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Citations for "Asset Prices in an Exchange Economy"

by Lucas, Robert E, Jr

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  1. Svensson, Lars E O & van Wijnbergen, Sweder, 1989. "Excess Capacity, Monopolistic Competition, and International Transmission of Monetary Disturbances," Economic Journal, Royal Economic Society, vol. 99(397), pages 785-805, September.
  2. Sousa, João & Sousa, Ricardo M., 2013. "Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K," Working Paper Series 1575, European Central Bank.
  3. Abbigail Chiodo & Massimo Guidolin & Michael T. Owyang & Makoto Shimoji, 2003. "Subjective probabilities: psychological evidence and economic applications," Working Papers 2003-009, Federal Reserve Bank of St. Louis.
  4. Martin Lettau, 2001. "Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?," Staff Reports 130, Federal Reserve Bank of New York.
  5. Seong-Hoon Kim, 2012. "Sequential Action and Beliefs Under Partially Observable DSGE Environments," Computational Economics, Society for Computational Economics, vol. 40(3), pages 219-244, October.
  6. Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2006. "Temptation and self-control: some evidence and applications," Staff Report 367, Federal Reserve Bank of Minneapolis.
  7. Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003. "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, vol. 58(4), pages 1393-1414, 08.
  8. Kenneth B. Dunn & Kenneth J. Singleton, 1984. "Modeling the Term Structure of Interest Rates Under Nonseparable Utilityand Duriability of Goods," NBER Working Papers 1415, National Bureau of Economic Research, Inc.
  9. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Universite de Montreal, Departement de sciences economiques.
  10. Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo, 2015. "Long-run Bulls and Bears," NBER Working Papers 20858, National Bureau of Economic Research, Inc.
  11. J. Bradford DeLong & Konstantin Magin, 2009. "The U.S. Equity Return Premium: Past, Present, and Future," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 193-208, Winter.
  12. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003. "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
  13. Rocheteau, Guillaume, 2011. "Payments and liquidity under adverse selection," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 191-205.
  14. N. Gregory Mankiw & Matthew D. Shapiro, 1987. "Risk and Return: Consumption versus Market Beta," NBER Working Papers 1399, National Bureau of Economic Research, Inc.
  15. Danthine, Jean-Pierre & Donaldson, John B. & Giannikos, Christos & Guirguis, Hany, 2004. "On the consequences of state dependent preferences for the pricing of financial assets," Finance Research Letters, Elsevier, vol. 1(3), pages 143-153, September.
  16. Giordani, Paolo & Söderlind, Paul, 2002. "Is there Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," SSE/EFI Working Paper Series in Economics and Finance 519, Stockholm School of Economics, revised 15 Aug 2003.
  17. den Haan, Wouter J., 1995. "The term structure of interest rates in real and monetary economies," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 909-940.
  18. Dorfleitner, Gregor & Wimmer, Maximilian, 2010. "The pricing of temperature futures at the Chicago Mercantile Exchange," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1360-1370, June.
  19. Suleyman Basak & Alexander Shapiro, 1999. "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-032, New York University, Leonard N. Stern School of Business-.
  20. Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," TSE Working Papers 12-361, Toulouse School of Economics (TSE).
  21. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc.
  22. Burnside, Craig, 1998. "Solving asset pricing models with Gaussian shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 329-340, March.
  23. Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Departmental Working Papers _175, Chinese University of Hong Kong, Department of Economics.
  24. Ajayi, Richard A. & Karemera, David, 1996. "A variance ratio test of random walks in exchange rates: Evidence from Pacific Basin economies," Pacific-Basin Finance Journal, Elsevier, vol. 4(1), pages 77-91, May.
  25. Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
  26. Daniel Harenberg & Alexander Ludwig, 2014. "Social Security and the Interactions Between Aggregate and Idiosyncratic Risk," Working Paper Series in Economics 71, University of Cologne, Department of Economics.
  27. Coppock, Lee & Poitras, Marc, 2000. "Evaluating the Fisher effect in long-term cross-country averages," International Review of Economics & Finance, Elsevier, vol. 9(2), pages 181-192.
  28. Ruffino, Doriana, 2013. "A Robust Capital Asset Pricing Model," Finance and Economics Discussion Series 2014-1, Board of Governors of the Federal Reserve System (U.S.).
