[go: up one dir, main page]
create a website
Controlling price volatility through financial innovation. (2002). Schmedders, Karl ; Alessandro, CITANNA.
In: HEC Research Papers Series.
RePEc:ebg:heccah:0749.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 29

References cited by this document

Cocites: 42

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. ]1] Calvet, L., 2001, Incomplete markets and volatility. Journal of Economic Theory 98, 295-338.

  2. ]11] Geanakoplos, J., 1997, Promises, promises. In: B.W. Arthur, S.N. Durlauf, D.A. Lane (eds), The Economy as an Evolving Complex System II, Proceedings of the Santa Fe Institute, Addison-Wesley, Reading, MA.
    Paper not yet in RePEc: Add citation now
  3. ]12] Geanakoplos, J., Shubik, M., 1990, The CAPM as a general equilibrium with incomplete markets. The Geneva Papers on Risk and Insurance 15, 55-72.
    Paper not yet in RePEc: Add citation now

  4. ]13] Gottardi, P., Kajii, A., 1999, The structure of sunspot equilibria: the role of multiplicity. Review of Economic Studies 66, 713-732.

  5. ]14] Guillemin, V., Pollack, A., 1974, Differential Topology. Prentice-Hall, Englewood Cliffs, NJ.
    Paper not yet in RePEc: Add citation now

  6. ]15] Hens, T., 2000, Do sunspots matter when spot market equilibria are unique? Econometrica 68, 435-441.

  7. ]16] Kajii, A., 1991, Essays on the theory of incomplete markets, Ph.D. Dissertation, Harvard University.
    Paper not yet in RePEc: Add citation now

  8. ]17] Kubler, F., Schmedders, K., 1998, Computing equilibria in stochastic finance economies. Computational Economics 15, 145- 172.

  9. ]19] Mas-Colell, A., 1985, The Theory of General Economic Equilibrium. A Differentiable Approach. Cambridge University Press, Cambridge, MA.

  10. ]1O] Geanakoplos, J., Polemarchakis, H., 1986. Existence, regularity and constrained suboptimality of competitive allocations when the asset market is incomplete. In: Heller, W., Starr, R., Starrett, D. eds., Uncertainty, Information and Communication: Essays in Honor of Kenneth J. Arrow, Vol. III. Cambridge University Press, Cambridge, MA.

  11. ]20] Oh, G., 1996, Some results in the CAPM with nontraded endowments. Management Science 42, 286-293.

  12. ]21] Pietra, T., 1992, The structure of the set of sunspot equilibria in economies with incomplete financial markets. Economic Theory 2, 321-340.

  13. ]22] Pietra, T., 2001, The set of sunspot equilibria in economies with incomplete financial markets: variable asset prices. Economic Theory 18, 649-659.

  14. ]23] Rios-Rull, J.V., 1994, On the quantitative importance of market completeness. Journal of Monetary Economics 34, 46 2-496.

  15. ]24] Schmedders, K., 1999, A homotopy algorithm and an index theorem for the general equilibrium model with incomplete asset markets. Journal of Mathematical Economics 32, 225-241.
    Paper not yet in RePEc: Add citation now

  16. ]25] Shiller, R. J., 1981, Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71, 42 1-436.

  17. ]26] Shiller, R. J., 1989, Market Volatility. MIT Press, Cambridge, MA.
    Paper not yet in RePEc: Add citation now

  18. ]28] Siconoffi, P., Villanacci, A., 1991, Real indeterminacy in incomplete financial market economies without aggregate risk. Economic Theory 1, 265-276.

  19. ]29] Smale, 5., 1974, Global analysis and economics III: Pareto optima and price equilibria, Journal of Mathematical Economics 1, 107-117.

  20. ]3] Cass, D., Citanna, A., 1998, Pareto improving financial innovation in incomplete markets. Economic Theory 11, 467-494.

  21. ]30] Telmer, C., 1993, Asset pricing puzzles and incomplete markets. Journal of Finance 48, 1803-1832.

  22. ]31] Zapatero, F., 1998, Effects of financial innovations on market volatility when beliefs are heterogeneous, Journal of Economic Dynamics and Control 22, 597626.

  23. ]4] Cit anna, A., Kajii, A., Villanacci, A., 1998, Constrained suboptimality in incomplete markets: A general approach and two applications. Economic Theory 11, 495-521.

  24. ]5] Detemple, J., 1996, Asset pricing in an intertemporal noisy rational expectations equilibrium. Mimeo, McGill University.
    Paper not yet in RePEc: Add citation now

  25. ]6] Detemple, J., Selden, L., 1991, A general equilibrium analysis of option and stock market interactions. International Economic Review 32, 279-303.

