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Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks

  • Yu Chen

    ()

  • Thomas Cosimano

    ()

  • Alex Himonas

    ()

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File URL: http://hdl.handle.net/10.1007/s10436-007-0079-x
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Article provided by Springer in its journal Annals of Finance.

Volume (Year): 4 (2008)
Issue (Month): 3 (July)
Pages: 305-344

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Handle: RePEc:kap:annfin:v:4:y:2008:i:3:p:305-344
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=112370

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  1. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
  2. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
  3. Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-68, February.
  4. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
  5. A. Abel, 2010. "Asset prices under habit formation and catching up with the Jones," Levine's Working Paper Archive 1395, David K. Levine.
  6. Collard, Fabrice & F Ve, Patrick & Ghattassi, Imen, 2006. "A Note On The Exact Solution Of Asset Pricing Models With Habit Persistence," Macroeconomic Dynamics, Cambridge University Press, vol. 10(02), pages 273-283, April.
  7. Philippe Weil, 1989. "The Equity Premium Puzzle and the Riskfree Rate Puzzle," NBER Working Papers 2829, National Bureau of Economic Research, Inc.
  8. Pok-sang Lam & Stephen G. Cecchetti & Nelson C. Mark, 2000. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
  9. Bidarkota, Prasad V. & McCulloch, J. Huston, 2003. "Consumption asset pricing with stable shocks--exploring a solution and its implications for mean equity returns," Journal of Economic Dynamics and Control, Elsevier, vol. 27(3), pages 399-421, January.
  10. John Y. Campbell, 1987. "Bond and Stock Returns in a Simple Exchange Model," NBER Working Papers 1509, National Bureau of Economic Research, Inc.
  11. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-53, December.
  12. Ovidiu L. Calin & Yu Chen & Thomas F. Cosimano & Alex A. Himonas, 2005. "Solving Asset Pricing Models when the Price-Dividend Function Is Analytic," Econometrica, Econometric Society, vol. 73(3), pages 961-982, 05.
  13. Sydney C. Ludvigson & Xiaohong Chen, 2004. "An Empirical Investigation of Habit-Based Asset Pricing Models," Econometric Society 2004 North American Winter Meetings 332, Econometric Society.
  14. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
  15. Abel, Andrew B., 1999. "Risk premia and term premia in general equilibrium," Journal of Monetary Economics, Elsevier, vol. 43(1), pages 3-33, February.
  16. Burnside, Craig, 1998. "Solving asset pricing models with Gaussian shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 329-340, March.
  17. Pamela Labadie, 1989. "Stochastic inflation and the equity premium," Discussion Paper / Institute for Empirical Macroeconomics 12, Federal Reserve Bank of Minneapolis.
  18. Tsionas, Efthymios G., 2003. "Exact solution of asset pricing models with arbitrary shock distributions," Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 843-851, March.
  19. Brock, William A., 1980. "Asset Prices in a Production Economy," Working Papers 275, California Institute of Technology, Division of the Humanities and Social Sciences.
  20. Yeung Lewis Chan & Leonid Kogan, 2001. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers 8607, National Bureau of Economic Research, Inc.
  21. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
  22. David Easley & Maureen O'hara, 2004. "Information and the Cost of Capital," Journal of Finance, American Finance Association, vol. 59(4), pages 1553-1583, 08.
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