Exact solution of asset pricing models with arbitrary shock distributions
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 27 (2003)
Issue (Month): 5 (March)
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- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
- Tauchen, George & Hussey, Robert, 1991. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Econometric Society, vol. 59(2), pages 371-96, March.
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"The equity premium: A puzzle,"
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Elsevier, vol. 15(2), pages 145-161, March.
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- Athanasoulis, Stefano G., 2005. "Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 423-447, March.
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"Predictability and Habit Persistence,"
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339, Institut d'Économie Industrielle (IDEI), Toulouse.
- Bidarkota, Prasad V., 2006.
"On The Economic Impact Of Modeling Nonlinearities: The Asset Pricing Example,"
Cambridge University Press, vol. 10(01), pages 56-76, February.
- Prasad Bidarkota, 2003. "On the Economic Impact of Modeling Non-Linearities: The Asset Pricing Example," Working Papers 0305, Florida International University, Department of Economics.
- Yoon, Gawon, 2004. "On the existence of expected utility with CRRA under STUR," Economics Letters, Elsevier, vol. 83(2), pages 219-224, May.
- Martin Andreasen, 2012.
"On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models,"
Review of Economic Dynamics,
Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
- Martin Andreasen, 2011. "Code and data files for "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Computer Codes 11-84, Review of Economic Dynamics.
- Martin Andreasen, 2011. "Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Technical Appendices 11-84, Review of Economic Dynamics.
- Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July.
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