Generalized spectral estimation of the consumption-based asset pricing model

DOI10.1016/S0304-4076(01)00081-1MaRDI QIDQ5952954zbMATH OpenFDO

Authors Jeremy Berkowitz

Publication date 2001

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

Full work available at URL https://doi.org/10.1016/S0304-4076(01)00081-1

zbMATH Keywords

frequency domainmisspecificationrational expectations

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

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Cites work

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Cited in

(6)

• On the approximation of the Black and Scholes call function
• Generalized aggregation of misspecified models: with an application to asset pricing
• SPECTRAL FINANCIAL ECONOMETRICS
• SPECTRAL PROPERTIES OF ASSET PRICING MODELS: A GENERAL EQUILIBRIUM PERSPECTIVE
• Estimating C-CAPM and the equity premium over the frequency domain
• Business-cycle consumption risk and asset prices

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