Risk-sensitive real business cycles☆

[1]  Charles H. Whiteman,et al.  Habit formation: a resolution of the equity premium puzzle? , 2002 .

[2]  T. Sargent,et al.  Robust Permanent Income and Pricing , 1999 .

[3]  James Dolmas Risk Preferences and the Welfare Cost of Business Cycles , 1998 .

[4]  Urban Jermann Asset pricing in production economies , 1998 .

[5]  J. Cochrane Where is the Market Going? Uncertain Facts and Novel Theories , 1998 .

[6]  Lawrence J. Christiano,et al.  Asset Pricing Lessons for Modeling Business Cycles , 1995 .

[7]  T. Sargent,et al.  Discounted linear exponential quadratic Gaussian control , 1995, IEEE Trans. Autom. Control..

[8]  J. Campbell,et al.  By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior , 1995, Journal of Political Economy.

[9]  M. Obstfeld Evaluating Risky Consumption Paths: the Role of Intertemporal Substitutability , 1994 .

[10]  P. Weil Precautionary Savings and the Permanent Income Hypothesis , 1993 .

[11]  Lars Peter Hansen,et al.  Asset Pricing Explorations for Macroeconomics , 1992, NBER Macroeconomics Annual.

[12]  Larry G. Epstein,et al.  Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis , 1991, Journal of Political Economy.

[13]  R. Stambaugh,et al.  Asset Returns and Intertemporal Preferences , 1991 .

[14]  Martin Eichenbaum,et al.  Labor Hoarding and the Business Cycle , 1990, Journal of Political Economy.

[15]  Larry G. Epstein,et al.  First order risk aversion and the equity premium puzzle , 1990 .

[16]  Ravi Jagannathan,et al.  Implications of Security Market Data for Models of Dynamic Economies , 1990, Journal of Political Economy.

[17]  P. Weil Nonexpected Utility in Macroeconomics , 1990 .

[18]  Martin Eichenbaum,et al.  Unit Roots in Real Gnp: Do We Know, and Do We Care? , 1989 .

[19]  Larry G. Epstein,et al.  Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework , 1989 .

[20]  Miles S. Kimball Precautionary Saving in the Small and in the Large , 1989 .

[21]  Martin Eichenbaum,et al.  Is Theory Really Ahead of Measurement? Current Real Business Cycle Theories and Aggregate Labor Market Fluctuations , 1988 .

[22]  G. Hansen Indivisible Labor and the Business Cycle , 1985 .

[23]  Finn E. Kydland,et al.  Time to Build and Aggregate Fluctuations , 1982 .

[24]  P. Whittle Risk-sensitive linear/quadratic/gaussian control , 1981, Advances in Applied Probability.

[25]  David M. Kreps,et al.  Martingales and arbitrage in multiperiod securities markets , 1979 .

[26]  Evan L. Porteus,et al.  Temporal Resolution of Uncertainty and Dynamic Choice Theory , 1978 .

[27]  Rhodes,et al.  Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games , 1973 .

[28]  R. Thaler,et al.  The Equity Premium Puzzle , 2001 .

[29]  H. Uhlig,et al.  Can Habit Formation be Reconciled with Business Cycle Facts , 1995 .

[30]  K. Geert Rouwenhorst,et al.  Asset Pricing Implications of Equilibrium Business Cycle Models , 1995 .

[31]  Thomas F. Cooley Frontiers of business cycle research , 1995 .

[32]  Lawrence J. Christiano Solving the Stochastic Growth Model by Linear-Quadratic Approximation and by Value-Function Iteration , 1990 .

[33]  Lawrence I. Clxistiaoo,et al.  Current Real Business Cycle Theories and Aggregate Labor Market Fiuctaationr , 1990 .

[34]  Lawrence J. Christiano Linear-Quadratic Approximation and Value-Function Iteration: A Comparison , 1990 .

[35]  P. Whittle Risk-Sensitive Optimal Control , 1990 .

[36]  Robert E. Lucas,et al.  Models of business cycles , 1987 .