-be1a-375f95c66e83 | |
dc.identifier | 000350834500019 | |
dc.identifier | 84923040663 | |
dc.identifier.citation | de Groot , O 2015 , ' Solving asset pricing models with stochastic volatility ' , Journal of Economic Dynamics and Control , vol. 52 , pp. 308-321 . https://doi.org/10.1016/j.jedc.2015.01.001 | en |
dc.identifier.issn | 0165-1889 | |
dc.identifier.uri | https://hdl.handle.net/10023/10725 | |
dc.description.abstract | This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The growth rate of the endowment is a first-order Gaussian autoregression, while the stochastic volatility innovations can be drawn from any distribution for which the moment-generating function exists. The solution is useful in allowing comparisons among numerical methods used to approximate the nontrivial closed form. The closed-form solution reveals that, when using perturbation methods around the deterministic steady state, the approximate solution needs to be sixth-order accurate in order for the parameter capturing the conditional standard deviation of the stochastic volatility process to be present. | |
dc.format.extent | 14 | |
dc.format.extent | 533852 | |
dc.language.iso | eng | |
dc.relation.ispartof | Journal of Economic Dynamics and Control | en |
dc.subject | Endowment model | en |
dc.subject | Price-dividend ratio | en |
dc.subject | Closed-form solution | en |
dc.subject | Numerical methods | en |
dc.subject | HB Economic Theory | en |
dc.subject | BDC | en |
dc.subject.lcc | HB | en |
dc.title | Solving asset pricing models with stochastic volatility | en |
dc.type | Journal article | en |
dc.contributor.institution | University of St Andrews. School of Economics and Finance | en |
dc.identifier.doi | 10.1016/j.jedc.2015.01.001 | |
dc.description.status | Peer reviewed | en |
dc.date.embargoedUntil | 2017-01-10 |
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