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Citations for "Asset Prices in an Exchange Economy"

by Lucas, Robert E, Jr

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  1. Bai, Jushan & Ng, Serena, 2006. "Evaluating latent and observed factors in macroeconomics and finance," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 507-537.
  2. Cecchetti, Stephen G. & Lam, Pok-sang & Mark, Nelson C., 1993. "The equity premium and the risk-free rate : Matching the moments," Journal of Monetary Economics, Elsevier, vol. 31(1), pages 21-45, February.
  3. Hanno Lustig, . "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics.
  4. Lansing, Kevin J., 2012. "Speculative growth, overreaction, and the welfare cost of technology-driven bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 461-483.
  5. Beker, Pablo F & Espino, Emilio, 2013. "Too Good to Be True: Asset Pricing Implications of Pessimism," The Warwick Economics Research Paper Series (TWERPS) 1031, University of Warwick, Department of Economics.
  6. Williamson, Stephen & Wright, Randall, 2010. "New Monetarist Economics: Models," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 2, pages 25-96 Elsevier.
  7. Vyacheslav Mikhed & Petr Zemcik, 2007. "Testing for Bubbles in Housing Markets: A Panel Data Approach," CERGE-EI Working Papers wp338, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  8. Leung, Charles Ka Yui, 2014. "Error Correction Dynamics of House Prices: an Equilibrium Benchmark," MPRA Paper 55654, University Library of Munich, Germany.
  9. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers E2008/30, Cardiff University, Cardiff Business School, Economics Section.
  10. Pesaran, M.H., 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," Cambridge Working Papers in Economics 1033, Faculty of Economics, University of Cambridge.
  11. Jon Danielsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," LSE Research Online Documents on Economics 24823, London School of Economics and Political Science, LSE Library.
  12. Aase, Knut K. & Lillestøl, Jostein, 2015. "Beyond the local mean-variance analysis in continuous time: The problem of non-normality," Discussion Papers 2015/11, Department of Business and Management Science, Norwegian School of Economics.
  13. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  14. Krusell, Per & Kuruscu, Burhanettin & Smith, Anthony Jr., 2002. "Time orientation and asset prices," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 107-135, January.
  15. Jiro Yoshida, 2008. "Technology Shocks and Asset Price Dynamics:The Role of Housing in General Equilibrium," CARF F-Series CARF-F-119, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  16. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc.
  17. Buchner, Axel & Kaserer, Christoph & Wagner, Niklas, 2006. "Stochastic modeling of private equity: an equilibrium based approach to fund valuation," CEFS Working Paper Series 2006-02, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
  18. Aiyagari, S. Rao & Gertler, Mark, 1990. "Asset Returns With Transactions Costs And Uninsured Individual Risk: A Stage Iii Exercise," Working Papers 90-43, C.V. Starr Center for Applied Economics, New York University.
  19. Miloslav Vošvrda & Lukáš Vácha, 2007. "Heterogeneous Agents Model with the Worst Out Algorithm," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 1(1), pages 54-66, March.
  20. Simon van Norden & Huntley Schaller, 2002. "Fads or bubbles?," Empirical Economics, Springer, vol. 27(2), pages 335-362.
  21. 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.
  22. Ryo Horii & Yoshiyasu Ono, 2004. "Learning, Liquidity Preference, and Business Cycle," ISER Discussion Paper 0601, Institute of Social and Economic Research, Osaka University.
  23. Miguel Palacios, 2010. "Human Capital as an Asset Class: Implications from a General Equilibrium Model," Working Papers 2011-016, Human Capital and Economic Opportunity Working Group.
  24. Bryan R. Routledge & Stanley E. Zin, 2003. "Generalized Disappointment Aversion and Asset Prices," NBER Working Papers 10107, National Bureau of Economic Research, Inc.
  25. Canegrati, Emanuele, 2008. "A Non-Random Walk down Canary Wharf," MPRA Paper 9871, University Library of Munich, Germany.
  26. Gurdip S. Bakshi & Zhiwu Chen, . "An Alternative Model for Contingent Claims," Research in Financial Economics 9504, Ohio State University.
  27. Osaki, Yusuke, 2007. "Risk and Derivative Price," Risk and Sustainable Management Group Working Papers 151179, University of Queensland, School of Economics.
  28. Akdeniz, Levent & Dechert, W. Davis, 1997. "Do CAPM results hold in a dynamic economy? A numerical analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 981-1003, June.
  29. Gregory W. Huffman, 1992. "An analysis of the impact of two fiscal policies on the behavior of a dynamic asset market," Research Paper 9216, Federal Reserve Bank of Dallas.
