Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

DOI10.1016/0304-4076(90)90097-DzbMath0709.62103OpenAlexW2016971820MaRDI QIDQ921792

Lars Peter Hansen, George Tauchen, A. Ronald Gallant

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(90)90097-d

zbMATH Keywords

time seriesconditional distributiondeviation boundsasset market dataasset payoffsConditional momentsconditioning informationintertemporal marginal rates of substitutionoutlier eventsseminonparametric methodologyvolatility bounds

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Statistical methods; economic indices and measures (91B82)

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