  29. Jiang, Wang, 1996. "The term structure of interest rates in a pure exchange economy with heterogeneous investors," Journal of Financial Economics, Elsevier, vol. 41(1), pages 75-110, May.
  30. Chattopadhyay, Subir, 2006. "Optimality in stochastic OLG models: Theory for tests," Journal of Economic Theory, Elsevier, vol. 131(1), pages 282-294, November.
  31. Min-Hsien Chiang & Chihwa Kao, 2002. "Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models," Computing in Economics and Finance 2002 60, Society for Computational Economics.
  32. Thomas A. Rietz, 1991. "Arbitrage," Discussion Papers 958, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  33. Boyan Jovanovic & Peter L. Rousseau, 2000. "Vintage organization capital," Proceedings, Federal Reserve Bank of San Francisco, issue Apr.
  34. Monique C. Ebell, 2000. "Why Are Asset Returns more Volatile During Recessions? A Theoretical Examination," Econometric Society World Congress 2000 Contributed Papers 1554, Econometric Society.
  35. Boyan Jovanovic & Peter L. Rousseau, 2000. "Technology and the Stock Market: 1885-1998," Vanderbilt University Department of Economics Working Papers 0042, Vanderbilt University Department of Economics.
  36. Benjamin Lester & Andrew Postlewaite & Randall Wright, 2008. "Information, Liquidity and Asset Prices," PIER Working Paper Archive 08-039, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  37. repec:dgr:uvatin:20140070 is not listed on IDEAS
  38. repec:wyi:journl:002192 is not listed on IDEAS
  39. Hanno Lustig, . "Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 389, UCLA Department of Economics.
  40. Raphael A. Espinoza & Charles A. E. Goodhart & Dimitrios P. Tsomocos, 2007. "Endogenous State Prices, Liquidity, Default, and the Yield Curve," OFRC Working Papers Series 2007fe01, Oxford Financial Research Centre.
  41. Édouard Challe, 2004. "Équilibres multiples et volatilité boursière," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 105-123.
  42. Osaki, Yusuke & Quiggin, John, 2007. "A Risk-neutral Characterization of Optimization and Pessimism and its Applications," Risk and Sustainable Management Group Working Papers 151180, University of Queensland, School of Economics.
  43. Felix Kubler & Karl Schmedders, 2000. "Incomplete Markets, Transitory Shocks, and Welfare," Discussion Papers 1285, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  44. Nishiyama, Yasuo, 2011. "The term structure of CD rates and monetary policy transmission," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 82-94, January.
  45. Sonali Das & Rangan Gupta & Patrick Kanda & Monique Reid & Christian Tipoy & Mulatu Zerihun, 2014. "Real interest rate persistence in South Africa: evidence and implications," Economic Change and Restructuring, Springer, vol. 47(1), pages 41-62, February.
  46. Frederik Lundtofte, 2003. "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Swiss Finance Institute Research Paper Series 06-23, Swiss Finance Institute, revised Oct 2006.
  47. Eric Aldrich, 2012. "Trading Volume in General Equilibrium with Complete Markets," 2012 Meeting Papers 36, Society for Economic Dynamics.
  48. Bernard Dumas & Bruno Solnik, 1993. "The World Price of Foreign Exchange Risk," NBER Working Papers 4459, National Bureau of Economic Research, Inc.
  49. Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2002. "Markets Do Not Select For a Liquidity Preference as Behavior Towards Risk," Discussion Papers 02-18, University of Copenhagen. Department of Economics.
  50. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2000. "Money, Interest Rates, and Exchange Rates with Endogenously Segmented Asset Markets," NBER Working Papers 7871, National Bureau of Economic Research, Inc.
  51. Brealey, Richard A. & Kwan, Sabrina, 1999. "Personal taxes and the time variation of stock returns - evidence from the UK," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1557-1577, November.
  52. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series /2000/396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  53. Ayelet Balsam & Shmuel Kandel & Ori Levy, . "Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach," Rodney L. White Center for Financial Research Working Papers 22-98, Wharton School Rodney L. White Center for Financial Research.