  30. Thomas Chiang & Jose Trinidad, 1997. "Risk and International Parity Conditions: A Synthesis from Consumption Based Models," International Economic Journal, Taylor & Francis Journals, vol. 11(2), pages 73-101.
  31. Pierre-Olivier Weill & Chris Edmond, 2008. "Aggregate implications of micro asset market segmentation," 2008 Meeting Papers 481, Society for Economic Dynamics.
  32. Liu, Jun & Pan, Jun & Wang, Tan, 2002. "An Equilibrium Model of Rare Event Premia," Working papers 4370-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  33. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis.
  34. Raphael Espinoza & Dimitrios Tsomocos & Charles Goodhart, 2007. "Endogenous State Prices, Liquidity, Default, and the Yield Curve," FMG Discussion Papers dp583, Financial Markets Group.
  35. Alain Abou & Georges Prat, 1986. "Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level," Post-Print halshs-00172883, HAL.
  36. Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
  37. Julien Hugonnier & Erwan Morellec & Suresh Sundaresan, 2005. "Growth Options in General Equilibrium: Some Asset Pricing Implications," FAME Research Paper Series rp138, International Center for Financial Asset Management and Engineering.
  38. Adam, Klaus & Beutel, Johannes & Marcet, Albert, 2014. "Stock Price Booms and Expected Capital Gains," Working Papers 14-12, University of Mannheim, Department of Economics.
  39. Fernando Restoy & Philippe Weil, 1995. "Approximate Equilibrium Asset Prices," Banco de Espa�a Working Papers 9515, Banco de Espa�a.
  40. Jiri Kukacka & Jozef Barunik, 2012. "Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment," Papers 1205.3763, arXiv.org, revised May 2013.
  41. Svensson, Lars E O, 1988. "Trade in Risky Assets," American Economic Review, American Economic Association, vol. 78(3), pages 375-94, June.
  42. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
  43. Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun, 2012. "Real Interest Rate Persistence in South Africa: Evidence and Implications," Working Papers 17/2012, Stellenbosch University, Department of Economics.
  44. Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 322, UCLA Department of Economics.
  45. Frederik Lundtofte, 2009. "Can An 'Estimation Factor' Help Explain Cross-Sectional Returns?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5-6), pages 705-724.
  46. Andrew B. Abel, 2002. "The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security," NBER Working Papers 9210, National Bureau of Economic Research, Inc.
  47. Monika Piazzesi & Martin Schneider, 2008. "Bond positions, expectations, and the yield curve," Working Paper 2008-02, Federal Reserve Bank of Atlanta.
  48. Jean-Pierre DANTHINE & John B. DONALDSON & Rajnish MEHRA, 1992. "The Equity Premium and the Allocation of Income Risk," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 9203, Université de Lausanne, Faculté des HEC, DEEP.
  49. Altug, S. & Miller, R.A., 1991. "Human capital, aggregate shocks and panel data estimation," Discussion Paper 1991-28, Tilburg University, Center for Economic Research.
  50. William A. Brock & Blake LeBaron, 1989. "Liquidity Constraints in Production Based Asset Pricing Models," NBER Working Papers 3107, National Bureau of Economic Research, Inc.
  51. Kubler, Felix, 2003. "Observable restrictions of general equilibrium models with financial markets," Journal of Economic Theory, Elsevier, vol. 110(1), pages 137-153, May.
  52. Georges Dionne & Jingyuan Li & Cedric Okou, 2012. "An Extension of the Consumption-based CAPM Model," Cahiers de recherche 1214, CIRPEE.
  53. Lajili, Souad, 2003. "Size and book to market effects: further evidence from the French case," Economics Papers from University Paris Dauphine 123456789/3005, Paris Dauphine University.
  54. Niepelt, Dirk, 2005. "Timing tax evasion," Journal of Public Economics, Elsevier, vol. 89(9-10), pages 1611-1637, September.
  55. Abel, Andrew B., 1999. "Risk premia and term premia in general equilibrium," Journal of Monetary Economics, Elsevier, vol. 43(1), pages 3-33, February.
  56. Ricardo Lagos, 2005. "Asset Prices and Liquidity in an Exchange Economy," 2005 Meeting Papers 143, Society for Economic Dynamics.
  57. Frank F. Gong & Eli M. Remolona, 1996. "Two factors along the yield curve," Research Paper 9613, Federal Reserve Bank of New York.
  58. Till Strohsal & Enzo Weber, 2014. "Mean-variance cointegration and the expectations hypothesis," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1983-1997, November.
