Consumption-Based Asset Pricing with Higher Cumulants
收藏NBER2010-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w16153
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资源简介：
I extend the Epstein-Zin-lognormal consumption-based asset-pricing model to allow for general i.i.d. consumption growth. Information about the higher moments--equivalently, cumulants--of consumption growth is encoded in the cumulant-generating function. I apply the framework to economies with rare
提供机构：
美国国家经济研究局
创建时间：
2010-07-01
