SPECTRAL PROPERTIES OF ASSET PRICING MODELS: A GENERAL EQUILIBRIUM PERSPECTIVE

DOI10.1017/S1365100506050164zbMATH Open1151.91478OpenAlexW2001597090MaRDI QIDQ5483953FDOQ5483953

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

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zbMATH Keywords

spectral analysishabit formationequity premium puzzlecapital adjustment cost

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (5)

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

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