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A Review of Wilkie's Stochastic Asset Model
16 references·3 citing·39 second hop
A Review of Wilkie's Stochastic Asset Model (1997)A Review of Wilkie's Stochastic Asset Mod…The cost of capital, corporation finance and the theory of investment (2008)The cost of capital, corporat…Dynamic Econometrics (1995)Dynamic EconometricsWhat Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Foundations for Financial Economics. (1989)Foundations for Financial Eco…Efficient Capital Markets and Martingales (1989)Efficient Capital Markets and…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Dividend yields and expected stock returns (1988)Dividend yields and expected …Noise (1986)NoiseAn intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…A Random Walk Down Wall Street (1973)A Random Walk Down Wall StreetTime Series Analysis Forecasting and Control. (1971)Time Series Analysis Forecast…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Cost of Capital, Corporat…Stochastic modeling of assets and liabilities with mortality risk (2021)Stochastic modeling of assets…Yet More on a Stochastic Economic Model: Part 1: Updating and Refitting, 1995 to 2009 (2011)Yet More on a Stochastic Econ…A Non-Linear Stochastic Asset Model for Actuarial Use (1999)A Non-Linear Stochastic Asset…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Law and Finance (1998)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)Prospect Theory: An Analysis of Decision under Risk (1979)The Framing of Decisions and the Psychology of Choice (1981)Continuous Auctions and Insider Trading (1985)Do Demand Curves for Stocks Slope Down? (1986)The Noise Trader Approach to Finance (1990)Myth or Reality? The Long-Run Underperformance of Initial Public Offerings: Evidence from Venture and Nonventure Capital-Backed Companies (1997)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Capital Structure Puzzle (1984)A Survey of Corporate Governance (1997)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Generalized autoregressive conditional heteroskedasticity (1986)Some recent development in a concept of causality (1988)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1958The Cost of Capital, Corporation Finance and the Theory of Investment14,494 cited
  • 2008The cost of capital, corporation finance and the theory of investment8,614 cited
  • 1971Time Series Analysis Forecasting and Control.6,714 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1986Noise1,783 cited
  • 1973A Random Walk Down Wall Street1,743 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 1995Dynamic Econometrics1,199 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
  • 1989Foundations for Financial Economics.831 cited

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1989
Efficient Capital Markets and Martingales
505 cited

Cited by

  • 1999A Non-Linear Stochastic Asset Model for Actuarial Use34 cited
  • 2011Yet More on a Stochastic Economic Model: Part 1: Updating and Refitting, 1995 to 200927 cited
  • 2021Stochastic modeling of assets and liabilities with mortality risk14 cited