Zobrazeno 1 - 10
of 92
pro vyhledávání: '"Stephen F. LeRoy"'
Autor:
Stephen F. LeRoy
Publikováno v:
Contemporary Economics, Vol 6, Iss 4, Pp 1-60 (2012)
In continuous-time stochastic calculus a limit in probability is used to extend the definition of the stochastic integral to the case where the integrand is not square-integrable at the endpoint of the time interval under consideration. When the exte
Externí odkaz:
https://doaj.org/article/e912ab2c70f94ed697e79e23bb0d64f4
Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?
Publikováno v:
Federal Reserve Bank of San Francisco, Working Paper Series. :01-45
We use a consumption based asset pricing model to show that the predictability of excess returns on risky assets can arise from only two sources: (1) stochastic volatility of fundamental variables, or (2) departures from rational expectations that gi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8b218431608d1f502d1f447b6d5e7f5c
https://doi.org/10.24148/wp2018-14
https://doi.org/10.24148/wp2018-14
Autor:
Stephen F. LeRoy, Rish Singhania
Publikováno v:
Quantitative Finance. 22:1153-1167
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ecad194ea45a634ddb2eb40aa49d6c30
https://doi.org/10.1080/14697688.2021.2020888
https://doi.org/10.1080/14697688.2021.2020888
Autor:
Stephen F. LeRoy, Rish Singhania
Publikováno v:
Annals of Finance. 16:159-194
We investigate how deposit insurance affects the structure of the financial system in a general equilibrium setting in which a government insurer guarantees deposits at commercial banks, but not at shadow banks. With deposit-based or risky-asset-base
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7baab98c387a190b69b7f75d6575fd3b
https://doi.org/10.1007/s10436-020-00359-z
https://doi.org/10.1007/s10436-020-00359-z
Autor:
Stephen F. LeRoy
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::29e851ee5d8034f19e9929e1d5d2ae8a
https://doi.org/10.2139/ssrn.4157117
https://doi.org/10.2139/ssrn.4157117
Autor:
Stephen F. LeRoy
Publikováno v:
Economics and Philosophy. 34:45-52
Statisticians have proposed formal techniques for evaluation of treatments, often in the context of models that do not explicitly specify how treatments are generated. Under such procedures they run the risk of attributing causation in settings where
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eaede626310b2649ba5fb9659f0cd8d9
https://doi.org/10.1017/s0266267117000219
https://doi.org/10.1017/s0266267117000219
Autor:
Stephen F. LeRoy, Author
There exist applications in many research areas including (but not limited to) economics dealing with causation that are analyzed using multi-equation mathematical models. This book develops and describes a formal treatment of causation in such mathe
Autor:
Stephen F. LeRoy
Publikováno v:
The New Palgrave Dictionary of Economics ISBN: 9781349951215
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0b9307147e489dfc7561fa01fc14865f
https://doi.org/10.1057/978-1-349-95189-5_2307
https://doi.org/10.1057/978-1-349-95189-5_2307
Autor:
Stephen F. LeRoy
Publikováno v:
Economics and Philosophy. 32:121-142
The most basic question one can ask of a model is ‘What is the effect on variable y2 of variable y1?’ Causation is ‘implementation neutral’ when all interventions on external variables that lead to a given change in y1 have the same effect on
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f25dad87b17ee7d38b20bfa416f997c2
https://doi.org/10.1017/s0266267115000280
https://doi.org/10.1017/s0266267115000280
Autor:
Kevin J. Lansing, Stephen F. LeRoy
Publikováno v:
European Economic Review. 70:88-107
This paper employs a standard asset pricing model to derive theoretical volatility measures in a setting that allows for varying degrees of investor information about the dividend process. We show that the volatility of the price–dividend ratio inc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::69146802601e0e25475db968e3b5cf36
https://doi.org/10.1016/j.euroecorev.2014.03.009
https://doi.org/10.1016/j.euroecorev.2014.03.009