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Consumer risk appetite, the credit cycle, and the housing bubble
Breeden, Joseph L.; Canals-Cerdá, José J. - 2016
Persistent link: https://www.econbiz.de/10011449437
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Consumption-based asset pricing, part 1: classic theory and tests, measurement issues, and limited participation
Breeden, Douglas T.; Litzenberger, Robert H.; Jia, Tingyan - In: Annual review of financial economics 7 (2015), pp. 35-83
Persistent link: https://www.econbiz.de/10011567485
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Testing for explosive bubbles in the presence of autocorrelated innovations
Pedersen, Thomas Quistgaard; Montes Schütte, Erik Christian - In: Journal of empirical finance 58 (2020), pp. 207-225
Persistent link: https://www.econbiz.de/10012430675
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Consumption-Based Asset Pricing, Part 1 : Classic Theory and Tests, Measurement Issues, and Limited Participation
Breeden, Douglas T. - 2015
theory, focusing mainly on the first two decades from 1976 to 1998. Starting with the original consumption capital asset … pricing model (CCAPM) derivations, we review both theory and subsequent tests and provide some new applications. The … markets are presented. When certain measurement issues are taken into account, the CCAPM performs better than the original …
Persistent link: https://www.econbiz.de/10013010406
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Econometric tests of asset price bubbles : taking stock
Gürkaynak, Refet S. (contributor) - 2005
Persistent link: https://www.econbiz.de/10002572667
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Nonlinearities and Tests of Asset Price Bubbles
Arora, Vipin - 2014
We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …
Persistent link: https://www.econbiz.de/10013044861
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A Heterogenous Agent Foundation for Tests of Asset Price Bubbles
Arora, Vipin - 2013
We provide heterogenous agent foundations for regime-switching tests of asset price bubbles, and illustrate by applying …
Persistent link: https://www.econbiz.de/10013079949
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Nonlinearities and Tests of Asset Price Bubbles
Arora, Vipin; Shi, Shuping - 2018
We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …
Persistent link: https://www.econbiz.de/10014145298
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Projections of the Stochastic Discount Factor with Applications to Bubbles
Dyachenko, Artem - 2022
I derive projections of the stochastic discount factor (SDF) in the continuous-time stochastic volatility model by solving a system of partial differential equations. SDF projections are mixtures of exponentially affine functions. Numerical results show that if an SDF projection is U-shaped or...
Persistent link: https://www.econbiz.de/10013308269
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Testing factor models when asset bubbles occur : a time-varying perspective
Yu, Lu; Li, Yanglin - In: Economic modelling 124 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014463291