Generalized spectral estimation of the consumption-based asset pricing model
From MaRDI portal
Publication:5952954
DOI10.1016/S0304-4076(01)00081-1zbMath0999.62093MaRDI QIDQ5952954
Publication date: 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15)
Related Items
SPECTRAL FINANCIAL ECONOMETRICS, Business-cycle consumption risk and asset prices, On the approximation of the Black and Scholes call function, SPECTRAL PROPERTIES OF ASSET PRICING MODELS: A GENERAL EQUILIBRIUM PERSPECTIVE
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Misspecified models with dependent observations
- A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
- Spectral based testing of the martingale hypothesis
- Seasonally and approximation errors in rational expectations models
- Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
- Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
- Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
- Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
- Band Spectrum Regression
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- The Role of Approximate Prior Restrictions in Distributed Lag Estimation
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
