ON THE ECONOMIC IMPACT OF MODELING NONLINEARITIES: THE ASSET PRICING EXAMPLE
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Asset Prices in an Exchange Economy
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- Exact solution of asset pricing models with arbitrary shock distributions
- If Nonlinear Models Cannot Forecast, What Use Are They?
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
- Solving asset pricing models with Gaussian shocks
- Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
Cited in
(5)- Solving, estimating, and testing a nonlinear stochastic equilibrium model, with an example of the asset returns and inflation relationship
- Explaining bond returns in heterogeneous agent models: The importance of higher-order moments
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- Do fundamentals shape the price response? A critical assessment of linear impact models
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