Recursive preferences, learning and large deviations

Chetan Dave; Kwok Ping Tsang

doi:10.1016/j.econlet.2014.06.014

Recursive preferences, learning and large deviations

Chetan Dave, Kwok Ping Tsang

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

We estimate the relative contribution of recursive preferences versus adaptive learning in accounting for the tail thickness of price-dividends/rents ratios. We find that both of these sources of volatility account for volatility in liquid (stocks) but not illiquid (housing) assets.

Original language	English (US)
Pages (from-to)	329-334
Number of pages	6
Journal	Economics Letters
Volume	124
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2014.06.014
State	Published - Sep 2014

Keywords

Adaptive learning
Asset prices
Fat tails
Large deviations
Recursive preferences

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2014.06.014

Cite this

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title = "Recursive preferences, learning and large deviations",

abstract = "We estimate the relative contribution of recursive preferences versus adaptive learning in accounting for the tail thickness of price-dividends/rents ratios. We find that both of these sources of volatility account for volatility in liquid (stocks) but not illiquid (housing) assets.",

keywords = "Adaptive learning, Asset prices, Fat tails, Large deviations, Recursive preferences",

author = "Chetan Dave and Tsang, {Kwok Ping}",

year = "2014",

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Recursive preferences, learning and large deviations

Abstract

Keywords

ASJC Scopus subject areas

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