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Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns
Cecchetti, Stephen G. - 2007
unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We … short time series of consumption data undermines the ability of tests that use the restrictions implied by the volatility … bound to discriminate among different utility functions …
Persistent link: https://www.econbiz.de/10012776681
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A flexible approach to estimate the equity premium
Bonaparte, Yosef; Fabozzi, Frank J. - In: Applied economics 49 (2017) 59, pp. 5940-5950
Persistent link: https://www.econbiz.de/10011845875
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Les comportements boursiers sont-ils eulériens?
Prat, Georges - In: Revue économique : revue bimestrielle 58 (2007) 2, pp. 427-453
Persistent link: https://www.econbiz.de/10003439735
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Stock markets and real-time macroeconomic data
Hartmann, Daniel - 2007
Persistent link: https://www.econbiz.de/10003516924
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Testing volatility restrictions on intertemporal marginal rates of substitution implied by Euler equations and asset returns
Cecchetti, Stephen G.; Lam, Pok-sang; Mark, Nelson C. - 1992
Persistent link: https://www.econbiz.de/10000843094
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A representative agent asset pricing model with heterogeneous beliefs and recursive utility
Suzuki, Masataka - In: International review of economics & finance : IREF 45 (2016), pp. 298-315
Persistent link: https://www.econbiz.de/10011626381
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A hybrid joint moment ratio test for financial time series
Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998
. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …
Persistent link: https://www.econbiz.de/10011299968
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Envelope theorems in Banach lattices and asset pricing
Battauz, Anna; De Donno, Marzia; Ortu, Fulvio - In: Mathematics and financial economics 9 (2015) 4, pp. 303-323
Persistent link: https://www.econbiz.de/10011378102
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010411945
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010412428