  59. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
  60. Lin, Xiaoji & Zhang, Lu, 2011. "Covariances versus Characteristics in General Equilibrium," Working Paper Series 2011-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  61. Aaron Tornell, 2000. "Robust-H-infinity Forecasting and Asset Pricing Anomalies," NBER Working Papers 7753, National Bureau of Economic Research, Inc.
  62. repec:hal:wpaper:halshs-00574957 is not listed on IDEAS
  63. Chao Wei, 2007. "Inflation and Stock Prices: No Illusion," 2007 Meeting Papers 565, Society for Economic Dynamics.
  64. Robert E. Hall, 2005. "The Labor Market and Macro Volatility: A Nonstationary General-Equilibrium Analysis," NBER Working Papers 11684, National Bureau of Economic Research, Inc.
  65. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2005. "Portfolio performance measurement using APM-free kernel models," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 623-659, March.
  66. Bordalo, Pedro & Gennaioli, Nicola & Shleifer, Andrei, 2013. "Salience and Asset Prices," Scholarly Articles 11688793, Harvard University Department of Economics.
  67. David E. Rapach & Mark E. Wohar, 2004. "The persistence in international real interest rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 339-346.
  68. Sujoy Mukerji & Jean-Marc Tallon, 2000. "Ambiguity Aversion and Incompleteness of Financial Markets," Economics Series Working Papers 46, University of Oxford, Department of Economics.
  69. Gabriel Frahm, 2013. "A Modern Approach to the Efficient-Market Hypothesis," Papers 1302.3001, arXiv.org, revised Mar 2014.
  70. Brogueira, Joao; Schuetze, Fabian, 2015. "Existence and uniqueness of equilibrium in Lucas' asset pricing model when utility is unbounded," Economics Working Papers ECO2015/02, European University Institute.
  71. Christopher J. Neely, 1995. "Testing asset pricing models with Euler equations: it's worse than you think," Working Papers 1995-018, Federal Reserve Bank of St. Louis.
  72. 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.
  73. Kevin J. Lansing, 2008. "Speculative growth and overreaction to technology shocks," Working Paper Series 2008-08, Federal Reserve Bank of San Francisco.
  74. Stockman, Alan C. & Svensson, Lars E. O., 1987. "Capital flows, investment, and exchange rates," Journal of Monetary Economics, Elsevier, vol. 19(2), pages 171-201, March.
  75. Klibanoff, Peter & Marinacci, Massimo & Mukerji, Sujoy, 2009. "Recursive smooth ambiguity preferences," Journal of Economic Theory, Elsevier, vol. 144(3), pages 930-976, May.
  76. Nicholas Barberis & Ming Huang & Tano Santos, 2001. "Prospect Theory And Asset Prices," The Quarterly Journal of Economics, MIT Press, vol. 116(1), pages 1-53, February.
  77. Cheng-Zhong Qin & Martin Shubik, 2009. "Selecting a Unique Competitive Equilibrium with Default Penalties," Cowles Foundation Discussion Papers 1712, Cowles Foundation for Research in Economics, Yale University.
  78. Lin Peng & Wei Xiong, 2005. "Investor Attention: Overconfidence and Category Learning," NBER Working Papers 11400, National Bureau of Economic Research, Inc.
  79. William Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 2012. "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201215, University of Kansas, Department of Economics, revised Sep 2012.
  80. Aase, Knut K., 2000. "An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 345-363, December.
  81. S. Rebelo., 2010. "Real Business Cycle Models: Past, Present, and Future," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 10.
  82. Taboga, Marco, 2004. "A Simple Model of Robust Portfolio Selection," MPRA Paper 16472, University Library of Munich, Germany.
  83. Cao, Melanie, 2001. "Systematic jump risks in a small open economy: simultaneous equilibrium valuation of options on the market portfolio and the exchange rate," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 191-218, April.
  84. Chalmers, John & Kaul, Aditya & Phillips, Blake, 2013. "The wisdom of crowds: Mutual fund investors’ aggregate asset allocation decisions," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3318-3333.
  85. Benedikt Rotermann & Bernd Wilfling, 2015. "Estimating rational stock-market bubbles with sequential Monte Carlo methods," CQE Working Papers 4015, Center for Quantitative Economics (CQE), University of Muenster.
  86. Ming Pu & Gang-Zhi Fan & Seow Ong, 2012. "Heterogeneous Agents and the Indifference Pricing of Property Index Linked Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 44(4), pages 543-569, May.
  87. Mordecai Kurz & Maurizio Motolese, 1999. "Endogenous Uncertainty and Market Volatility," Working Papers 1999.27, Fondazione Eni Enrico Mattei.
