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Volumn 27, Issue 3, 2003, Pages 399-421

Consumption asset pricing with stable shocks - Exploring a solution and its implications for mean equity returns

Author keywords

Asset pricing; Equity returns; Lucas model; Normal distributions; Risk free returns; Stable distributions

Indexed keywords


EID: 0037209644     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(01)00054-9     Document Type: Article
Times cited : (15)

References (15)
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    • Burnside, C.1
  • 6
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    • Asset pricing with distorted beliefs: Are equity returns too good to be true?
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  • 9
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    • Asset prices in an exchange economy
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  • 10
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    • The variation of certain speculative prices
    • Mandelbrot, B., 1963. The variation of certain speculative prices. Journal of Business 36, 394-419.
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  • 11
    • 70350656348 scopus 로고    scopus 로고
    • Financial applications of stable distributions
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    • McCulloch, J.H., 1996. Financial applications of stable distributions. In: Maddala, G.S., Rao, C.R. (Eds.), Handbook of Statistics, Vol. 14. Elsevier, Amsterdam, pp. 393-425.
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  • 13
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  • 15
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.