Most economic time series indicate non-normality in the form of either occasional big shocks or marked changes in the level of the series. In this paper, a univariate state-space model with infinite variance symmetric stable shocks is used to model the U.S. inflation rate via the...

We study a consumption based asset pricing model with incomplete information and alpha-stable shocks. Incomplete information leads to a non-Gaussian filtering problem. Bayesian updating generates fluctuating confidence in the agents' estimate of the persistent component of the dividends' growth...

We study a consumption based asset pricing model with incomplete information and alpha-stable shocks. Incomplete information leads to a non-Gaussian filtering problem. Bayesian updating generates fluctuating confidence in the agents' estimate of the persistent component of the dividends' growth...

We develop a framework in which information about firm value is noisily observed. Investors are then faced with a signal extraction problem. Solving this would enable them to probabilistically infer the fundamental value of the firm and, hence, price its stocks. If the innovations driving the...

We study the consumption based asset pricing model due to Lucas (1978). The exogenous endowment sequence is modeled as a linear stochastic process driven by stable shocks in an otherwise standard framework. The Gaussian process emerges as a special case. We derive exact analytical solutions for...

We study a consumption-based asset pricing model with incomplete information and a- stable shocks. Incomplete information leads to a non-Gaussian filtering problem. Bayesian updating generates fluctuating confidence in the agents' estimate of the persistent component of the dividends' growth...

We investigate persistence in CRSP monthly excess stock returns, using a state space model with stable disturbances. The non-Gaussian state space model with volatility persistence is estimated by maximum likelihood, using the optimal filtering algorithm given by Sorenson and Alspach (1971). The...