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Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors
16 references·16 citing·38 second hopsampled
Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors (1997)Efficient Estimation of Linear Asset Pric…An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications (1995)An Empirical Investigation of…Stochastic Differential Utility (1992)Stochastic Differential Utili…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …The real term structure and consumption growth (1988)The real term structure and c…THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE (1988)THE EQUITY PREMIUM PUZZLE AND…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Modeling the term structure of interest rates under non-separable utility and durability of goods (1986)Modeling the term structure o…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …What do Economists Know? An Empirical Study of Experts' Expectations (1981)What do Economists Know? 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(2005)Presidential Address: Discount Rates (2011)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis1,703 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1981Intertemporal Substitution in Consumption1,397 cited
  • 1988THE EQUITY PREMIUM PUZZLE AND THE RISK-FREE RATE PUZZLE1,378 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1988The real term structure and consumption growth703 cited
  • 1960Note on the Correlation of First Differences of Averages in a Random Chain406 cited
  • 1995An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications384 cited

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1981
What do Economists Know? An Empirical Study of Experts' Expectations
299 cited
  • 1986Modeling the term structure of interest rates under non-separable utility and durability of goods298 cited
  • Cited by

    • 2003Estimating Euler equations162 cited
    • 2014Nobel Lecture: Uncertainty Outside and Inside Economic Models152 cited
    • 2007Chapter 61 Intertemporal Substitution and Risk Aversion107 cited
    • 2004Asset Returns and State-Dependent Risk Preferences79 cited
    • 2017Idiosyncratic Risk in Housing Markets79 cited
    • 2009The Production of Bachelor's Degrees and Financial Aspects of State Higher Education Policy: A Dynamic Analysis77 cited
    • 2003ARMA representation of integrated and realized variances73 cited
    • 2001Risk Aversion Versus Intertemporal Substitution67 cited
    • 2010Estimation and Evaluation of Conditional Asset Pricing Models57 cited
    • 1998Intertemporal substitution and durable goods: long-run data40 cited
    • 2001Optimal instrumental variables estimation for ARMA models36 cited
    • 2001Generalized spectral estimation of the consumption-based asset pricing model31 cited
    • 2002EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY31 cited
    • 2006Factor Stochastic Volatility in Mean Models: A GMM Approach29 cited
    • 2020Robust identification of investor beliefs28 cited
    • 2014Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment28 cited