  54. Haug, Jørgen & Hens, Thorsten & Wöhrmann, Peter, 2011. "Risk Aversion in the Large and in the Small," Discussion Papers 2011/12, Department of Business and Management Science, Norwegian School of Economics.
  55. Dolmas, Jim, 1996. "Balanced-growth-consistent recursive utility," Journal of Economic Dynamics and Control, Elsevier, vol. 20(4), pages 657-680, April.
  56. Suzuki, Shiba, 2012. "Stock market booms in economies damaged during World War II," Research in Economics, Elsevier, vol. 66(2), pages 175-183.
  57. Jonathan Chiu & Cesaire Meh & Randall Wright, 2011. "Innovation and growth with financial, and other, frictions," Working Papers 688, Federal Reserve Bank of Minneapolis.
  58. Guillaume Rocheteau & Randall Wright, 2010. "Liquidity and asset market dynamics," Working Paper 1016, Federal Reserve Bank of Cleveland.
  59. Orazio P. Attanasio & Monica Paiella, 2006. "Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets: Reconciling Data and Theory," NBER Working Papers 12412, National Bureau of Economic Research, Inc.
  60. W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996. "Asset Pricing Under Endogenous Expectation in an Artificial Stock Market," Working Papers 96-12-093, Santa Fe Institute.
  61. Sandroni, Alvaro, 1999. "Asset prices and the distribution of wealth," Economics Letters, Elsevier, vol. 64(2), pages 203-207, August.
  62. Aiyagari, S. Rao & Gertler, Mark, 1991. "Asset returns with transactions costs and uninsured individual risk," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 311-331, June.
  63. Alexander Ludwig & Alexander Zimper, 2013. "Biased Bayesian learning with an application to the risk-free rate puzzle," Working Papers 201366, University of Pretoria, Department of Economics.
  64. Kari Takala & Pekka Pere, 1991. "Testing the cointegration of house and stock prices in Finland," Finnish Economic Papers, Finnish Economic Association, vol. 4(1), pages 33-51, Spring.
  65. Sandroni, Alvaro, 1998. "Learning, Rare Events, and Recurrent Market Crashes in Frictionless Economies without Intrinsic Uncertainty," Journal of Economic Theory, Elsevier, vol. 82(1), pages 1-18, September.
  66. Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
  67. repec:ner:tilbur:urn:nbn:nl:ui:12-74324 is not listed on IDEAS
  68. Azad, A.S.M. Sohel, 2009. "Random walk and efficiency tests in the Asia-Pacific foreign exchange markets: Evidence from the post-Asian currency crisis data," Research in International Business and Finance, Elsevier, vol. 23(3), pages 322-338, September.
  69. Smith, David C., 1999. "Finite sample properties of tests of the Epstein-Zin asset pricing model," Journal of Econometrics, Elsevier, vol. 93(1), pages 113-148, November.
  70. Andrew B. Abel & N. Gregory Mankiw & Lawrence H. Summers & Richard J. Zeckhauser, 1986. "Assessing Dynamic Efficiency: Theory and Evidence," NBER Working Papers 2097, National Bureau of Economic Research, Inc.
  71. Antonio Mele, 2004. "General properties of rational stock-market fluctuations," LSE Research Online Documents on Economics 24701, London School of Economics and Political Science, LSE Library.
  72. Neng Wang & Rui Albuquerque, 2005. "Agency Conflicts, Investment, and Asset Pricing," Computing in Economics and Finance 2005 351, Society for Computational Economics.
  73. Kevin L. Reffett & Frank Schorfheide, 2000. "Evaluating Asset Pricing Implications of DSGE Models," Econometric Society World Congress 2000 Contributed Papers 1630, Econometric Society.
  74. repec:hal:wpaper:halshs-00565011 is not listed on IDEAS
  75. Georgy Chabakauri, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
  76. Adrien Verdelhan & Hanno Lustig, 2005. "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2005-019, Boston University - Department of Economics.
  77. Nicholas Barberis & Ming Huang, 2001. "Mental Accounting, Loss Aversion, and Individual Stock Returns," NBER Working Papers 8190, National Bureau of Economic Research, Inc.
  78. Leung, Charles Ka Yui, 2014. "Error correction dynamics of house prices: an equilibrium benchmark," Globalization and Monetary Policy Institute Working Paper 177, Federal Reserve Bank of Dallas.
