Implications of Return Predictability for Consumption Dynamics and Asset Pricing

DOI10.1080/07350015.2018.1527702zbMATH Open1547.62714MaRDI QIDQ6626329FDOQ6626329

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

• Title not available (Why is that?)
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Rare disasters and asset markets in the twentieth century
• Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance
• Long-Term Risk: An Operator Approach
• Taxes, Regulations, and the Value of U.S. and U.K. Corporations
• Identifying long-run risks: a Bayesian mixed-frequency approach
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
• EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS

Cited In (1)

• On horizon-consistent mean-variance portfolio allocation

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