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Citations for "The effects of incomplete insurance markets and trading costs in a consumption-based asset pricing model"

by Heaton, John & Lucas, Deborah

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  1. Xavier Ragot & Francois Le Grand & Edouard Challe, 2007. "Incomplete markets and the yield curve," 2007 Meeting Papers 715, Society for Economic Dynamics.
  2. Jr., Luiz R. de Mello & Carneiro, Francisco G., 2000. "Consumption Behaviour and Persistently High Inflation: Evidence from Latin America," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 54(2), April.
  3. Christiano, Lawrence J. & Fisher, Jonas D. M., 2000. "Algorithms for solving dynamic models with occasionally binding constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1179-1232, July.
  4. Andrei SEMENOV, . "High-Order Consumption Moments and Asset Pricing," EcoMod2004 330600127, EcoMod.
  5. Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc.
  6. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset-super-," International Review of Finance, International Review of Finance Ltd., vol. 8(3-4), pages 125-157.
  7. Challe, Edouard & Le Grand, François & Ragot, Xavier, 2013. "Incomplete markets, liquidation risk, and the term structure of interest rates," Journal of Economic Theory, Elsevier, vol. 148(6), pages 2483-2519.
  8. Beltratti, Andrea, 2005. "Capital market equilibrium with externalities, production and heterogeneous agents," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3061-3073, December.
  9. Lo, Andrew W & Wang, Jiang, 1995. " Implementing Option Pricing Models When Asset Returns Are Predictable," Journal of Finance, American Finance Association, vol. 50(1), pages 87-129, March.
  10. Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001. "Habit Persistence, Asset Returns, and the Business Cycle," American Economic Review, American Economic Association, vol. 91(1), pages 149-166, March.
  11. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  12. Freeman, Mark, 2002. "Asset pricing with jump/diffusion permanent income shocks," Economics Letters, Elsevier, vol. 77(1), pages 1-8, September.
  13. Wouter J. Denhaan, 2000. "The Importance Of The Number Of Different Agents In A Heterogeneous Asset-Pricing Model," Computing in Economics and Finance 2000 349, Society for Computational Economics.
  14. Stephen Turnovsky & Marcelo Bianconi, . "The Welfare Gains from Stabilization in a Stochastically Growing Economy with Idiosyncratic Shocks and Flexible Labor Supply," Working Papers UWEC-2004-08-P, University of Washington, Department of Economics.
  15. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
  16. Ramchand, Latha, 1999. "Asset pricing in open economies with incomplete markets: implications for foreign currency returns," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 871-890, December.
  17. Krusell, Per & Mukoyama, Toshihiko & Smith Jr., Anthony A., 2011. "Asset prices in a Huggett economy," Journal of Economic Theory, Elsevier, vol. 146(3), pages 812-844, May.
  18. Michele Boldrin & Lawrence J. Christiano & Jonas D.M. Fisher, 1995. "Asset Pricing Lessons for Modeling Business Cycles," NBER Working Papers 5262, National Bureau of Economic Research, Inc.
  19. Ogaki, Masao & Park, Joon Y., 1997. "A cointegration approach to estimating preference parameters," Journal of Econometrics, Elsevier, vol. 82(1), pages 107-134.
  20. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  21. Athanasios Geromichalos & Lucas Herrenbrueck & Kevin Salyer, 2013. "A Search-Theoretic Model of the Term Premium," Working Papers 138, University of California, Davis, Department of Economics.
  22. Bakshi, Gurdip S. & Naka, Atsuyuki, 1997. "An empirical investigation of asset pricing models using Japanese stock market data," Journal of International Money and Finance, Elsevier, vol. 16(1), pages 81-112, February.
  23. Longstaff, Francis A, 2005. "Asset Pricing in Markets with Illiquid Assets," University of California at Los Angeles, Anderson Graduate School of Management qt2458g38x, Anderson Graduate School of Management, UCLA.
  24. Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  25. Marcelo Bianconi, 2003. "Private Information, Growth and Asset Prices with Stochastic Disturbances," Discussion Papers Series, Department of Economics, Tufts University 0301, Department of Economics, Tufts University.
  26. Salyer, Kevin D., 1998. "Crash states and the equity premium: Solving one puzzle raises another," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 955-965, June.
  27. Seppälä, Juha, 2000. "The term structure of real interest rates : Theory and evidence form UK index-linked bonds," Research Discussion Papers 22/2000, Bank of Finland.
  28. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-87, June.
  29. Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers 0245, Econometric Society.
  30. Phillip M Johnson, 2002. "Essays on Capital Markets: Frictions and Social Forces," Levine's Working Paper Archive 618897000000000052, David K. Levine.
  31. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1509-1549, October.
  32. Saito, Makoto, 1999. "Dynamic Allocation and Pricing in Incomplete Markets: A Survey," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 17(1), pages 45-75, May.
  33. Edouard Challe & François Le Grand & Xavier Ragot, 2007. "Incomplete markets, liquidation risk and the term structure of interest rates," Working Papers halshs-00587679, HAL.
  34. Buranavityawut, Nonthipoth & Freeman, Mark C. & Freeman, Nisih, 2006. "Has the equity premium been low for 40 years?," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 191-205, August.
  35. M. C. Freeman & I. R. Davidson, 1999. "Estimating the equity premium," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 236-246.
  36. Douglas W. Blackburn & Andrey D. Ukhov, 2013. "Individual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond," Management Science, INFORMS, vol. 59(2), pages 470-484, August.
  37. Elena Márquez de la Cruz, 2005. "La elasticidad de sustitución intertemporal y el consumo duradero: un análisis para el caso español," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 455-481, September.
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