资产价格泡沫的爆炸时间特征

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2022-11-29 DOI:10.1111/irfi.12404

Robert A. Jarrow, Simon S. Kwok

引用次数: 0

摘要

在标准的连续时间资产定价模型中，本文提供了资产价格泡沫的爆炸时间表征，将文献中现有的表征定理从扩散过程扩展到一般半鞅（可以包括跳跃）。这种定性有很好的经济学解释，在现有文献中没有强调。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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An explosion time characterization of asset price bubbles

In a standard continuous time asset pricing model, this paper provides an explosion time characterization of asset price bubbles that extends the existing characterization theorems in the literature from diffusion processes to general semimartingales (which can include jumps). This characterization has a nice economic interpretation, not emphasized in the existing literature.

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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.