ISSN:
1573-7179
Schlagwort(e):
asset price volatility
;
information signals
;
interest rates
;
expected inflation
Quelle:
Springer Online Journal Archives 1860-2000
Thema:
Wirtschaftswissenschaften
Notizen:
Abstract The volatility of an asset price is modelled as a function of the volatility of an information signal, real interest rates and inflation expectations. Volatility depends on the duration of cash flows, and the degree to which cash flows are indexed to real rates and inflation. The model is applied to determine asset betas, the volatility of the futures prices of assets and the volatility of equity prices.
Materialart:
Digitale Medien
URL:
http://dx.doi.org/10.1007/BF02408416
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