  79. Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke, 2013. "Asset pricing with heterogeneous beliefs and relative performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4107-4119.
  80. Krueger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers.
  81. Victor Vaugirard, 2004. "A canonical first passage time model to pricing nature-linked bonds," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-7.
  82. Cheung, Yin-Wong & Ng, Lilian K., 1998. "International evidence on the stock market and aggregate economic activity," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 281-296, September.
  83. Christian Gollier, 2013. "Asset Pricing with Uncertain Betas: A Long-Term Perspective," CESifo Working Paper Series 4072, CESifo Group Munich.
  84. Hongjun Yan, 2008. "Natural Selection in Financial Markets: Does it Work?," Yale School of Management Working Papers amz2648, Yale School of Management, revised 01 May 2008.
  85. Osaki, Yusuke, 2007. "Risk and Derivative Price," Risk and Sustainable Management Group Working Papers 151179, University of Queensland, School of Economics.
  86. Tom Krebs, 2002. "Non-Existence of Recursive Equilibria on Compact State Spaces When Markets are Incomplete," Working Papers 2002-17, Brown University, Department of Economics.
  87. António Antunes & Tiago Cavalcanti & Anne Villamil, 2006. "The Effect of Financial Repression & Enforcement on Entrepreneurship and Economic Development," SCAPE Policy Research Working Paper Series 0610, National University of Singapore, Department of Economics, SCAPE.
  88. Andersson, H., 1995. "Landlords and farmers: implications of disparities in bargaining power for tenancy in agriculture," Agricultural Economics, Blackwell, vol. 12(2), pages 151-162, August.
  89. Miles S. Kimball, 1990. "Precautionary Saving and the Marginal Propensity to Consume," NBER Working Papers 3403, National Bureau of Economic Research, Inc.
  90. Pavlova, Anna & Rigobon, Roberto, 2005. "Wealth Transfers, Contagion and Portfolio Constraints," CEPR Discussion Papers 5117, C.E.P.R. Discussion Papers.
  91. Ricardo Lagos, 2008. "The Research Agenda: Ricardo Lagos on Liquidity and the Search Theory of Money," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 10(1), November.
  92. Benjamin Eden, 2008. "Substitution, Risk Aversion and Asset Prices: An Expected Utility Approach," Vanderbilt University Department of Economics Working Papers 0803, Vanderbilt University Department of Economics.
  93. Robert B. Barsky, 1986. "Why Don't the Prices of Stocks and Bonds Move Together?," NBER Working Papers 2047, National Bureau of Economic Research, Inc.
  94. Bekaert, Geert & Cho, Seonghoon & Moreno Ibáñez, Antonio, 2006. "New-Keynesian Macroeconomics and the Term Structure," CEPR Discussion Papers 5956, C.E.P.R. Discussion Papers.
  95. Martin Boileau & Michel Normandin, 2002. "General equilibrium macroeconomic models and superior information," Applied Economics Letters, Taylor & Francis Journals, vol. 9(11), pages 727-730.
  96. Lundtofte, Frederik & Leoni, Patrick, 2010. "Growth Forecasts, Belief Manipulation and Capital Markets," Working Papers 2010:8, Lund University, Department of Economics, revised 30 May 2012.
  97. Bo Sun, 2011. "Limited market participation and asset prices in the presence of earnings management," International Finance Discussion Papers 1019, Board of Governors of the Federal Reserve System (U.S.).
  98. Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Empirical Martingale Simulation for Asset Prices," CIRANO Working Papers 95s-43, CIRANO.
  99. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series qt2z02z6d9, Department of Economics, UC San Diego.
  100. Paolo Gelain & Kevin J. Lansing, 2013. "House prices, expectations, and time-varying fundamentals," Working Paper 2013/05, Norges Bank.
  101. Hélène Hamisultane, 2008. "Which Method for Pricing Weather Derivatives ?," Working Papers halshs-00355856, HAL.
  102. Dirk Niepelt, 2004. "Timing Tax Evasion," Working Papers 04.07, Swiss National Bank, Study Center Gerzensee.
  103. William A. Brock & Blake LeBaron, 1990. "Liquidity Constraints in Production-Based Asset-Pricing Models," NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 231-256 National Bureau of Economic Research, Inc.
