Solving asset pricing models with stochastic volatility
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Publication:1624055
DOI10.1016/j.jedc.2015.01.001zbMath1402.91164OpenAlexW1994589076MaRDI QIDQ1624055
Publication date: 15 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10023/10725
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Cites Work
- Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
- Solving dynamic general equilibrium models using a second-order approximation to the policy function
- Solving asset pricing models with Gaussian shocks
- Estimation of stochastic volatility models with diagnostics
- Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
- Exact solution of asset pricing models with arbitrary shock distributions
- Asset Prices in an Exchange Economy
- Solving Asset Pricing Models when the Price-Dividend Function Is Analytic
- Uncertainty and Investment Dynamics
- A NOTE ON THE EXACT SOLUTION OF ASSET PRICING MODELS WITH HABIT PERSISTENCE
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