Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps

Lévy Jumps

Cash Flow and Risk Premium Dynamics in an Equilibrium Asset Pricing Model with Recursive Preferences

SSRN Electronic Journal ◽

10.2139/ssrn.2693748 ◽

2015 ◽

Author(s):

Taeyoung Doh ◽

Shu Wu

Keyword(s):

Asset Pricing ◽

Cash Flow ◽

Risk Premium ◽

Pricing Model ◽

Recursive Preferences ◽

Asset Pricing Model ◽

An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information

Econometrica ◽

10.2307/1911159 ◽

1987 ◽

Vol 55 (1) ◽

pp. 117 ◽

Cited By ~ 87

Author(s):

Chi-Fu Huang

Keyword(s):

Asset Pricing ◽

General Equilibrium ◽

Pricing Model ◽

Asset Pricing Model ◽

Exchange Rate Volatility in an Equilibrium Asset Pricing Model

International Economic Review ◽

10.2307/2527161 ◽

1990 ◽

Vol 31 (3) ◽

pp. 559 ◽

Cited By ~ 27

Author(s):

Rodolfo E. Manuelli ◽

James Peck

Keyword(s):

Exchange Rate ◽

Asset Pricing ◽

Exchange Rate Volatility ◽

Pricing Model ◽

Asset Pricing Model ◽

General equilibrium asset pricing model: three applications to land markets

10.31274/rtd-180813-9234 ◽

1991 ◽

Author(s):

Cheol Soo Park

Keyword(s):

Asset Pricing ◽

General Equilibrium ◽

Land Markets ◽

Pricing Model ◽

Asset Pricing Model ◽

An Equilibrium Asset Pricing Model with Labor Market Search

10.3386/w17742 ◽

2012 ◽

Cited By ~ 30

Author(s):

Lars-Alexander Kuehn ◽

Nicolas Petrosky-Nadeau ◽

Lu Zhang

Keyword(s):

Labor Market ◽

Asset Pricing ◽

Pricing Model ◽

Asset Pricing Model ◽

Market Search ◽

Labor Market Search

A Multiperiod Equilibrium Asset Pricing Model

Econometrica ◽

10.2307/1911437 ◽

1978 ◽

Vol 46 (5) ◽

pp. 1077 ◽

Cited By ~ 63

Author(s):

R. C. Stapleton ◽

M. G. Subrahmanyam

Keyword(s):

Asset Pricing ◽

Pricing Model ◽

Asset Pricing Model ◽

A Discrete-Time Intertemporal Asset Pricing Model: GE Approach with Recursive Utility

Mathematical Finance ◽

10.1111/1467-9965.00055 ◽

1998 ◽

Vol 8 (3) ◽

pp. 249-275 ◽

Cited By ~ 4

Author(s):

Chenghu Ma

Keyword(s):

Asset Pricing ◽

Discrete Time ◽

Recursive Utility ◽

Pricing Model ◽

Asset Pricing Model ◽

Intertemporal Asset Pricing

Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital

Review of Financial Studies ◽

10.1093/rfs/hhs121 ◽

2012 ◽

Vol 26 (2) ◽

pp. 491-530 ◽

Cited By ~ 54

Author(s):

Hengjie Ai ◽

Mariano Massimiliano Croce ◽

Kai Li

Keyword(s):

Asset Pricing ◽

General Equilibrium ◽

Intangible Capital ◽

Pricing Model ◽

Asset Pricing Model ◽

An Equilibrium Asset Pricing Model under the Dual Theory of the Smooth Ambiguity Model

Journal of Mathematical Finance ◽

10.4236/jmf.2018.82031 ◽

2018 ◽

Vol 08 (02) ◽

pp. 497-515

Author(s):

Hideki Iwaki

Keyword(s):

Asset Pricing ◽

Pricing Model ◽

Dual Theory ◽

Asset Pricing Model ◽

Smooth Ambiguity Model

An Equilibrium Asset Pricing Model with Labor Market Search

SSRN Electronic Journal ◽

10.2139/ssrn.1979625 ◽

2011 ◽

Cited By ~ 1

Author(s):

Lars-Alexander Kuehn ◽

Nicolas Petrosky-Nadeau ◽

Lu Zhang

Keyword(s):

Labor Market ◽

Asset Pricing ◽

Pricing Model ◽

Asset Pricing Model ◽

Market Search ◽

Labor Market Search