Exact solution of asset pricing models with arbitrary shock distributions (Q1853226): Difference between revisions
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| Property / cites work: Solving asset pricing models with Gaussian shocks / rank | |||
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| Property / cites work: Q4315010 / rank | |||
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| Property / cites work: Asset Prices in an Exchange Economy / rank | |||
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| Property / cites work: Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models / rank | |||
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Latest revision as of 11:24, 5 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact solution of asset pricing models with arbitrary shock distributions |
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Exact solution of asset pricing models with arbitrary shock distributions (English)
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21 January 2003
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The paper provides an exact solution to standard asset pricing models for any distribution of shocks to endowment's growth rate. It determines the conditions that guarantee the existence of a stationary bounded equilibrium, and examines these conditions for an Edgeworth expansion distribution of the shocks. The results are extended to the case of multivariate asset pricing models.
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asset pricing models
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equilibrium
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Edgeworth
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