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An iterated GMM procedure for estimating the Campbell–Cochrane habit formation model, with an application to Danish Stock and bond returns
13 references·1 citing·37 second hop
An iterated GMM procedure for estimating the Campbell–Cochrane habit formation model, with an application to Danish Stock and bond returns (2009)An iterated GMM procedure for estimating …Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns (2009)Habit persistence: Explaining…Habit Formation, Surplus Consumption and Return Predictability: International Evidence (2009)Habit Formation, Surplus Cons…External Habit and the Cyclicality of Expected Stock Returns (2005)External Habit and the Cyclic…CONSUMPTION ASSET PRICING MODELS: EVIDENCE FROM THE UK* (2005)CONSUMPTION ASSET PRICING MOD…Consumption habit and international stock returns (2004)Consumption habit and interna…Triumph of the Optimists (2002)Triumph of the OptimistsMeasures of Fit for Rational Expectations Models (2002)Measures of Fit for Rational …By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…Econometric Evaluation of Asset Pricing Models (1995)Econometric Evaluation of Ass…Econometric Evaluation of Asset Pricing Models (1993)Econometric Evaluation of Ass…Seasonality and Consumption-Based Asset Pricing (1992)Seasonality and Consumption-B…The equity premium: A puzzle (1985)The equity premium: A puzzleEthical Dow Jones indexes and investment performance: international evidence (2016)Ethical Dow Jones indexes and…Common risk factors in the returns on stocks and bonds (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach (2009)Risk Aversion in the Small and in the Large (1964)Asset Prices in an Exchange Economy (1978)The Interaction Between Time-Nonseparable Preferences and Time Aggregation (1993)Relationship between Labor‐Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market (1998)Estimating Panel Models With Internal and External Habit Formation (2009)A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration (1989)Simulation and the Asymptotics of Optimization Estimators (1989)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)The importance of investor heterogeneity and financial market imperfections for the behavior of asset prices (1995)Conditioning Information and Variance Bounds on Pricing Kernels (2001)Uncertainty Outside and Inside Economic Models (2014)The arbitrage theory of capital asset pricing (1976)The Determinants of Capital Structure Choice (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Asset Pricing at the Millennium (2000)Efficiency and the Bear: Short Sales and Markets Around the World (2007)Shrinking the cross-section (2019)An Intertemporal Capital Asset Pricing Model (1973)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The Wealth-Consumption Ratio and the Consumption-Habit Ratio (2005)Illiquidity premium and expected stock returns in the UK: A new approach (2016)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Predictive regressions with time-varying coefficients (2012)Crises and Recoveries in an Empirical Model of Consumption Disasters (2013)Household Finance: An Emerging Field (2013)A Theory of Commodity Price Fluctuations (1996)Testing for mean-variance spanning: a survey (2001)Land of addicts? an empirical investigation of habit‐based asset pricing models (2009)
this work references cited by second hop

References

  • 1985The equity premium: A puzzle5,785 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1997Assessing Specification Errors in Stochastic Discount Factor Models768 cited
  • 2002Triumph of the Optimists659 cited
  • 1995Econometric Evaluation of Asset Pricing Models202 cited
  • 1992Seasonality and Consumption-Based Asset Pricing145 cited
  • 1993Econometric Evaluation of Asset Pricing Models43 cited
  • 2005External Habit and the Cyclicality of Expected Stock Returns41 cited
  • 2005CONSUMPTION ASSET PRICING MODELS: EVIDENCE FROM THE UK*34 cited
  • 2009Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns34 cited
  • 2004Consumption habit and international stock returns34 cited
  • 2009Habit Formation, Surplus Consumption and Return Predictability: International Evidence31 cited
  • 2002Measures of Fit for Rational Expectations Models27 cited

Cited by

  • 2016Ethical Dow Jones indexes and investment performance: international evidence18 cited

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