Consumption-Based Asset Pricing with Higher Cumulants
From MaRDI portal
Publication:4922021
DOI10.1093/restud/rds029zbMath1263.91016OpenAlexW1929538739MaRDI QIDQ4922021
Publication date: 28 May 2013
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w16153.pdf
Related Items (14)
Stochastic volatility implies fourth-degree risk dominance: applications to asset pricing ⋮ Efficient Computation of Higher-Order Cumulant Tensors ⋮ Multivariate cumulants in outlier detection for financial data analysis ⋮ A dynamic equilibrium model for U-shaped pricing kernels ⋮ Planetary boundaries of consumption growth: declining social discount rates ⋮ Macroeconomic disasters and the equity premium puzzle: are emerging countries riskier? ⋮ EQUILIBRIUM EQUITY PRICE WITH OPTIMAL DIVIDEND POLICY ⋮ Minimum distance estimation of the errors-in-variables model using linear cumulant equations ⋮ m-Double Poisson Lévy markets ⋮ Moral hazard with the (unlikely) possibility of catastrophes ⋮ Pricing of the time-change risks ⋮ An algorithm for arbitrary-order cumulant tensor calculation in a sliding window of data streams ⋮ Can ambiguity about rare disasters explain equity premium puzzle? ⋮ Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
This page was built for publication: Consumption-Based Asset Pricing with Higher Cumulants
