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jmbejara
  • Member for 9 years, 5 months
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13 votes
3 answers
1k views

Understanding the construction of stochastic processes

2 votes
2 answers
674 views

How do we explain the difference in average leverage between banks and non-financial firms?

4 votes
1 answer
113 views

What is the classic paper that derives borrowing constraints from asymmetric information?

7 votes
1 answer
108 views

Policy relevance of the optimal taxation given uncertainty about social welfare specification

3 votes
2 answers
91 views

Derivation on p.99 of Salanie, The Economics of Taxation (2nd edition)

8 votes
1 answer
169 views

What models exists for explaining the price of nonrenewable resources?

5 votes
1 answer
88 views

Are newspaper articles more liberal than their readership?

1 vote
1 answer
100 views

Why is the martingale factor a martingale in Hansen's 2012 Dynamic Valuation Decomposition?

5 votes
1 answer
113 views

Finding a maximal growth portfolio

4 votes
1 answer
103 views

Multiplicative factorization of stochastic growth time series--solving for an eigenfunction/eigenvector

3 votes
1 answer
68 views

How can I write a conditional expectation of finite state markov process in matrix notation

1 vote
0 answers
69 views

Example of the change of measure proposed in Hansen (2012)

2 votes
0 answers
92 views

How can I construct a process for cumulative returns that is riskless?

1 vote
2 answers
2k views

Formula for the unconditional variance of the sum of observations from an autoregressive time series

8 votes
2 answers
669 views

What causes the "imperialism of economics" and how did it start?

6 votes
1 answer
115 views

Showing that a transformation is measure preserving

3 votes
0 answers
157 views

Applying the Martingale central limit theorem to the score process of an autoregressive model

5 votes
1 answer
1k views

What is the significance of the Hansen-Jagannathan bound?

2 votes
1 answer
206 views

Augmented Filtrations and Martingales in the Martingale Representation Theorem

4 votes
2 answers
403 views

Black-Litterman---in what way are expected returns hard to estimate?

2 votes
0 answers
65 views

ICAPM when assets' mean returns and variance-covariance matrix are not constant over time

7 votes
2 answers
408 views

Problem with defining liquidity

3 votes
2 answers
297 views

What are the economic justifications of the size premium?

5 votes
2 answers
1k views

Dealing with Missing Data when Testing the CAPM

3 votes
1 answer
201 views

What's is the purpose of "conditional preferences" as specified in Savage's framework?

12 votes
2 answers
2k views

What is the difference between "aggregation" and a "representative agent?"

3 votes
1 answer
152 views

What makes a factor valid in a factor pricing model of assets?

8 votes
4 answers
207 views

What are different ways of specifying utility and decision making?

11 votes
3 answers
2k views

Under what conditions is a monopoly undesirable?

3 votes
0 answers
109 views

Differences between LATE and Heckman Selection

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