  104. Ryo Horii & Yoshiyasu Ono, 2005. "Financial Crisis and Recovery: Learning-based Liquidity Preference Fluctuations," Macroeconomics 0504016, EconWPA.
  105. Robert B. Barsky & Eric R. Sims, 2009. "Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence," NBER Working Papers 15049, National Bureau of Economic Research, Inc.
  106. Phillippe Weil, 1997. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle," Levine's Working Paper Archive 1833, David K. Levine.
  107. Koskela, Erkki & Ollikainen, Markku & Puhakka, Mikko, 2002. "Renewable Resources in an Overlapping Generations Economy Without Capital," Journal of Environmental Economics and Management, Elsevier, vol. 43(3), pages 497-517, May.
  108. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
  109. Peter N Smith & Michael R Wickens, . "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York.
  110. Arnwine, Neil & Yigit, Taner M., 2008. "What Fisher knew about his relation, we sometimes forget," Economics Letters, Elsevier, vol. 101(3), pages 193-195, December.
  111. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Asset pricing lessons for modeling business cycles," Working Paper Series, Macroeconomic Issues 95-11, Federal Reserve Bank of Chicago.
  112. Chan, Yeung Lewis & Viceira, Luis & Campbell, John, 2003. "A Multivariate Model of Strategic Asset Allocation," Scholarly Articles 3163263, Harvard University Department of Economics.
  113. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
  114. Robert F. Whitelaw, 1997. "Time-Varying Sharpe Ratios and Market Timing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-074, New York University, Leonard N. Stern School of Business-.
  115. Christian Schoder, 2014. "The fundamentals of sovereign debt sustainability: evidence from 15 OECD countries," Empirica, Springer, vol. 41(2), pages 247-271, May.
  116. Suleyman Basak & Michael Gallmeyer, 1999. "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 1-30.
  117. Rausser, Gordon C & Carter, Colin, 1983. "Futures Market Efficiency in the Soybean Complex," The Review of Economics and Statistics, MIT Press, vol. 65(3), pages 469-78, August.
  118. Stockman, Alan C & Hernandez D, Alejandro, 1988. "Exchange Controls, Capital Controls, and International Financial Markets," American Economic Review, American Economic Association, vol. 78(3), pages 362-74, June.
  119. Fangxiong Gong & Roberto Mariano, 1997. "Stock Market Returns and Economic Fundamentals in an Emerging Market: The Case of Korea," Asia-Pacific Financial Markets, Springer, vol. 4(2), pages 147-169, May.
  120. Mark Huggett & Greg Kaplan, 2012. "The Money Value of a Man," PIER Working Paper Archive 12-014, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  121. John H. Cochrane & Francis Longstaff, 2004. "Two Trees: Asset Price Dynamics Induced by Market Clearing," 2004 Meeting Papers 126, Society for Economic Dynamics.
  122. Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2005. "Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey," Emory Economics 0507, Department of Economics, Emory University (Atlanta).
  123. Peter N. Ireland, 1996. "Long-term interest rates and inflation: a Fisherian approach," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 21-36.
  124. Lajili, Souad, 2004. "Size and book to market effects: further evidence from the French case," Economics Papers from University Paris Dauphine 123456789/2514, Paris Dauphine University.
  125. Tom Krebs, 2005. "Job Displacement Risk and the Cost of Business Cycles," 2005 Meeting Papers 188, Society for Economic Dynamics.
  126. Olaf Posch, 2009. "Risk premia in general equilibrium," CREATES Research Papers 2009-58, School of Economics and Management, University of Aarhus.
  127. George M. Constantinides, 2006. "Market Organization And The Prices Of Financial Assets," Manchester School, University of Manchester, vol. 74(s1), pages 1-23, 09.
  128. Wu, C.C. & Lee, Jack C., 2007. "Estimation of a utility-based asset pricing model using normal mixture GARCH(1,1)," Economic Modelling, Elsevier, vol. 24(2), pages 329-349, March.
  129. Enrico De Giorgi, 2005. "Evolutionary Portfolio Selection with Liquidity Shocks," Computing in Economics and Finance 2005 15, Society for Computational Economics.
