Burnside, C. (1998) Solving asset pricing models with Gaussian shocks. Journal of Economic Dynamics and Control, 22(3), pp. 329-340. (doi: 10.1016/S0165-1889(97)00075-4)
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Publisher's URL: http://dx.doi.org/10.1016/S0165-1889(97)00075-4
Abstract
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model when the growth rate of the endowment is a first-order Gaussian autoregression. It determines the conditions under which this solution is bounded. The findings are useful in allowing comparisons among numerical methods used to approximate the nontrivial closed-form. The solution method is extended to accommodate multivariate and higher-ordered autoregressive processes.
Item Type: | Articles |
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Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Burnside, Professor Craig |
Authors: | Burnside, C. |
College/School: | College of Social Sciences > Adam Smith Business School > Economics |
Journal Name: | Journal of Economic Dynamics and Control |
ISSN: | 0165-1889 |
Published Online: | 11 June 1998 |
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