Article1989

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

Abstract

A. Ronald Gallant, George Tauchen, Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications, Econometrica, Vol. 57, No. 5 (Sep., 1989), pp. 1091-1120

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1985The equity premium: A puzzle 1988A Capital Asset Pricing Model with Time-Varying Covariances 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities 1990Habit Formation: A Resolution of the Equity Premium Puzzle 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models 1953Community Preference Fields

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