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Generalized stable models for financial asset returns

✍ Scribed by Anna K. Panorska


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
226 KB
Volume
70
Category
Article
ISSN
0377-0427

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We study the consumption based asset pricing model due to Lucas (Econometrica 46 (1978(Econometrica 46 ( ) 1429)). The exogenous endowment sequence is modeled as a linear stochastic process driven by stable shocks in an otherwise standard framework. The Gaussian process emerges as a special case. We