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Asset pricing models with errors-in-variables

✍ Scribed by Benoît Carmichael; Alain Coën


Book ID
116641654
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
205 KB
Volume
15
Category
Article
ISSN
0927-5398

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Solving asset pricing models with Gaussi
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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 comparison