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- W3124715568 abstract "I extend the Epstein-Zin-lognormal consumption-based asset-pricing model to allow for general i.i.d. consumption growth. Information about the higher moments--equivalently, cumulants--of consumption growth is encoded in the cumulant-generating function. I apply the framework to economies with rare disasters, and argue that the importance of such disasters is a double-edged sword: parameters that govern the frequency and sizes of rare disasters are critically important for asset pricing, but extremely hard to calibrate. I show how to sidestep this issue by using observable asset prices to make inferences that are robust to the details of the underlying consumption process." @default.
- W3124715568 created "2021-02-01" @default.
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- W3124715568 date "2007-01-01" @default.
- W3124715568 modified "2023-09-27" @default.
- W3124715568 title "Consumption-Based Asset Pricing With Higher Cumulants" @default.
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- W3124715568 doi "https://doi.org/10.2139/ssrn.963206" @default.
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