William R M Perraudin
Biographic Data
| ID | 8920888 |
|---|---|
| NAME | William R M Perraudin |
| GIVEN NAMES | William R M |
| FAMILY NAME | Perraudin |
| SIGNATURE | PERRAUDIN W R M |
| VERIFIED | No |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1992 |
| LATEST PUBLICATION YEAR | 1996 |
| H-INDEX | 0 |
A Continuous-Time Arbitrage-Pricing Model With Stochastic Volatility and Jumps
We formulate and test a continuous-time asset-pricing model using U.S. equity market data. We assume that stock returns are driven by common factors including random jump-size Poisson processes and Brownian motions with stochastic volatility. The model places overidentifying restrictions on the mean returns, allowing one to identify risk-neutral probability distributions useful in pricing derivative securities. We test for the restrictions and de…
The Credit-Constrained Consumer
This article presents an empirical analysis of credit-constrained households in which models of both demand and supply sides of the market for loans are simultaneously estimated. We develop a discrete-choice logit model of the consumers' decision on whether or not to apply for credit. Combining this with a reduced-form logistic model for the banks' credit-granting decision, we then estimate the model with cross-sectional data, as a nonlinear, ord…
No prominent works on this page.
The Credit-Constrained Consumer
This article presents an empirical analysis of credit-constrained households in which models of both demand and supply sides of the market for loans are simultaneously estimated. We develop a discrete-choice logit model of the consumers' decision on whether or not to apply for credit. Combining this with a reduced-form logistic model for the banks' credit-granting decision, we then estimate the model with cross-sectional data, as a nonlinear, ord…
A Continuous-Time Arbitrage-Pricing Model With Stochastic Volatility and Jumps
We formulate and test a continuous-time asset-pricing model using U.S. equity market data. We assume that stock returns are driven by common factors including random jump-size Poisson processes and Brownian motions with stochastic volatility. The model places overidentifying restrictions on the mean returns, allowing one to identify risk-neutral probability distributions useful in pricing derivative securities. We test for the restrictions and de…
Econometrics (2 works) · Economics (2 works) · Actuarial science (1 work) · Arbitrage (1 work) · Banking stability, regulation, efficiency (1 work) · Business (1 work) · Capital asset pricing model (1 work) · Computer Science (1 work) · Credit history (1 work) · Credit risk (1 work)