Exact solution of asset pricing models with arbitrary shock distributions

被引：17

作者：

Tsionas, EG

机构：

[1] Athens Univ Econ & Business, Dept Econ, Athens 10434, Greece

[2] IMOP, Athens 10434, Greece

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2003年 / 27卷 / 05期

关键词：

asset pricing; integral equations; moment generating function; Edgeworth expansion;

D O I：

10.1016/S0165-1889(02)00017-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The paper provides an exact solution to standard asset pricing models for any distribution of shocks to endowment's growth rate. It determines the conditions that guarantee the existence of a stationary bounded equilibrium, and examines these conditions,for an Edgeworth expansion distribution of the shocks. The results are extended to the case of multivariate asset pricing models. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：843 / 851

页数：9

共 7 条

[1] Solving asset pricing models with Gaussian shocks [J].