Risk Aversion vs. Intertemporal Substitution: Identification Failure in the Intertemporal Consumption CAPM
Year of publication: |
1998-08
|
---|---|
Authors: | Neely, C.J. ; Roy, A. ; Whiteman, C.H. |
Institutions: | Department of Economics, Tippie College of Business |
Subject: | Consumption-based asset pricing | Asset pricing | Time Series | Maximum Likelihood Estimation |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Notes: | 22 pages longPages |
Classification: | C1 - Econometric and Statistical Methods: General ; C8 - Data Collection and Data Estimation Methodology; Computer Programs ; E2 - Consumption, Saving, Production, Employment, and Investment ; G12 - Asset Pricing |
Source: |
-
Identification Failure in the Intertemporal Consumption CAPM
Neely, Christopher J., (1998)
-
On the Approximate Maximum Likelihood Estimation for Diffusion Processes
Chang, Jinyuan, (2011)
-
History of Historical Statistics of the United States
Ullman Chiswick, Carmel, (2003)
- More ...
-
Multi-Country Comparisons of the Consumption-Based CAPM: The Cases of Germany, Japan and USA.
Roy, A., (1992)
-
Keynes vs. Prescott and Solow: Identifying Sources of Business Cycle Fluctuations.
DeJong, D.N., (1995)
-
Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa.
Otrok, C., (1996)
- More ...