  26. ]7] Duffie, D., Shafer, W., 1986, Equilibrium in incomplete markets: II. Generic existence in stochastic economies. Journal of Mathematical Economics 15, 199216.

  27. ]8] Elul, R., 1995, Welfare effects of financial innovation in incomplete markets economies with several consumption goods. Journal of Economic Theory 65,1-42.

  28. ]9] Elul, R., 1997, Financial innovation, precautionary savings and the risk-free rate. Journal of Mathematical Economics 27, 113-13 1.

  29. 2] Cass, D., 1992, Sunspots and incomplete financial markets: the general case. Economic Theory 2, 341-358.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Price impact in Nash equilibria. (2023). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:27:y:2023:i:2:d:10.1007_s00780-023-00499-w.

    Full description at Econpapers || Download paper

  2. Ignorance, pervasive uncertainty, and household finance. (2022). Luo, Yulei ; Wang, Haijun ; Nie, Jun.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:199:y:2022:i:c:s0022053121000211.

    Full description at Econpapers || Download paper

  3. Wealth in the Utility Function and Consumption Inequality. (2021). zou, heng-fu ; Nie, Jun ; Luo, Yulei.
    In: Research Working Paper.
    RePEc:fip:fedkrw:93600.

    Full description at Econpapers || Download paper

  4. Optimal Monetary Policy According to HANK. (2021). Acharya, Sushant ; Dogra, Keshav ; Challe, Edouard.
    In: Staff Working Papers.
    RePEc:bca:bocawp:21-55.

    Full description at Econpapers || Download paper

  5. An incomplete equilibrium with a stochastic annuity. (2020). Itkovi, Gordan ; Weston, Kim.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00415-6.

    Full description at Econpapers || Download paper

  6. Optimal Monetary Policy According to HANK. (2020). Challe, Edouard ; Dogra, Keshav ; Acharya, Sushant.
    In: Staff Reports.
    RePEc:fip:fednsr:87517.

    Full description at Econpapers || Download paper

  7. Optimal Monetary Policy According to HANK. (2020). Acharya, Sushant ; Challe, Edouard ; Dogra, Keshav.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14429.

    Full description at Econpapers || Download paper

  8. Securitized markets, international capital flows, and global welfare. (2019). Toda, Alexis Akira ; Phelan, Gregory.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:131:y:2019:i:3:p:571-592.

    Full description at Econpapers || Download paper

  9. Geometrically stopped Markovian random growth processes and Pareto tails. (2019). Toda, Alexis Akira ; Beare, Brendan.
    In: Papers.
    RePEc:arx:papers:1712.01431.

    Full description at Econpapers || Download paper

  10. An incomplete equilibrium with a stochastic annuity. (2018). Zitkovic, Gordan ; Weston, Kim .
    In: Papers.
    RePEc:arx:papers:1809.05947.

    Full description at Econpapers || Download paper

  11. Existence of a Radner equilibrium in a model with transaction costs. (2018). Weston, Kim .
    In: Papers.
    RePEc:arx:papers:1702.01706.

    Full description at Econpapers || Download paper

  12. .

    Full description at Econpapers || Download paper

  13. Robustness, Low Risk-Free Rates, and Consumption Volatility in General Equilibrium. (2017). Young, Eric ; Luo, Yulei ; Nie, Jun.
    In: MPRA Paper.
    RePEc:pra:mprapa:80046.

    Full description at Econpapers || Download paper

  14. Huggett economies with multiple stationary equilibria. (2017). Toda, Alexis Akira.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:84:y:2017:i:c:p:77-90.

    Full description at Econpapers || Download paper

  15. Incomplete financial markets and jumps in asset prices. (2016). Crès, Hervé ; Cres, Herve ; Tvede, Mich.
    In: Economic Theory.
    RePEc:spr:joecth:v:62:y:2016:i:1:d:10.1007_s00199-015-0884-9.

    Full description at Econpapers || Download paper

  16. Dynamic Debt Deleveraging and Optimal Monetary Policy. (2016). Eggertsson, Gauti ; Benigno, Pierpaolo ; Romei, Federica.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11180.

    Full description at Econpapers || Download paper

  17. Incomplete market dynamics and cross-sectional distributions. (2014). Toda, Alexis Akira.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:154:y:2014:i:c:p:310-348.

    Full description at Econpapers || Download paper

  18. Equilibrium in securities markets with heterogeneous investors and unspanned income risk. (2012). Munk, Claus ; Christensen, Peter Ove ; Larsen, Kasper.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:147:y:2012:i:3:p:1035-1063.

    Full description at Econpapers || Download paper

  19. Price stabilizing, Pareto improving policies. (2011). Nielsen, Carsten.
    In: Economic Theory.
    RePEc:spr:joecth:v:47:y:2011:i:2:p:459-500.

