Cecchetti, Stephen G; Lam, Pok-sang; Mark, Nelson C - In: Journal of Finance 49 (1994) 1, pp. 123-52
The Euler equations derived from intertemporal asset pricing models, together with the unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. This paper develops and implements statistical tests of these lower bound...