Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
提出一种离散状态空间解法，利用数值求积规则逼近随机跨期模型中的积分算子，特别适用于资产定价模型的近似求解，并实证研究了ARCH禀赋过程下风险溢价与股票收益条件波动性的关系。
The paper develops a discrete state space solution method for a class of nonlinear rational expectations models.The method works by using numerical quadrature rules to approximate the integral operators that arise in stochastic intertemporal models.The method is particularly useful for approximating asset pricing models and has potential applications in other problems as well.An empirical application uses the method to study the relationship between the risk premium and the conditional variability of the equity return under an ARCH endowment process.