This paper examines the estimation of parameters of a discretely sampled Markov process whose continuous-time sample paths are generated by a continuous Brownian term and a stochastic jump term, a realistic setting for many financial asset prices. In discretely sampled data, every change in the...

When a continuous-time diffusion is observed only at discrete dates, in most cases the transition distribution and hence the likelihood function of the observations is not explicitly computable. Using Hermite polynomials, I construct an explicit sequence of closed-form functions and show that it...

This paper evaluates the equity premium using novel data on the consumption of luxury goods. Specifying household utility as a nonhomothetic function of the consumption of both a luxury good and a basic good, we derive pricing equations and evaluate the risk of holding equity. Household survey...