Exact solution of asset pricing models with arbitrary shock distributions

DOI10.1016/S0165-1889(02)00017-9zbMath1023.91022OpenAlexW1996688585MaRDI QIDQ1853226

Efthymios G. Tsionas

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(02)00017-9

zbMATH Keywords

equilibriumasset pricing modelsEdgeworth

Mathematics Subject Classification ID

Related Items (9)

Solving asset pricing models with stochastic volatility ⋮ Huggett economies with multiple stationary equilibria ⋮ On the existence of expected utility with CRRA under STUR ⋮ Efficient bond price approximations in non-linear equilibrium-based term structure models ⋮ 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 ⋮ A NOTE ON THE EXACT SOLUTION OF ASSET PRICING MODELS WITH HABIT PERSISTENCE ⋮ ON THE ECONOMIC IMPACT OF MODELING NONLINEARITIES: THE ASSET PRICING EXAMPLE

Cites Work

• Unnamed Item
• 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
• A note on some limitations of CRRA utility

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