Solving asset pricing models with Gaussian shocks
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Cites work
- Asset Prices in an Exchange Economy
- scientific article; zbMATH DE number 3436435 (Why is no real title available?)
- scientific article; zbMATH DE number 3447208 (Why is no real title available?)
- Multivariate estimates of the permanent components of GNP and stock prices
- Projection methods for solving aggregate growth models
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
Cited in
(28)- Asset pricing with incomplete information and fat tails
- Solving asset pricing models with stochastic volatility
- Predetermined interest rates in an analytical RBC model
- Fifth-order perturbation solution to DSGE models
- Asset prices with non-permanent shocks to consumption
- Huggett economies with multiple stationary equilibria
- House price dynamics: fundamentals and expectations
- 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
- On the existence of expected utility with CRRA under STUR
- Solving Euler equations via two-stage nonparametric penalized splines
- Computing the risky steady state of DSGE models
- Semi-global solutions to DSGE models: perturbation around a deterministic path
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
- Deriving Closed-Form Solutions for Gaussian Pricing Models: A Systematic Time-Domain Approach
- A quadratic Kalman filter
- A NOTE ON THE EXACT SOLUTION OF ASSET PRICING MODELS WITH HABIT PERSISTENCE
- ON THE ECONOMIC IMPACT OF MODELING NONLINEARITIES: THE ASSET PRICING EXAMPLE
- Accuracy of stochastic perturbation methods: The case of asset pricing models
- The extended perturbation method: With applications to the New Keynesian model and the zero lower bound
- Asset pricing with time preference shocks: existence and uniqueness
- Risk sensitive linear approximations
- Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks
- Approximation errors of perturbation methods in solving a class of dynamic stochastic general equilibrium models
- Stochastic extended path
- Solving dynamic general equilibrium models using a second-order approximation to the policy function
- Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands
- Predictability and habit persistence
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