Abstract:
I discuss new time/scale methods and their role in extracting frequency-specific information for the purpose of cross-sectional and time-series asset pricing. Particular emphasis is placed on the mapping between the suggested techniques and aggregation. I show when aggregation (the typical way in which frequency-specific dynamics are captured in finance) may fail as a frequency-extraction mechanism. The pricing of consumption risk is used throughout to illustrate the proposed methods.
The seminar will be held in place.
This event is Supported by the Luxembourg National Research Fund (2022/17573036)
