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Exact solution of asset pricing models with arbitrary shock distributions

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  • Tsionas, Efthymios G.

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  • Tsionas, Efthymios G., 2003. "Exact solution of asset pricing models with arbitrary shock distributions," Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 843-851, March.
    • Handle: RePEc:eee:dyncon:v:27:y:2003:i:5:p:843-851
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    References listed on IDEAS

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    1. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    2. Tauchen, George & Hussey, Robert, 1991. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Econometric Society, vol. 59(2), pages 371-396, March.
    3. Burnside, Craig, 1998. "Solving asset pricing models with Gaussian shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 329-340, March.
    4. Geweke, John, 2001. "A note on some limitations of CRRA utility," Economics Letters, Elsevier, vol. 71(3), pages 341-345, June.
    5. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
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    Cited by:

    1. Yoon, Gawon, 2004. "On the existence of expected utility with CRRA under STUR," Economics Letters, Elsevier, vol. 83(2), pages 219-224, May.
    2. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July.
    3. Solórzano Andrade, Gustavo & Parra-Alvarez, Juan Carlos, 2024. "Risk sensitive linear approximations," Economics Letters, Elsevier, vol. 238(C).
    4. de Groot, Oliver, 2015. "Solving asset pricing models with stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 308-321.
    5. Walter Pohl & Karl Schmedders & Ole Wilms, 2018. "Higher Order Effects in Asset Pricing Models with Long‐Run Risks," Journal of Finance, American Finance Association, vol. 73(3), pages 1061-1111, June.
    6. Alexis Akira Toda, 2021. "Data-Based Automatic Discretization of Nonparametric Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1217-1235, April.
    7. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
    8. Athanasoulis, Stefano G., 2005. "Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 423-447, March.
    9. Toda, Alexis Akira, 2017. "Huggett economies with multiple stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.
    10. Collard, Fabrice & Feve, Patrick & Ghattassi, Imen, 2006. "Predictability and habit persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 2217-2260, November.
    11. Andreasen Martin M. & Zabczyk Pawel, 2015. "Efficient bond price approximations in non-linear equilibrium-based term structure models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 1-33, February.
    12. Andreasen Martin M, 2010. "Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-41, June.
    13. Collard, Fabrice & Fève, Patrick & Ghattassi, Imen, 2003. "Solving Asset Pricing Models with Habit Persistence," IDEI Working Papers 245, Institut d'Économie Industrielle (IDEI), Toulouse.

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