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Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

Gallant, A. Ronald - In: Journal of econometrics 45 (1990) 1, pp. 141-179

Persistent link: https://www.econbiz.de/10001332076

Estimation of continuous-time models for stock returns and interest rates

Gallant, A. Ronald - In: Macroeconomic dynamics 1 (1997) 1, pp. 135-168

Persistent link: https://www.econbiz.de/10001337436

Volume-volatility dynamics in an intertemporal asset pricing model

Hsu, Chiente - In: Macroeconomic dynamics 4 (2000) 4, pp. 506-533

Persistent link: https://www.econbiz.de/10001548629

Stochastic volatility in general equilibrium

Tauchen, George Eugene - In: The quarterly journal of finance 1 (2011) 4, pp. 707-731

Persistent link: https://www.econbiz.de/10009553957

Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...

Persistent link: https://www.econbiz.de/10011780610