This paper aims to discuss Prof. Efthymios (Mike) Tsionas’ work on asset pricing and highlight his original contributions, as well as the necessary foundation in mathematics, econometrics, economics, statistics, and programming.
AthanasoulisSG (2005) Asset pricing from primitives: closed form solutions to asset prices, consumption, and portfolio demands. Journal of Economic Dynamics and Control29(3): 423–447.
2.
BakshiGSkoulakisG (2010) Do subjective expectations explain asset pricing puzzles?Journal of Financial Economics98(3): 462–477.
3.
BartonDEDennisKE (1952) The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal. Biometrika39(3-4): 425–427.
4.
BurnsideC (1998) Solving asset pricing models with Gaussian shocks. Journal of Economic Dynamics and Control22(3): 329–340.
5.
CalinOLChenYCosimanoTF, et al. (2005) Solving asset pricing models when the price–dividend function is analytic. Econometrica73(3): 961–982.
6.
CecchettiSMarkN (1990) Evaluating empirical tests of asset pricing models: alternative interpretations. The American Economic Review80: 48–51.
7.
CollardFFèvePGhattassiI (2006) Predictability and habit persistence. Journal of Economic Dynamics and Control30(11): 2217–2260.
8.
de GrootO (2015) Solving asset pricing models with stochastic volatility. Journal of Economic Dynamics and Control52: 308–321.
JohnsonNLKotzSBalakrishnanN (1994) Continuous Univariate Distributions. 2nd edition. New York, NY: John Wiley, Vol. 1.
11.
KocherlakotaNR (1996) The equity premium: it’s still a puzzle. Journal of Economic Literature34: 42–71.
12.
LabadieP (1989) Stochastic inflation and the equity premium. Journal of Monetary Economics24(2): 277–298.
13.
LucasRE (1978) Asset prices in an exchange economy. Econometrica46(6): 1429–1445.
14.
MehraRPrescottEC (1985) The equity premium: a puzzle. Journal of Monetary Economics15(2): 145–161.
15.
NakamuraESteinssonJBarroR, et al. (2013, July) Crises and recoveries in an empirical model of consumption disasters. American Economic Journal: Macroeconomics5(3): 35–74.
16.
ParlourCAStantonRWaldenJ (2011) Revisiting asset pricing puzzles in an exchange economy. Review of Financial Studies24(3): 629–674.
17.
TodaAA (2017) Huggett economies with multiple stationary equilibria. Journal of Economic Dynamics and Control84: 77–90.
18.
TsionasEG (1999) Monte Carlo inference in econometric models with symmetric stable disturbances. Journal of Econometrics88(2): 365–401.
19.
TsionasEG (2003) Exact solution of asset pricing models with arbitrary shock distributions. Journal of Economic Dynamics and Control27(5): 843–851.
20.
TsionasEG (2005) Likelihood evidence on the asset returns puzzle. The Review of Economic Studies72(3): 917–946.
21.
TsionasEG (2012) Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates. Statistics & Probability Letters82(11): 1986–1989.
