Solving asset pricing models with stochastic volatility

DOI10.1016/j.jedc.2015.01.001zbMath1402.91164OpenAlexW1994589076MaRDI QIDQ1624055

Oliver de Groot

Publication date: 15 November 2018

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

Full work available at URL: http://hdl.handle.net/10023/10725

zbMATH Keywords

numerical methodsclosed-form solutionendowment modelprice-dividend ratio

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Related Items

Fifth-order perturbation solution to DSGE models ⋮ Huggett economies with multiple stationary equilibria ⋮ Asset pricing with time preference shocks: existence and uniqueness ⋮ Perturbations in DSGE models: an odd derivatives theorem

Cites Work

• Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Solving asset pricing models with Gaussian shocks
• Estimation of stochastic volatility models with diagnostics
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Exact solution of asset pricing models with arbitrary shock distributions
• Asset Prices in an Exchange Economy
• Solving Asset Pricing Models when the Price-Dividend Function Is Analytic
• Uncertainty and Investment Dynamics
• A NOTE ON THE EXACT SOLUTION OF ASSET PRICING MODELS WITH HABIT PERSISTENCE

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