| 金融资产收益跳跃行为的微观机制 |
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| 引用本文： | 斯叶青,李能. 金融资产收益跳跃行为的微观机制[J]. 山东理工大学学报(社会科学版), 2010, 26(2): 9-13 |
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| 作者姓名： | 斯叶青 李能 |
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| 作者单位： | 中国社会科学院,数量经济与技术经济研究所,北京,100732 |
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| 摘 要： | 文章发展了一个均衡模型,从微观机理角度解释了为什么资产价格会发生不频繁的跳跃行为.在该模型中,投资者学习不可直接观测的、真实的经济系统状态并为此支付成本的行为诱发了资产价格的跳跃行为.而投资者是否选择学习的行为则取决于投资者的偏好参数和收入的条件波动率.
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| 关 键 词： | 学习选择 成本 递归偏好 跳跃 |
The Micro-Mechanism for Jumping Behavior of Financial Asset Returns |
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| Si Yeqing,Li Neng. The Micro-Mechanism for Jumping Behavior of Financial Asset Returns[J]. Journal of Shandong University of Technology:Social Sciences Edition, 2010, 26(2): 9-13 |
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| Authors: | Si Yeqing Li Neng |
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| Affiliation: | Si Yeqing,Li Neng(Institute of Quantitative & Technical Economics,Chinese Academy of Social Sciences,Beijing 100732,China) |
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| Abstract: | We develop an equilibrium model to explain why the asset prices jump infrequently from the micro-mechanism perspective.In this model,a prominent feature is that the optimal decision of investors to learn the unobserved economic systematic state and pay cost triggers asset-price jumps.And the learning choice is determined by investors' preference parameters and the conditional volatility of income process. |
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| Keywords: | choice of learning cost recursive preference jump |
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