The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
Open accessAbstract
This paper develops a discrete state space solution method for a class of nonlinear rational expectations models. The method works by using numerical quadrature rules to approximate the integral operators that arise in stochastic intertemporal models. It is particularly useful for approximating asset pricing models and has potential applications in other problems as well. An empirical application uses the method to study the relationship between the risk premium and the conditional variability of the equity returns under ARCH endowment processes. Copyright 1991 by The Econometric Society.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
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Uhlig, H. (2001) · Computational Methods for the Study of Dynamic Economies · doi:10.1093/0199248273.003.0003 · Cited by 523
Dynamic Models and Structural Estimation in Corporate Finance
Strebulaev, I. A. (2011) · Foundations and Trends® in Finance · doi:10.1561/0500000035 · Cited by 259
Metadata
- Authors
- Tauchen, G., & Hussey, R.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1991-03
- Volume
- 59
- Issue
- 2
- Pages
- 371
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W1978083110
- Cited by
- 925
- References
- 1
- FWCI
- 29.50
- Type
- journal article
- Language
- en
- Open access
- green
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- Tauchen, G., & Hussey, R. (1991). Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models. Econometrica. https://doi.org/10.2307/2938261
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
