In this paper, we propose a general methodology to characterize (i.e. develop the recursive equation systems for) the dynamic stochastic general equilibrium asset pricing problems (DSGE) with arbitrary numbers of agents and financial assets in a Lucas economy and propose a convergent numerical...

This paper proposes a novel bond return (price or yield curve) prediction methodology, unifying the classical no arbitrage pricing framework, which is ubiquitous and serves as the fundamental theoretical building block in mathematical finance, and empirical asset (bond) pricing methodologies,...