Econometric Studies of Dynamic Asset Pricing Relations

由于金融机构在经济上的重要性，以及对这些市场的研究可以提供对经济行为的基本见解，关于金融市场行为的文献越来越多。本项目更深入地探讨了资产价格波动的本质，以及这种波动、资产价格系统性波动和商业周期变量之间的联系。这是通过追求两个不同的和互补的问题来实现的。第一个问题是经济环境下的期权定价，这种经济环境具有相当一般的随机过程规范，控制着标的股票的时间序列行为。本研究的主要目标是发展和实施计量经济学方法，以估计更合理的股票过程参数化和计算相关期权的价值。第二个问题是股票价格在交易者信息不完全且经济状况信息不完全的情况下的行为。该研究探讨了资产价格波动的一个特殊来源，以及股票价格与商业周期变量之间的联系被掩盖的机制。该项目对该模型进行了计量经济学分析，以揭示信息异质性在确定资产价格的时间序列属性中所起的作用。该研究为研究金融资产行为提供了严谨有力的新计量经济学方法。这项工作应该有助于解决金融经济学中一些极其困难和重要的难题，比如基本经济模型无法解释股市价格的极端波动期。

There is a large and growing body of literature on the behavior of financial markets because of the economic importance of financial institutions and because studies of these markets can provide basic insights into economic behavior. This project explores in more depth the nature of the volatility in asset prices and the links between this volatility, systematic movements in asset prices, and business cycle variables. This is accomplished by pursuing two distinct and complementary issues. The first issue is the pricing of options in economic environments with fairly general specifications of the stochastic process governing the time series behavior of the underlying stocks. The primary goal of this research is to develop and implement econometric methods for estimating more plausible parameterizations of stock processes and for calculating the values of the associated options. The second issue addressed is the behavior of stock prices in environments with heterogeneously informed traders and imperfect information about the state of the economy. The research explores a particular source of volatility in asset prices and a mechanism by which the links between stock prices and business cycle variables are obscured. The project undertakes an econometric analysis of this model in order to shed new light on the role played by heterogeneity of information in the determination of the time series properties of asset prices. The research contributes rigorous and powerful new econometric methods for studying the behavior of financial assets. This work should help resolve some extremely difficult and important puzzles in financial economics such as the failure of basic economic models to explain periods of extreme volatility in stock market prices.