Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution (Q921792): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/0304-4076(90)90097-d / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2016971820 / rank | |||
Normal rank |
Latest revision as of 10:01, 30 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution |
scientific article |
Statements
Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution (English)
0 references
1990
0 references
A strategy for efficient utilization of conditioning information is developed. The strategy is implemented empirically by the seminonparametric methodology [\textit{A. Gallant} and \textit{G. Tauchen}, Econometrica 57, No.5, 1091-1120 (1989; Zbl 0679.62096)] to estimate the conditional distribution of a vector of monthly asset payoffs. Conditional moments of asset payoffs are used to deduce volatility bounds on the intertemporal marginal rates of substitution (IMRS) implied by asset market data. The authors use fitted conditional distributions to calculate both conditional and unconditional standard deviation bounds for the IMRS, conditional on information available to economic agents. Empirical estimations of the conditional densities and the volatility bounds are reported, underlying data with a long time series (1926-1987) of 744 monthly observations on the ex post real returns on stocks and T-bills, and a time series (1959-1984) on ex post real returns on the same two assets together with consumption data. The authors consider conditioning as a better control for the impact of outlier events on the moments of the asset payoffs, and as a substitute of splitting a sample into subsamples.
0 references
conditioning information
0 references
seminonparametric methodology
0 references
conditional distribution
0 references
asset payoffs
0 references
Conditional moments
0 references
volatility bounds
0 references
intertemporal marginal rates of substitution
0 references
asset market data
0 references
deviation bounds
0 references
time series
0 references
outlier events
0 references
0 references
0 references
0 references
0 references
0 references