    Full description at Econpapers || Download paper

  20. Human capital risk in life-cycle economies. (2010). Singh, Aarti.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:57:y:2010:i:6:p:729-738.

    Full description at Econpapers || Download paper

  21. Incomplete Financial Markets and Jumps in Asset Prices. (2009). Tvede, Mich ; Crès, Hervé.
    In: Discussion Papers.
    RePEc:kud:kuiedp:0912.

    Full description at Econpapers || Download paper

  22. Corruption and Disposable Risk. (2008). Dzhumashev, Ratbek.
    In: MPRA Paper.
    RePEc:pra:mprapa:11772.

    Full description at Econpapers || Download paper

  23. Multifrequency jump-diffusions: An equilibrium approach. (2008). Fisher, Adlai ; Calvet, Laurent.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:44:y:2008:i:2:p:207-226.

    Full description at Econpapers || Download paper

  24. Corruption, uncertainty and growth. (2007). .
    In: MPRA Paper.
    RePEc:pra:mprapa:3716.

    Full description at Econpapers || Download paper

  25. CORRUPTION, UNCERTAINTY AND GROWTH. (2007). Dzhumashev, Ratbek.
    In: Monash Economics Working Papers.
    RePEc:mos:moswps:2007-15.

    Full description at Econpapers || Download paper

  26. On price uncertainty, nominal assets and uninsurable idiosyncratic risks. (2007). Roy, Sunanda .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:4:y:2007:i:32:p:1-17.

    Full description at Econpapers || Download paper

  27. On price uncertainty, nominal assets and uninsurable idiosyncratic risks. (2007). Roy, Sunanda .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-07d50002.

    Full description at Econpapers || Download paper

  28. Recursive equilibrium in endogenous growth models with incomplete markets. (2006). Krebs, Tom.
    In: Economic Theory.
    RePEc:spr:joecth:v:29:y:2006:i:3:p:505-523.

    Full description at Econpapers || Download paper

  29. Multifrequency Jump-Diffusions: An Equilibrium Approach. (2006). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12797.

    Full description at Econpapers || Download paper

  30. Idiosyncratic production risk, growth and the business cycle. (2006). Calvet, Laurent ; Angeletos, George-Marios.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:53:y:2006:i:6:p:1095-1115.

    Full description at Econpapers || Download paper

  31. Asset prices and capital accumulation in a monetary economy with incomplete markets. (2005). Roy, Sunanda .
    In: GE, Growth, Math methods.
    RePEc:wpa:wuwpge:0508002.

    Full description at Econpapers || Download paper

  32. On competitive cycles and sunspots in productive economies with a positive money stock. (2005). Pintus, Patrick ; Cazzavillan, Guido.
    In: Research in Economics.
    RePEc:eee:reecon:v:59:y:2005:i:2:p:137-147.

    Full description at Econpapers || Download paper

  33. Incomplete-market dynamics in a neoclassical production economy. (2005). Calvet, Laurent ; Angeletos, George-Marios.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:41:y:2005:i:4-5:p:407-438.

    Full description at Econpapers || Download paper

  34. Debt-Constraints or Incomplete Markets? A Decomposition of the Wealth and Consumption Inequality in the U.S.. (2004). Cordoba, Juan.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0404004.

    Full description at Econpapers || Download paper

  35. Incomplete Market Dynamics in a Neoclassical Production Economy. (2004). Calvet, Laurent ; Angeletos, George-Marios.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11016.

    Full description at Econpapers || Download paper

  36. Risk-Free Bond Prices in Incomplete Markets with Recursive Utility Functions and Multiple Beliefs. (2004). Kajii, Atsushi ; Hara, Chiaki.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:590.

    Full description at Econpapers || Download paper

  37. Debt-Constraints or Incomplete Markets? A Decomposition of the Wealth and Consumption Inequality in the U.S. (2004). Cordoba, Juan.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:335.

    Full description at Econpapers || Download paper

  38. Financial Innovation, Market Participation and Asset Prices. (2003). Sodini, Paolo ; Gonzalez-Eiras, Martin ; Calvet, Laurent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9840.

    Full description at Econpapers || Download paper

  39. Idiosyncratic Production Risk, Growth, and the Business Cycle. (2003). Calvet, Laurent ; Angeletos, George-Marios.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9764.

    Full description at Econpapers || Download paper

  40. Controlling price volatility through financial innovation. (2002). Schmedders, Karl ; Alessandro, CITANNA.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0749.

    Full description at Econpapers || Download paper

  41. Financial Innovation, Market Participation and Asset Prices. (2001). Sodini, Paolo ; Gonzalez-Eiras, Martin ; Calvet, Laurent.
    In: Harvard Institute of Economic Research Working Papers.
    RePEc:fth:harver:1928.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-22 11:49:29 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.