  88. Jacquet, Nicolas L. & Tan, Serene, 2012. "Money and asset prices with uninsurable risks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 784-797.
  89. Suleyman Basak & Anna Pavlova, 2004. "Monopoly power and the firm’s valuation: a dynamic analysis of short versus long-term policies," Economic Theory, Springer, vol. 24(3), pages 503-530, October.
  90. Bossaerts, Peter & Bodarenko, Oleg, 1997. "Expectations and Learning in Iowa," Working Papers 989, California Institute of Technology, Division of the Humanities and Social Sciences.
  91. John Y. Campbell, Robert J. Shiller, 1988. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
  92. Klaus Adam & Albert Marcet, 2010. "Booms and Busts in Asset Prices," IMES Discussion Paper Series 10-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
  93. Aase, Knut K., 2004. "The perpetual American put option for jump-diffusions: Implications for equity premiums," Discussion Papers 2004/19, Department of Business and Management Science, Norwegian School of Economics.
  94. Bergman, Yaacov Z., 1996. "Equilibrium asset price ranges," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 161-169.
  95. Weidong Xu & Hongyi Li & Chongfeng Wu, 2011. "A Robust General Equilibrium Stochastic Volatility Model with Recursive Preference Investors," Annals of Economics and Finance, Society for AEF, vol. 12(2), pages 217-231, November.
  96. Hiroshi Nakaota & Yuichi Fukuta, 2013. "The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan," Discussion Papers in Economics and Business 13-09-Rev, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
  97. Basak, Suleyman & Cass, David & Licari, Juan Manuel & Pavlova, Anna, 2006. "Multiplicity in General Financial Equilibrium with Portfolio Constraints," CEPR Discussion Papers 5804, C.E.P.R. Discussion Papers.
  98. Robert J. Shiller, 1993. "Aggregate Income Risks and Hedging Mechanisms," Cowles Foundation Discussion Papers 1048, Cowles Foundation for Research in Economics, Yale University.
  99. 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.
  100. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
  101. Giordani, Paolo & Söderlind, Paul, 2003. "Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel," SIFR Research Report Series 19, Institute for Financial Research.
  102. Victoria Galsband, 2010. "The cross-section of equity returns and assets’ fundamental cash-flow risk," Financial Markets and Portfolio Management, Springer, vol. 24(4), pages 327-351, December.
  103. Pancrazi, Roberto, 2013. "How Beneficial was the Great Moderation After All?," The Warwick Economics Research Paper Series (TWERPS) 1016, University of Warwick, Department of Economics.
  104. Marvin Goodfriend, 2005. "Narrow money, broad money, and the transmission of monetary policy," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 276-303.
  105. Judd, Kenneth L. & Kubler, Felix & Schmedders, Karl, 2000. "Computing equilibria in infinite-horizon finance economies: The case of one asset," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1047-1078, June.
  106. 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.
  107. Elena Marquez de la Cruz & Ana Martinez-Canete & Ines Perez-Soba Aguilar, 2007. "Intertemporal preference parameters for some European monetary union countries," Applied Economics, Taylor & Francis Journals, vol. 39(8), pages 997-1011.
  108. Nagel, Stefan, 2012. "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers 9227, C.E.P.R. Discussion Papers.
  109. René Garcia & Richard Luger, 2005. "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach," Working Papers 05-36, Bank of Canada.
  110. Albert Marcet & Kenneth J. Singleton, 1990. "Equilibrium asset prices and savings of heterogeneous agents in the presence of incomplete markets and portfolio constraints," Economics Working Papers 319, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 1998.
  111. Otrok, C. & Ravikumar, B. & Whiteman, C., 1998. "Habit Formation: A Resolution of the Equity Premium Puzzle?," Working Papers 98-04, University of Iowa, Department of Economics.
  112. O. S. Rozanova & G. S. Kambarbaeva, 2015. "Optimal strategies of investment in a linear stochastic model of market," Papers 1501.07124, arXiv.org.
  113. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  114. Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2015. "Collateral Requirements And Asset Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 1-25, 02.
  115. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers 10335, C.E.P.R. Discussion Papers.
  116. 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.
  117. Barnett, William A., 2014. "The joint services of money and credit," MPRA Paper 60336, University Library of Munich, Germany.
  118. Jonathan Lewellen & Jay Shanken, 2000. "Estimation Risk, Market Efficiency, and the Predictability of Returns," NBER Working Papers 7699, National Bureau of Economic Research, Inc.
