Recursive preferences, learning and large deviations

Autor:	Kwok Ping Tsang, Chetan Dave
Rok vydání:	2014
Předmět:	Microeconomics Economics and Econometrics media_common.quotation_subject Economic rent Economics Large deviations theory Adaptive learning Volatility (finance) Finance media_common
Zdroj:	Economics Letters. 124:329-334
ISSN:	0165-1765
Popis:	We estimate the relative contribution of recursive preferences versus adaptive learning in accounting for the tail thickness of price–dividends/rents ratios. We find that both of these sources of volatility account for volatility in liquid (stocks) but not illiquid (housing) assets.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::972011724c8ea22d7e385550d6ff1e1c https://doi.org/10.1016/j.econlet.2014.06.014 Zobrazit plný text záznamu Full Text from ScienceDirect