Econometric Studies of Dynamic Asset Pricing Relations

有大量的和不断增长的文献对行为 由于金融市场的重要性， 因为对这些市场的研究可以 提供对经济行为的基本见解。 这个项目 更深入地探讨了资产波动的性质， 价格和这种波动之间的联系，系统性 资产价格变动和商业周期变量。 这是 通过追求两个不同和互补的问题来实现。 第一个问题是经济中期权的定价 具有相当一般规格的随机环境 一个控制底层数据的时间序列行为的过程 名的股票明细金额这项研究的主要目的是开发和 实施计量经济学方法， 库存过程的参数化和计算 相关选项的值。 第二个问题是股票价格的行为， 交易者信息不均匀， 关于经济状况的信息。 研究 探讨了资产价格波动的一个特殊来源， 股票价格和商业之间的联系机制 周期变量模糊不清。 该项目承担了 这一模型的计量经济学分析，以揭示新的光 信息的异质性所发挥的作用， 资产价格时间序列特性的确定。 该研究为新的经济计量学提供了严谨而有力的工具 研究金融资产行为的方法。 这项工作 应该有助于解决一些极其困难和重要的 金融经济学中的难题，如基本的 解释股票极端波动时期的经济模型 市场价格。

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.