High-Order Consumption Moments and Asset Pricing
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- Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
- Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," Econometric Society 2004 North American Winter Meetings 130, Econometric Society.
- Andrei SEMENOV, 2010. "High-Order Consumption Moments and Asset Pricing," EcoMod2004 330600127, EcoMod.
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Andrei Semenov, 2004.
"Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation,"
Working Papers
2004_1, York University, Department of Economics.
- Andrei SEMENOV, 2010. "Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation," EcoMod2004 330600126, EcoMod.
- Narayana Kocherlakota & Luigi Pistaferri, 2009.
"Asset Pricing Implications of Pareto Optimality with Private Information,"
Journal of Political Economy, University of Chicago Press, vol. 117(3), pages 555-590, June.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2004. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 122247000000000508, UCLA Department of Economics.
- Kocherlakota, Narayana R. & Pistaferri, Luigi, 2005. "Asset pricing implications of Pareto optimality with private information," Discussion Paper Series 1: Economic Studies 2005,29, Deutsche Bundesbank.
- Narayana R Kocherlakota & Luigi Pistaferri, 2005. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 784828000000000507, UCLA Department of Economics.
- Narayana R. Kocherlakota & Luigi Pistaferri, 2007. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 321307000000000701, UCLA Department of Economics.
- Pistaferri, Luigi & Kocherlakota, Narayana, 2005. "Asset Pricing Implications of Pareto Optimality with Private Information," CEPR Discussion Papers 4930, C.E.P.R. Discussion Papers.
- Basu, Parantap & Semenov, Andrei & Wada, Kenji, 2011.
"Uninsurable risk and financial market puzzles,"
Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1055-1089, October.
- Basu, Parantap & Semenov, Andrei & Wada, Kenji, 2009. "Uninsurable Risk and Financial Market Puzzles," MPRA Paper 23351, University Library of Munich, Germany.
- Andrei Semenov, 2003. "An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance," Working Papers 2003_5, York University, Department of Economics.
- Parantap Basu & Andrei Semenovz & Kenji Wadax, 2007.
"Uninsurable Risk and Financial Market Puzzles,"
CDMA Conference Paper Series
0701, Centre for Dynamic Macroeconomic Analysis.
- Basu, Parantap & Semenov, Andrei & Wada, Kenji, 2009. "Uninsurable Risk and Financial Market Puzzles," MPRA Paper 23351, University Library of Munich, Germany.
- Narayana Kocherlakota & Luigi Pistaferri, 2008. "Household Heterogeneity and Asset Trade: Resolving the Equity Premium Puzzle in Three Countries," Levine's Bibliography 122247000000001886, UCLA Department of Economics.
- Balduzzi, Pierluigi & Yao, Tong, 2007. "Testing heterogeneous-agent models: an alternative aggregation approach," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 369-412, March.
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More about this item
Keywords
equity premium puzzle; heterogeneous consumers; incomplete consumption insurance; limited asset market participation; risk-free rate puzzle;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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