Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks

DOI10.1007/s10436-007-0079-xzbMath1233.91116MaRDI QIDQ665823

A. Alexandrou Himonas, Thomas F. Cosimano, Yu Chen

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-007-0079-x

zbMATH Keywords

asset pricing; analyticity; habits

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91G80: Financial applications of other theories

Related Items

The equity premium: a deeper puzzle, Continuous time one-dimensional asset-pricing models with analytic price-dividend functions, Solving asset pricing models with stochastic volatility, Analytic solving of asset pricing models: the by force of habit case

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Solving asset pricing models with Gaussian shocks
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
• Exact solution of asset pricing models with arbitrary shock distributions
• Solving Asset Pricing Models when the Price-Dividend Function Is Analytic
• A NOTE ON THE EXACT SOLUTION OF ASSET PRICING MODELS WITH HABIT PERSISTENCE
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments