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Substitution, Risk Aversion, Taste Shocks and Equity Premia
Michel Normandin; Pascal St-Amour
Journal of Applied Econometrics, Vol. 13, No. 3. (May - Jun., 1998), pp. 265-281.
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[Footnotes]
1
Currency and Credit in a Private Information Economy
Robert M. Townsend
The Journal of Political Economy, Vol. 97, No. 6. (Dec., 1989), pp. 1323-1344.
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2
Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
Lars Peter Hansen; Kenneth J. Singleton
The Journal of Political Economy, Vol. 91, No. 2. (Apr., 1983), pp. 249-265.
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Shaghil Ahmed; Barry W. Ickes; Ping Wang; Byung Sam Yoo
The American Economic Review, Vol. 83, No. 3. (Jun., 1993), pp. 335-359.
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On Efficient Distribution with Private Information
Andrew Atkeson; Robert E. Lucas, Jr
The Review of Economic Studies, Vol. 59, No. 3. (Jul., 1992), pp. 427-453.
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An Econometric Study of Hours and Output Variation with Preference Shocks
Valerie R. Bencivenga
International Economic Review, Vol. 33, No. 2. (May, 1992), pp. 449-471.
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Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion?
M. Bonomo; R. Garcia
Journal of Applied Econometrics, Vol. 9, No. 1. (Jan. - Mar., 1994), pp. 19-29.
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Empirical Test of the Consumption-Oriented CAPM
Douglas T. Breeden; Michael R. Gibbons; Robert H. Litzenberger
The Journal of Finance, Vol. 44, No. 2. (Jun., 1989), pp. 231-262.
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Mean Reversion in Equilibrium Asset Prices
Stephen G. Cecchetti; Pok-Sang Lam; Nelson C. Mark
The American Economic Review, Vol. 80, No. 3. (Jun., 1990), pp. 398-418.
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Habit Formation: A Resolution of the Equity Premium Puzzle
George M. Constantinides
The Journal of Political Economy, Vol. 98, No. 3. (Jun., 1990), pp. 519-543.
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The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model
Francis X. Diebold; Marc Nerlove
Journal of Applied Econometrics, Vol. 4, No. 1. (Jan. - Mar., 1989), pp. 1-21.
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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns:
A Theoretical Framework
Larry G. Epstein; Stanley E. Zin
Econometrica, Vol. 57, No. 4. (Jul., 1989), pp. 937-969.
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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns:
An Empirical Analysis
Larry G. Epstein; Stanley E. Zin
The Journal of Political Economy, Vol. 99, No. 2. (Apr., 1991), pp. 263-286.
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Permanent and Temporary Components of Stock Prices
Eugene F. Fama; Kenneth R. French
The Journal of Political Economy, Vol. 96, No. 2. (Apr., 1988), pp. 246-273.
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Estimating the Continuous-Time Consumption-Based Asset-Pricing Model
S. J. Grossman; A. Melino; R. J. Shiller
Journal of Business & Economic Statistics, Vol. 5, No. 3. (Jul., 1987), pp. 315-327.
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Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
Lars Peter Hansen; Kenneth J. Singleton
The Journal of Political Economy, Vol. 91, No. 2. (Apr., 1983), pp. 249-265.
Stable URL:
http://links.jstor.org/sici?sici=0022-3808%28198304%2991%3A2%3C249%3ASCRAAT%3E2.0.CO%3B2-1
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The Interaction Between Time-Nonseparable Preferences and Time Aggregation
John Heaton
Econometrica, Vol. 61, No. 2. (Mar., 1993), pp. 353-385.
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An Empirical Investigation of Asset Pricing with Temporally Dependent Preference
Specifications
John Heaton
Econometrica, Vol. 63, No. 3. (May, 1995), pp. 681-717.
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Volatility and Links between National Stock Markets
Mervyn King; Enrique Sentana; Sushil Wadhwani
Econometrica, Vol. 62, No. 4. (Jul., 1994), pp. 901-933.
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The Equity Premium: It's Still a Puzzle
Narayana R. Kocherlakota
Journal of Economic Literature, Vol. 34, No. 1. (Mar., 1996), pp. 42-71.
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Time to Build and Aggregate Fluctuations
Finn E. Kydland; Edward C. Prescott
Econometrica, Vol. 50, No. 6. (Nov., 1982), pp. 1345-1370.
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Asset Prices in an Exchange Economy
Robert E. Lucas, Jr.
Econometrica, Vol. 46, No. 6. (Nov., 1978), pp. 1429-1445.
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An Intertemporal Capital Asset Pricing Model
Robert C. Merton
Econometrica, Vol. 41, No. 5. (Sep., 1973), pp. 867-887.
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Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption
Jeffrey A. Miron
The Journal of Political Economy, Vol. 94, No. 6. (Dec., 1986), pp. 1258-1279.
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Tastes and Technology in a Two-Country Model of the Business Cycle: Explaining
International Comovements
Alan C. Stockman; Linda L. Tesar
The American Economic Review, Vol. 85, No. 1. (Mar., 1995), pp. 168-185.
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Asset-Pricing Puzzles and Incomplete Markets
Chris I. Telmer
The Journal of Finance, Vol. 48, No. 5. (Dec., 1993), pp. 1803-1832.
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Currency and Credit in a Private Information Economy
Robert M. Townsend
The Journal of Political Economy, Vol. 97, No. 6. (Dec., 1989), pp. 1323-1344.
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Nonexpected Utility in Macroeconomics
Philippe Weil
The Quarterly Journal of Economics, Vol. 105, No. 1. (Feb., 1990), pp. 29-42.
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