  119. John Y. Campbell & Richard H. Clarida, 1986. "The Term Structure of Euromarket Interest Rates: An Empirical Investigation," NBER Working Papers 1946, National Bureau of Economic Research, Inc.
  120. 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.
  121. Fama, Eugene F. & French, Kenneth R., 2007. "Disagreement, tastes, and asset prices," Journal of Financial Economics, Elsevier, vol. 83(3), pages 667-689, March.
  122. Posch, Olaf, 2011. "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1557-1576, September.
  123. Lundtofte, Frederik, 2005. "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Working Papers 2005:17, Lund University, Department of Economics.
  124. Gregory Koutmos, 2012. "Modeling interest rate volatility: an extended EGARCH approach," Managerial Finance, Emerald Group Publishing, vol. 38(6), pages 628-635, May.
  125. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003. "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
  126. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
  127. 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.
  128. Chollete, Lorán, 2009. "The Propagation of Financial Extremes," Discussion Papers 2008/25, Department of Business and Management Science, Norwegian School of Economics.
  129. Nicolas Wesner, 2004. "Searching for chaos on low frequency," Economics Bulletin, AccessEcon, vol. 3(1), pages 1-8.
  130. Uppal, Raman & Wang, Tan, 2002. "Model Misspecification and Under-Diversification," CEPR Discussion Papers 3304, C.E.P.R. Discussion Papers.
  131. 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.
  132. Roberto Violi & Francesco Drudi, 1999. "Structure par terme des taux d'intérêt, volatilité et primes de risque : applications au marché de l'Eurolire," Économie et Prévision, Programme National Persée, vol. 140(4), pages 21-34.
  133. Paul Ehling, 2004. "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings 311, Econometric Society.
  134. Stephen Williamson & Randall Wright, 2010. "New monetarist economics: methods," Review, Federal Reserve Bank of St. Louis, issue May, pages 265-302.
  135. Francesco Bravo & Federico Crudu, 2012. "Efficient bootstrap with weakly dependent processes," Discussion Papers 12/08, Department of Economics, University of York.
  136. Jonathan Berk & Richard C. Green & Vasant Naik, 1998. "Optimal Investment, Growth Options, and Security Returns," NBER Working Papers 6627, National Bureau of Economic Research, Inc.
  137. Aiyagari, S.R. & Gertler, M., 1998. ""Overreaction" of Asset Prices in General Equilibrium," Working Papers 98-25, C.V. Starr Center for Applied Economics, New York University.
  138. Berkelaar, A.B. & Kouwenberg, R.R.P., 2000. "From boom til bust: how loss aversion affects asset prices," Econometric Institute Research Papers EI 2000-21/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  139. Mikhail Anufriev & Giulio Bottazzi, 2006. "Behavioral Consistent Market Equilibria under Procedural Rationality," Computing in Economics and Finance 2006 225, Society for Computational Economics.
  140. Alagidede, Paul, 2011. "Return behaviour in Africa's emerging equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 133-140, May.
  141. Massimiliano De Santis, 2005. "Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR," Money Macro and Finance (MMF) Research Group Conference 2005 62, Money Macro and Finance Research Group.
  142. Borys Grochulski, 2008. "Limits to redistribution and intertemporal wedges : implications of Pareto optimality with private information," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 173-196.
  143. Aase, Knut K., 2014. "The Life Cycle Model with Recursive Utility: New insights on pension and life insurance contracts," Discussion Papers 2014/19, Department of Business and Management Science, Norwegian School of Economics.
  144. Claudio Campanale & Gian Luca Clementi & Rui Castro, 2008. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," Working Papers. Serie AD 2008-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  145. 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.
  146. Robert G. Kuklik & Vladislav VACEK, 2013. "Volatility Asset Pricing Model as an Alternative Approach?," European Financial and Accounting Journal, University of Economics, Prague, vol. 2013(1).
  147. Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤," Boston University - Department of Economics - Working Papers Series WP2007-030, Boston University - Department of Economics.
  148. Stavros Panageas, 2009. "Optimal taxation in the presence of bailouts," NBER Working Papers 15405, National Bureau of Economic Research, Inc.
  149. Rómulo Chumacero, 2001. "Testing for unit roots using economics," Working Papers Central Bank of Chile 102, Central Bank of Chile.
  150. M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Learning, structural instability and present value calculations," Computing in Economics and Finance 2006 529, Society for Computational Economics.
  151. Xu, Weidong & Wu, Chongfeng & Li, Hongyi, 2010. "Robust general equilibrium under stochastic volatility model," Finance Research Letters, Elsevier, vol. 7(4), pages 224-231, December.
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