Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
-and-above the
direct news announcement effects.
JEL Classification: F3, F4, G1, C5
Keywords: Asset Pricing; Macroeconomic … function models.
6
Domestic Bonds
Following the standard consumption-based approach to asset pricing, the equilibrium nominal … Market
The equilibrium nominal price of equity claims solves the standard recursive asset pricing
equation,
(3.7)
This …