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A Dynamic Equilibrium Model of Asset Prices and Transaction Volume

1987; University of Chicago Press; Volume: 95; Issue: 1 Linguagem: Inglês

10.1086/261445

1537-534X

Gregory W. Huffman,

Fiscal Policy and Economic Growth

Previous articleNext article No AccessA Dynamic Equilibrium Model of Asset Prices and Transaction VolumeGregory W. HuffmanGregory W. Huffman Search for more articles by this author PDFPDF PLUS Add to favoritesDownload CitationTrack CitationsPermissionsReprints Share onFacebookTwitterLinkedInRedditEmail SectionsMoreDetailsFiguresReferencesCited by Journal of Political Economy Volume 95, Number 1Feb., 1987 Article DOIhttps://doi.org/10.1086/261445 Views: 6Total views on this site Citations: 28Citations are reported from Crossref Copyright 1987 The University of ChicagoPDF download Crossref reports the following articles citing this article:Marlon Azinovic, Luca Gaegauf, Simon Scheidegger DEEP EQUILIBRIUM NETS, International Economic Review 18 (May 2022).https://doi.org/10.1111/iere.12575Andrew Glover, Jonathan Heathcote, Dirk Krueger, and José-Víctor Ríos-Rull Intergenerational Redistribution in the Great Recession, Journal of Political Economy 128, no.1010 (Sep 2020): 3730–3778.https://doi.org/10.1086/708820Marlon Azinovic, Luca Gaegauf, Simon Scheidegger Deep Equilibrium Nets, SSRN Electronic Journal 30 (Jan 2019).https://doi.org/10.2139/ssrn.3393482, Alex Plastun, , Inna Makarenko, , Ievgen Balatskyi Competitiveness in the Ukrainian stock market and local crisis of 2013–2015, Investment Management and Financial Innovations 15, no.22 (Apr 2018): 29–39.https://doi.org/10.21511/imfi.15(2).2018.03Daniel Harenberg, Alexander Ludwig Social security in an analytically tractable overlapping generations model with aggregate and idiosyncratic risks, International Tax and Public Finance 22, no.44 (Jul 2015): 579–603.https://doi.org/10.1007/s10797-015-9368-xDaniel Harenberg, Alexander Ludwig Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk, SSRN Electronic Journal (Jan 2014).https://doi.org/10.2139/ssrn.2501361Andrew S. Glover, Jonathan Heathcote, Dirk Krueger, Jose-Victor Rios-Rull Intergenerational Redistribution in the Great Recession, SSRN Electronic Journal (Jan 2014).https://doi.org/10.2139/ssrn.2586109Felix Kubler, Karl Schmedders Financial Innovation and Asset Price Volatility, American Economic Review 102, no.33 (May 2012): 147–151.https://doi.org/10.1257/aer.102.3.147Grey Gordon Computing Dynamic Heterogeneous-Agent Economies: Tracking the Distribution, SSRN Electronic Journal (Jan 2011).https://doi.org/10.2139/ssrn.1873357Kenji Miyazaki, Makoto Saito, Tomoaki Yamada ON THE INTERGENERATIONAL SHARING OF COHORT-SPECIFIC SHOCKS ON PERMANENT INCOME, Macroeconomic Dynamics 14, no.11 (Dec 2009): 93–118.https://doi.org/10.1017/S1365100509090014Felix E. Kubler, Karl H. Schmedders Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices, SSRN Electronic Journal (Jan 2010).https://doi.org/10.2139/ssrn.1611722Raj Aggarwal, Mbodja Mougoue Trading Volume and Exchange Rate Volatility: Evidence for the Sequential Arrival of Information Hypothesis, SSRN Electronic Journal (Jan 2010).https://doi.org/10.2139/ssrn.1758960Dirk Krueger, Felix Kubler Computing equilibrium in OLG models with stochastic production, Journal of Economic Dynamics and Control 28, no.77 (Apr 2004): 1411–1436.https://doi.org/10.1016/S0165-1889(03)00111-8Harold H Zhang Explaining bond returns in heterogeneous agent models: The importance of higher-order moments, Journal of Economic Dynamics and Control 24, no.1010 (Sep 2000): 1381–1404.https://doi.org/10.1016/S0165-1889(99)00043-3Harold H. Zhang Explaining Bond Returns in Heterogeneous Agent Models: The Importance of Higher Order Moments, SSRN Electronic Journal (Jan 1999).https://doi.org/10.2139/ssrn.155751Peter Buhlmann Extreme events from the return-volume process: a discretization approach for complexity reduction, Applied Financial Economics 8, no.33 (Jun 1998): 267–278.https://doi.org/10.1080/096031098333023Carolyn W. Chang, Jack S.K. Chang, Kian-Guan Lim Information-time option pricing: theory and empirical evidence1We would like to thank Robert Merton, Peter Ritchken, L. Sankarasubramanian, David Shimko, and Mark Weinstein for useful discussions. We are indebted to John B. Long, Jr. (the editor) and Robert Whaley (the referee) for detailed and constructive comments and suggestions. Any remaining errors are the responsibility of the authors.1, Journal of Financial Economics 48, no.22 (May 1998): 211–242.https://doi.org/10.1016/S0304-405X(98)00009-9Eric Ghysels, Andrew C. Harvey, Eric Renault 5 Stochastic volatility, (Jan 1996): 119–191.https://doi.org/10.1016/S0169-7161(96)14007-4Kenneth L. Judd Chapter 12 Approximation, perturbation, and projection methods in economic analysis, (Jan 1996): 509–585.https://doi.org/10.1016/S1574-0021(96)01014-3Hua He, Jiang Wang Differential Information and Dynamic Behavior of Stock Trading Volume, Review of Financial Studies 8, no.44 (Oct 1995): 919–972.https://doi.org/10.1093/rfs/8.4.919 Jiang Wang A Model of Competitive Stock Trading Volume, Journal of Political Economy 102, no.11 (Oct 2015): 127–168.https://doi.org/10.1086/261924Charles Frederick Kramer, Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume, IMF Working Papers 94, no.126126 (Jan 1994): 1.https://doi.org/10.5089/9781451854879.001A. Ronald Gallant, Peter E. Rossi, George Tauchen Stock Prices and Volume, Review of Financial Studies 5, no.22 (Apr 1992): 199–242.https://doi.org/10.1093/rfs/5.2.199John D. Geanakoplos, Heraklis M. Polemarchakis Chapter 35 Overlapping generations, (Jan 1991): 1899–1960.https://doi.org/10.1016/S1573-4382(05)80010-4Heraklis M. Polemarchakis Competitive Allocations when the Asset Market is Incomplete, The Geneva Papers on Risk and Insurance Theory 15, no.11 (Mar 1990): 5–16.https://doi.org/10.1007/BF01498457Bipin B. Ajinkya, Prem C. Jain The behavior of daily stock market trading volume, Journal of Accounting and Economics 11, no.44 (Nov 1989): 331–359.https://doi.org/10.1016/0165-4101(89)90018-9Marianne Baxter Money and market incompleteness in overlapping generations models, Journal of Monetary Economics 24, no.11 (Jul 1989): 69–91.https://doi.org/10.1016/0304-3932(89)90017-2Joyce Manchester Mortgage contracts in a general equilibrium model when there are inflation shocks, Journal of Macroeconomics 9, no.33 (Jun 1987): 327–349.https://doi.org/10.1016/0164-0704(87)90001-2