Affine General Equilibrium Models

DOI10.1287/MNSC.1070.0796MaRDI QIDQ3117767zbMATH OpenOpenAlexFDO

Authors Bjørn Eraker

Publication date 29 February 2012

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/3086a8baec4ab376728bc1101414c1963d1a54ec

zbMATH Keywords

asset pricingstochastic modelprobability diffusion

Mathematics Subject Classification ID

General equilibrium theory (91B50)

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Cited in

(11)

• AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
• Affine model of inflation-indexed derivatives and inflation risk premium
• Equilibrium variance risk premium in a cost-free production economy
• Equilibrium equity price with optimal dividend policy
• Fundamental bubbles in equity markets
• scientific article; zbMATH DE number 1867323 (Why is no real title available?)
• Nonparametric identification of positive eigenfunctions
• Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
• A dynamic equilibrium model for U-shaped pricing kernels
• Stochastic models for actuarial use the equilibrium modelling of local markets
• Asset prices in affine real business cycle models

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