Normandin, Michel; St-Amour, Pascal - In: Journal of Applied Econometrics 13 (1998) 3, pp. 265-281
This paper gauges the relative contribution of risk aversion, inter-temporal substitution and taste shocks on postwar monthly US equity premia. The time-varying consumption, market, and taste risks involved in the Euler equations are recovered from a common factor GARCH process and the MLE are...