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dc.contributor.authorde Groot, Oliver
dc.identifier.citationde Groot , O 2015 , ' Solving asset pricing models with stochastic volatility ' Journal of Economic Dynamics and Control , vol. 52 , pp. 308-321 . DOI: 10.1016/j.jedc.2015.01.001en
dc.identifier.otherPURE: 212288395
dc.identifier.otherPURE UUID: fc43c0c4-4efa-4120-be1a-375f95c66e83
dc.identifier.otherWOS: 000350834500019
dc.identifier.otherScopus: 84923040663
dc.description.abstractThis paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The growth rate of the endowment is a first-order Gaussian autoregression, while the stochastic volatility innovations can be drawn from any distribution for which the moment-generating function exists. The solution is useful in allowing comparisons among numerical methods used to approximate the nontrivial closed form. The closed-form solution reveals that, when using perturbation methods around the deterministic steady state, the approximate solution needs to be sixth-order accurate in order for the parameter capturing the conditional standard deviation of the stochastic volatility process to be present. Published by Elsevier B.V.en
dc.relation.ispartofJournal of Economic Dynamics and Controlen
dc.rightsCopyright © 2015, Elsevier B.V. This work is made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at
dc.subjectEndowment modelen
dc.subjectPrice-dividend ratioen
dc.subjectClosed-form solutionen
dc.subjectNumerical methodsen
dc.subjectHB Economic Theoryen
dc.titleSolving asset pricing models with stochastic volatilityen
dc.typeJournal articleen
dc.contributor.institutionUniversity of St Andrews. School of Economics and Financeen
dc.description.statusPeer revieweden

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