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

DOI10.1016/S0165-1889(01)00054-9MaRDI QIDQ1853201zbMATHOpenAlexFDO

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

zbMATH Keywords

asset pricingmean rates of returnstable shocks

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 3828921 (Why is no real title available?)
• Asset Prices in an Exchange Economy
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• Solving asset pricing models with Gaussian shocks

Cited in

(22)

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

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