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Liquidity as a Choice Variable
A A Monetary Economy Specification
The VARSV Specification and Estimation
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agents approximation ask prices asset pricing assume autocorrelation average benchmark bid price Breusch-Pagan test closed form coefficient conditional expectations conditional heteroscedasticity conditional variance constraint consumption and inflation consumption of non-durable correlation covariance matrix discrete economy effect endowments equations equilibrium excess holding period Fama Fixed Market Maker growth and inflation heteroscedasticity holding period return homoscedastic implied volatility inflation and consumption inflation volatility interest rates issuer Japanese government bond lagged liquid and illiquid liquid bond Log Consumption Growth Log Inflation Log-Linear Model marginal rate market maker revenue maturity nominal rates objective function optimal order conditions period 1 ask period 2 bid period bond premium problem rate of substitution real rates relative risk aversion restrictions risk aversion risk aversion parameter risk premia S-type Section segregated series properties shocks to inflation solution specification spot rate stochastic volatility Subperiod Table term structure VAR-SV model VAR(l variables variations Vector Autoregression yields