  130. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
  131. Yum K. Kwan & Jinyue Dong, 2014. "Stock Price Dynamics of China: What Do the Asset Markets Tell Us About the Chinese Utility Function?," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(03), pages 77-108, May.
  132. Frode Brevik & Stefano d'Addona, 2005. "Information Quality and Stock Returns Revisited," Finance 0511006, EconWPA, revised 28 Nov 2005.
  133. Samih Azar, 2011. "Retesting the CCAPM Euler equations," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(4), pages 324-346, September.
  134. Wolfgang Drobetz & Patrick Wegmann, 2002. "Mean Reversion on Global Stock Markets," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 215-239, September.
  135. Rafael Muñoz, . "Skilled and unskilled employment in a Spanish business cycle model," Studies on the Spanish Economy 20, FEDEA.
  136. Takashi Kamihigashi, 2000. "Necessity of Transversality Conditions for Stochastic Problems," Discussion Paper Series 115, Research Institute for Economics & Business Administration, Kobe University.
  137. Krueger, Dirk & Lustig, Hanno, 2010. "When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?," Journal of Economic Theory, Elsevier, vol. 145(1), pages 1-41, January.
  138. Bakshi, Gurdip S. & Zhiwu, Chen, 1997. "An alternative valuation model for contingent claims," Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.
  139. Uppal, Raman & Wang, Tan, 2002. "Model Misspecification and Under-Diversification," CEPR Discussion Papers 3304, C.E.P.R. Discussion Papers.
  140. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
  141. Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc.
  142. Boyan Jovanovic & Peter L. Rousseau, 2001. "Mergers and Technological Change: 1885-1998," Vanderbilt University Department of Economics Working Papers 0116, Vanderbilt University Department of Economics.
  143. Kenneth Kuttner, 2006. "Can Central Banks Target Bond Prices?," NBER Working Papers 12454, National Bureau of Economic Research, Inc.
  144. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
  145. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium-based approach," Canadian Journal of Economics, Canadian Economics Association, vol. 40(2), pages 561-583, May.
  146. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-79, June.
  147. Douch, Mohamed, 2004. "Equity Premiums In Small Open Economy," MPRA Paper 14613, University Library of Munich, Germany.
  148. Manuel Santos & Juan Pablo Rincon-Zapatero, 2007. "Differentiability of the Value Function without Interiority Assumptions," Working Papers 0704, University of Miami, Department of Economics.
  149. Jan Carlos Hatchondo, 2008. "A quantitative study of the role of wealth inequality on asset prices," Economic Quarterly, Federal Reserve Bank of Richmond, issue Win, pages 73-96.
  150. Suleyman Basak & Alex Shapiro & Lucie Teplá, 2006. "Risk Management with Benchmarking," Management Science, INFORMS, vol. 52(4), pages 542-557, April.
  151. de Groot, Oliver, 2014. "Solving asset pricing models with stochastic volatility," Finance and Economics Discussion Series 2014-71, Board of Governors of the Federal Reserve System (U.S.).
  152. Alfonso Irarrazabal & Juan Carlos Parra-Alvarez, 2015. "Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis," CREATES Research Papers 2015-08, School of Economics and Management, University of Aarhus.
  153. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2007. "Learning, Structural Instability, and Present Value Calculations," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 253-288.
  154. Sumru Altug & Robert A. Miller, 1990. "Human capital, aggregate shocks, and panel data estimation," Discussion Paper / Institute for Empirical Macroeconomics 47, Federal Reserve Bank of Minneapolis.
  155. Enrico Giorgi & Thorsten Hens & János Mayer, 2007. "Computational aspects of prospect theory with asset pricing applications," Computational Economics, Society for Computational Economics, vol. 29(3), pages 267-281, May.
  156. Richard B. Howarth, 2003. "Discounting and Uncertainty in Climate Change Policy Analysis," Land Economics, University of Wisconsin Press, vol. 79(3), pages 369-381.
  157. Drobetz, Wolfgang & Kugler, Peter & Wanzenried, Gabrielle & Zimmermann, Heinz, 2009. "Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 84-93, March.
  158. Panos Patatoukas & Hongjun Yan, 2009. "The Impact of Earnings Surprises on Stock Returns: Theory and Evidence," Yale School of Management Working Papers amz2517, Yale School of Management.
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