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

DOI10.1007/s10436-007-0079-xzbMath1233.91116OpenAlexW2046278716MaRDI 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 pricinganalyticityhabits

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Financial applications of other theories (91G80)

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

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