Add to ORKGii My dissertation studies and addresses two main issues regarding asset returns: an econometric modeling framework for asset returns in two essays and puzzling features of the standard consumption-based pricing model in two other essays. The first two essays provide a new empirical guidance for modeling a skewed and thick-tailed error distribution along with GARCH effects for financial data with application to U.S. stock returns based on the theoretical derivation for the GARCH-skew-t model. The third essay addresses asset return puzzles such as high equity premium and low riskfree rate associated with the standard consumption-based asset pricing model. The fourth essay investigates a possible link between stock market volatility and macro...