Laplace, Hansen-Sargent and Beveridge-Nelson a Note Towards Unified Business Application

Andrić, Vladimir and Nenadović, Sanja (2021) Laplace, Hansen-Sargent and Beveridge-Nelson a Note Towards Unified Business Application. Serbian Journal of Management, 16 (1). pp. 39-47. ISSN 2217-7159

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Abstract

he paper derives the equivalence condition between the Beveridge-Nelson decomposition and the Hansen-Sargent prediction formula in continuous time using Laplace transforms. The results presented show how the Hansen-Sargent prediction formula is relevant not just for present value discounting but also for the trend-cycle decomposition of cash flow streams in corporate finance.

Item Type: Article
Additional Information: COBISS.ID=51547145
Uncontrolled Keywords: Beveridge-Nelson decomposition, Hansen-Sargent prediction formula, Laplace transforms, cash flows
Research Department: Other
Depositing User: Jelena Banovic
Date Deposited: 31 Dec 2021 09:49
Last Modified: 31 Dec 2021 09:49
URI: http://ebooks.ien.bg.ac.rs/id/eprint/1700

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