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Asset pricing with jump/diffusion permanent income shocks

  • Freeman, Mark
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    File URL: http://www.sciencedirect.com/science/article/B6V84-45YG7CM-2/2/15cd458760b7a55fb555d40715e76b6a
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 77 (2002)
    Issue (Month): 1 (September)
    Pages: 1-8

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    Handle: RePEc:eee:ecolet:v:77:y:2002:i:1:p:1-8
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Huggett, Mark, 1993. "The risk-free rate in heterogeneous-agent incomplete-insurance economies," Journal of Economic Dynamics and Control, Elsevier, vol. 17(5-6), pages 953-969.
    2. Mankiw, N. Gregory, 1986. "The equity premium and the concentration of aggregate shocks," Journal of Financial Economics, Elsevier, vol. 17(1), pages 211-219, September.
    3. Heaton, John & Lucas, Deborah, 1992. "The effects of incomplete insurance markets and trading costs in a consumption-based asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 601-620.
    4. John Heaton & Deborah Lucas, 2000. "Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk," Journal of Finance, American Finance Association, vol. 55(3), pages 1163-1198, 06.
    5. Constantinides,George & Duffie,Darrel, 1992. "Asset pricing with heterogeneous consumers," Discussion Paper Serie A 381, University of Bonn, Germany.
    6. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
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