SPECTRAL PROPERTIES OF ASSET PRICING MODELS: A GENERAL EQUILIBRIUM PERSPECTIVE

DOI10.1017/S1365100506050164MaRDI QIDQ5483953zbMATH OpenOpenAlexFDO

Authors Kevin E. Beaubrun-Diant

Publication date 24 August 2006

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1365100506050164

zbMATH Keywords

capital adjustment costequity premium puzzlehabit formationspectral analysis

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic models in economics (91B70)

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Cites work

• An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications
• Generalized spectral estimation of the consumption-based asset pricing model
• Time to Build and Aggregate Fluctuations

Cited in

(5)

• Generalized aggregation of misspecified models: with an application to asset pricing
• Rational Pessimism, Rational Exuberance, and Asset Pricing Models
• ASSET PRICING IN DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS WITH INDETERMINACY
• Generalized spectral estimation of the consumption-based asset pricing model
• Asset pricing models, specification search, and stability analysis

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