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Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
8 references·16 citing·40 second hop
Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications (1989)Seminonparametric Estimation of Condition…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)The Role of Conditioning Info…The equity premium: A puzzle (1985)The equity premium: A puzzleStochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Community Preference Fields (1953)Community Preference FieldsConstrained Optimization Approaches to Estimation of Structural Models (2012)Constrained Optimization Appr…Measuring and Modeling Variation in the Risk-Return Trade-off (2010)Measuring and Modeling Variat…International asset allocation under regime switching, skew, and kurtosis preferences (2008)International asset allocatio…Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)Entropy densities with an app…The specification of conditional expectations (2001)The specification of conditio…Gram–Charlier densities (2001)Gram–Charlier densitiesNonparametric Risk Management and Implied Risk Aversion (2000)Nonparametric Risk Management…Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance (1999)Using Daily Range Data to Cal…Estimation of stochastic volatility models with diagnostics (1997)Estimation of stochastic vola…Diversification, Integration and Emerging Market Closed‐End Funds (1996)Diversification, Integration …An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications (1995)An Empirical Investigation of…Finite sample properties of the generalized method of moments in tests of conditional asset pricing models (1994)Finite sample properties of t…A contingent claim approach to performance evaluation (1994)A contingent claim approach t…No Arbitrage and Arbitrage Pricing: A New Approach (1993)No Arbitrage and Arbitrage Pr…Modeling asset returns with alternative stable distributions (1993)Modeling asset returns with a…Prediction in dynamic models with time-dependent conditional variances (1992)Prediction in dynamic models …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)On estimating the expected return on the market (1980)Predicting returns in the stock and bond markets (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Chapter 18 A survey of behavioral finance (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)Time-varying conditional covariances in tests of asset pricing models (1989)Distribution-free estimation of some nonlinear panel data models (1999)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)Common risk factors in the returns on stocks and bonds (1993)Macro variables and international stock return predictability (2004)The risk return tradeoff in the long run: 1836–2003 (2007)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Essays in the Theory of Risk-Bearing. (1972)ARCH modeling in finance (1992)Asset allocation under multivariate regime switching (2007)Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Econometric Measures of Systemic Risk in the Finance and Insurance Sectors (2010)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Asset Pricing with Stochastic Differential Utility (1992)Chapter 8 Micro data and general equilibrium models (1999)Exact Consumer's Surplus and Deadweight Loss (2008)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models980 cited
  • 1953Community Preference Fields734 cited

Cited by

  • 2010Measuring and Modeling Variation in the Risk-Return Trade-off424 cited
  • 2008International asset allocation under regime switching, skew, and kurtosis preferences400 cited
  • 1995An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications384 cited
  • 2001The specification of conditional expectations382 cited
  • 2012Constrained Optimization Approaches to Estimation of Structural Models366 cited
  • 1996Diversification, Integration and Emerging Market Closed‐End Funds363 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1994Finite sample properties of the generalized method of moments in tests of conditional asset pricing models346 cited
  • 1993Modeling asset returns with alternative stable distributions290 cited
  • 1997Estimation of stochastic volatility models with diagnostics287 cited
  • 1992Prediction in dynamic models with time-dependent conditional variances280 cited
  • 2000Nonparametric Risk Management and Implied Risk Aversion272 cited
  • 1999Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance267 cited
  • 2001Gram–Charlier densities265 cited
  • 1993No Arbitrage and Arbitrage Pricing: A New Approach264 cited
  • 2002Entropy densities with an application to autoregressive conditional skewness and kurtosis262 cited
  • 1994A contingent claim approach to performance evaluation255 cited