Christopher Otrok, B. Ravikumar, Charles H. Whiteman - Society for Computational Economics - SCE - 2001
Hansen and Jagannathan (1991) proposed a volatility bound for evaluating asset-pricing models that is a restriction on the volatility of a representative agentÌs intertemporal marginal rate of substitution (IMRS). We develop a generalization of their bound that (i) incorporates the serial...