Consumption-Based Asset Pricing with Higher Cumulants
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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
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美国国家经济研究局创建时间：
2010-07-01
