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Modeling the term structure of interest rates under non-separable utility and durability of goods
13 references·16 citing·36 second hop
Modeling the term structure of interest rates under non-separable utility and durability of goods (1986)Modeling the term structure of interest r…The equity premium: A puzzle (1985)The equity premium: A puzzleAn Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The information in the term structure (1984)The information in the term s…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …Time to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Re-Examination of Tradition…The Determinants of the Variability of Stock Market Prices (1980)The Determinants of the Varia…The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…Risk Preferences and the Macroeconomic Announcement Premium (2018)Risk Preferences and the Macr…Habit formation in consumption: A meta-analysis (2017)Habit formation in consumptio…Durability of Output and Expected Stock Returns (2009)Durability of Output and Expe…The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk (2006)The Cross-Section of Foreign …Consumption-Based Asset Pricing (2002)Consumption-Based Asset Prici…Habit Formation in Consumer Preferences: Evidence from Panel Data (2000)Habit Formation in Consumer P…Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Continuous‐Time Methods in Fi…Incomplete asset markets and the cross-country consumption correlation puzzle (1996)Incomplete asset markets and …The Interaction Between Time-Nonseparable Preferences and Time Aggregation (1993)The Interaction Between Time-…Asset‐pricing Puzzles and Incomplete Markets (1993)Asset‐pricing Puzzles and Inc…Accounting for Forward Rates in Markets for Foreign Currency (1993)Accounting for Forward Rates …Intertemporal dependence, impatience, and dynamics (1990)Intertemporal dependence, imp…Risk premiums in the term structure (1989)Risk premiums in the term str…Some tests of international equity integration (1988)Some tests of international e…Some Empirical Evidence on the Production Level and Production Cost Smoothing Models of Inventory Investment (1988)Some Empirical Evidence on th…Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy (1986)Equilibrium Interest Rates an…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)MONEY, INCOME, AND CAUSALITY (1972)Does the Stock Market Overreact? 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(1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)Aggregate Dynamics and Staggered Contracts (1980)Macroeconomics and Reality (1980)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Production, growth and business cycles (1988)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Noise Trader Risk in Financial Markets (1990)The Adaptive Markets Hypothesis (2004)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 1984The information in the term structure659 cited
  • 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
  • 1980The Determinants of the Variability of Stock Market Prices511 cited

Cited by

  • 2000Habit Formation in Consumer Preferences: Evidence from Panel Data465 cited
  • 1993Asset‐pricing Puzzles and Incomplete Markets

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314 cited
  • 2006The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk265 cited
  • 1986Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy263 cited
  • 2002Consumption-Based Asset Pricing239 cited
  • 1989Risk premiums in the term structure239 cited
  • 1990Intertemporal dependence, impatience, and dynamics232 cited
  • 2018Risk Preferences and the Macroeconomic Announcement Premium228 cited
  • 1993The Interaction Between Time-Nonseparable Preferences and Time Aggregation228 cited
  • 1988Some tests of international equity integration214 cited
  • 1993Accounting for Forward Rates in Markets for Foreign Currency208 cited
  • 2009Durability of Output and Expected Stock Returns200 cited
  • 2000Continuous‐Time Methods in Finance: A Review and an Assessment199 cited
  • 2017Habit formation in consumption: A meta-analysis190 cited
  • 1996Incomplete asset markets and the cross-country consumption correlation puzzle178 cited
  • 1988Some Empirical Evidence on the Production Level and Production Cost Smoothing Models of Inventory Investment168 cited