Consumption-Based Asset Pricing with Higher Cumulants
将Epstein-Zin对数正态消费资产定价模型扩展到一般独立同分布消费增长情形，利用累积量生成函数分析稀有灾难对资产定价的双刃剑效应，并提出通过可观测资产价格规避高阶矩估计难题的方法。
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 use the framework to analyse 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 without having to estimate higher moments of the underlying consumption process. Extensions of the model allow consumption to diverge from dividends, and for non-i.i.d. consumption growth. Copyright 2013, Oxford University Press.