A NOTE ON THE EXACT SOLUTION OF ASSET PRICING MODELS WITH HABIT PERSISTENCE

DOI10.1017/S1365100506050139MaRDI QIDQ5483957zbMATH OpenOpenAlexFDO

Authors F. Collard, Patrick Fève, Imen Ghattassi

Publication date 24 August 2006

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1365100506050139

zbMATH Keywords

asset pricinghabit persistenceprice--dividend ratio

Mathematics Subject Classification ID

Recommendations

• Solving asset pricing models with Gaussian shocks
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Cites work

• Asset Prices in an Exchange Economy
• Exact solution of asset pricing models with arbitrary shock distributions
• Solving asset pricing models with Gaussian shocks

Cited in

(5)

• Predictability and habit persistence
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• Analytic solving of asset pricing models: the by force of habit case
• Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
• Solving asset pricing models with stochastic volatility

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