Maximum likelihood estimation of the nonlinear rational expectations asset pricing model

Article Abstract:

The attempt to compute full information maximum likelihood estimators of the non-linear asset pricing model has resulted in an Euler functional equation based algorithm that is more efficient than that of the moments estimator. The algorithm was evaluated with that of the moments estimator using Monte Carlo sampling experiments and results show that the method is more efficient than moments sampling when there is a significant amount of discrepancy in the aggregate output results.

Usage, Prices and rates, Estimation theory, Euler's numbers, e (Number)

---

Exact solution of asset pricing models with arbitrary shock distributions

Article Abstract:

An exact solution to standard asset pricing models, for any distribution of shocks to endowmentEs growth rate, is presented. The various conditions that guarantee the existence of a stationary bounded equilibrium are determined by it.

Models, Equilibrium (Economics), Pricing policies

---

Consumption asset pricing with stable shocks-exploring a solution and its implication for mean equity returns

Article Abstract:

The consumption based asset pricing model due to Lucas rica 46 and its ability to generate realistic values of observed mean rates of return are studied. Exact analytical solutions for asset prices and returns are provided.

Return on investment, Rate of return

Similar abstracts:

• Abstracts: Solving for optimal simple rules in rational expectations models. Ruling out pareto dominated monetary equilibria
• Abstracts: Monopoly unions and the liberalisation of international trade. Learning and inflation convergence in the ERM
• Abstracts: Shrinkage estimators of time series seasonal factors and their effect on forecasting accuracy. Shrinkage: when and how?
• Abstracts: Fieldwork, economic theory, and research on institutions in developing countries. Randomized evaluations of educational program in developing countries: some lessons
• Abstracts: Using electoral cycles in police hiring to estimate the effect of police on crime. White-collar crime writ small: a case study of bagels, donuts, and the honor system

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.