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Econometric Evaluation of Asset Pricing Models
16 references·5 citing·47 second hop
Econometric Evaluation of Asset Pricing Models (1993)Econometric Evaluation of Asset Pricing M…An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications (1995)An Empirical Investigation of…Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models (1994)Hansen-Jagannathan Bounds as …Using Generalized Method of Moments to Test Mean-Variance Efficiency (1991)Using Generalized Method of M…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Simulation estimation of time-series models (1991)Simulation estimation of time…Diagnosing Asset Pricing Models Using the Distribution of Asset Returns (1991)Diagnosing Asset Pricing Mode…Simulated Moments Estimation of Markov Models of Asset Prices (1990)Simulated Moments Estimation …Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Simulation and the Asymptotics of Optimization Estimators (1989)Simulation and the Asymptotic…A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration (1989)A Method of Simulated Moments…Multivariate proxies and asset pricing relations (1987)Multivariate proxies and asse…Valuation of Risky Assets in Arbitrage Free Economies with Frictions (1986)Valuation of Risky Assets in …A Simple Econometric Approach for Utility-Based Asset Pricing Models (1985)A Simple Econometric Approach…Arbitrage and equilibrium in economies with infinitely many commodities (1981)Arbitrage and equilibrium in …Core and Equilibria of a Large Economy. (1975)Core and Equilibria of a Larg…Economic equilibrium with costly marketing (1970)Economic equilibrium with cos…Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators (2009)Assessing Misspecified Asset …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…Stochastic Discount Factor Bounds with Conditioning Information (2002)Stochastic Discount Factor Bo…Conditioning Information and Variance Bounds on Pricing Kernels (2001)Conditioning Information and …Does Money Explain Asset Returns? Theory and Empirical Analysis (1996)Does Money Explain Asset Retu…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The equity premium: A puzzle (1985)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)The Spirit of Capitalism and Stock-Market Prices (1996)Robust Permanent Income and Pricing (1999)Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices (2002)An Intertemporal Capital Asset Pricing Model (1973)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Optimal Investment, Growth Options, and Security Returns (1998)The Economics and Psychology of Personality Traits (2008)Expected Stock Returns and Variance Risk Premia (2009)Patents as Options: Some Estimates of the Value of Holding European Patent Stocks (1984)Automobile Prices in Market Equilibrium (1995)Discrete Choice Methods with Simulation (2001)The Impact of Uncertainty Shocks (2009)Formulating and estimating dynamic linear rational expectations models (1980)Time to Build and Aggregate Fluctuations (1982)Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models (1983)The Equity Premium and the Risk Free Rate: Matching the Moments (1991)Multifractality in Asset Returns: Theory and Evidence (2002)Structural stochastic volatility in asset pricing dynamics: Estimation and model contest (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Asset Pricing in Economies with Frictions (1996)Portfolio Performance Measurement: Theory and Applications (1996)Do Markets Favor Agents able to Make Accurate Predictions? 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References

  • 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis1,703 cited
  • 1989A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration1,641 cited
  • 1989Simulation and the Asymptotics of Optimization Estimators1,496 cited
  • 1975Core and Equilibria of a Large Economy.1,195 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1990Simulated Moments Estimation of Markov Models of Asset Prices617 cited
  • 1981Arbitrage and equilibrium in economies with infinitely many commodities537 cited
  • 1991Simulation estimation of time-series models395 cited
  • 1995An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications384 cited
  • 1991Using Generalized Method of Moments to Test Mean-Variance Efficiency306 cited
  • 1987Multivariate proxies and asset pricing relations221 cited
  • 1970Economic equilibrium with costly marketing152 cited
  • 1985A Simple Econometric Approach for Utility-Based Asset Pricing Models129 cited
  • 1991Diagnosing Asset Pricing Models Using the Distribution of Asset Returns109 cited
  • 1986Valuation of Risky Assets in Arbitrage Free Economies with Frictions

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78 cited
  • 1994Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing Models76 cited
  • Cited by

    • 2001Conditioning Information and Variance Bounds on Pricing Kernels39 cited
    • 1996Does Money Explain Asset Returns? Theory and Empirical Analysis35 cited
    • 2002Stochastic Discount Factor Bounds with Conditioning Information31 cited
    • 2009An iterated GMM procedure for estimating the Campbell–Cochrane habit formation model, with an application to Danish Stock and bond returns26 cited
    • 2009Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators26 cited