Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns

DOI10.1016/S0165-1889(01)00054-9zbMath1029.91025OpenAlexW1993342981MaRDI QIDQ1853201

J. Huston McCulloch, Prasad V. Bidarkota

Publication date: 21 January 2003

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00054-9

zbMATH Keywords

asset pricingmean rates of returnstable shocks

Mathematics Subject Classification ID

Related Items (11)

Solving asset pricing models with stochastic volatility ⋮ On the existence of expected utility with CRRA under STUR ⋮ Asset pricing in a Lucas fruit-tree economy with the best and worst in mind ⋮ Testing for persistence in stock returns with GARCH-stable shocks ⋮ Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks ⋮ Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands ⋮ Predictability and habit persistence ⋮ Pricing of the time-change risks ⋮ The impact of fat tails on equilibrium rates of return and term premia ⋮ ON THE ECONOMIC IMPACT OF MODELING NONLINEARITIES: THE ASSET PRICING EXAMPLE ⋮ Asset pricing with incomplete information and fat tails

Cites Work

• Solving asset pricing models with Gaussian shocks
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• Asset Prices in an Exchange Economy
• Unnamed Item

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