Implications of Return Predictability for Consumption Dynamics and Asset Pricing

DOI10.1080/07350015.2018.1527702MaRDI QIDQ6626329zbMATH OpenFDO

Authors Carlo A. Favero, Fulvio Ortu, A. Tamoni

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS
• Identifying long-run risks: a Bayesian mixed-frequency approach
• Long-Term Risk: An Operator Approach
• Rare disasters and asset markets in the twentieth century
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Taxes, Regulations, and the Value of U.S. and U.K. Corporations
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
• Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance

Cited in

(1)

• On horizon-consistent mean-variance portfolio allocation

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