Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns

DOI10.1016/S0165-1889(01)00054-9zbMATH Open1029.91025OpenAlexW1993342981MaRDI QIDQ1853201FDOQ1853201

Authors: Prasad V. Bidarkota, J. Huston McCulloch 

Publication date: 21 January 2003

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

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00054-9

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zbMATH Keywords

asset pricingmean rates of returnstable shocks

Mathematics Subject Classification ID

Cites Work

• Asset Prices in an Exchange Economy
• Title not available (Why is that?)
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• Solving asset pricing models with Gaussian shocks

Cited In (22)

• Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands
• Risk sensitive linear approximations
• Predictability and habit persistence
• Equity premium and consumption sensitivity when the consumer-investor allows for unfavorable circumstances.
• The Lucas orchard
• Pricing of the time-change risks
• Exact solution of asset pricing models with arbitrary shock distributions
• An experimental test of the Lucas asset pricing model
• Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
• Testing for persistence in stock returns with GARCH-stable shocks
• The impact of fat tails on equilibrium rates of return and term premia
• Asset pricing with incomplete information and fat tails
• Likelihood Evidence on the Asset Returns Puzzle
• On the existence of expected utility with CRRA under STUR
• ON THE ECONOMIC IMPACT OF MODELING NONLINEARITIES: THE ASSET PRICING EXAMPLE
• Approximate equilibrium asset prices
• Solving asset pricing models with stochastic volatility
• Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
• Asset prices with non-permanent shocks to consumption
• Consumption-based asset pricing with higher cumulants
• Asset pricing and productivity growth: The role of consumption scenarios
• Bayesian analysis of the consumption CAPM

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