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There are 11931 results for: content related to: An estimation of economic models with recursive preferences

  1. Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns

    The Journal of Finance

    Volume 57, Issue 1, February 2002, Pages: 369–403, Robert F. Dittmar

    Article first published online : 17 DEC 2002, DOI: 10.1111/1540-6261.00425

  2. Risk Premia and Variance Bounds

    The Journal of Finance

    Volume 52, Issue 5, December 1997, Pages: 1913–1949, PIERLUIGI BALDUZZI and HÉDI KALLAL

    Article first published online : 18 APR 2012, DOI: 10.1111/j.1540-6261.1997.tb02746.x

  3. Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth

    Econometrica

    Volume 73, Issue 6, November 2005, Pages: 1977–2016, Fernando Alvarez and Urban J. Jermann

    Article first published online : 11 OCT 2005, DOI: 10.1111/j.1468-0262.2005.00643.x

  4. No Arbitrage and Arbitrage Pricing: A New Approach

    The Journal of Finance

    Volume 48, Issue 4, September 1993, Pages: 1231–1262, RAVI BANSAL and S. VISWANATHAN

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb04753.x

  5. A New Approach to International Arbitrage Pricing

    The Journal of Finance

    Volume 48, Issue 5, December 1993, Pages: 1719–1747, RAVI BANSAL, DAVID A. HSIEH and S. VISWANATHAN

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb05126.x

  6. Viewpoint: Option prices, preferences, and state variables

    Canadian Journal of Economics/Revue canadienne d'économique

    Volume 38, Issue 1, February 2005, Pages: 1–27, René Garcia, Richard Luger and Éric Renault

    Article first published online : 26 JAN 2005, DOI: 10.1111/j.0008-4085.2005.00266.x

  7. The Distribution of Uncertainty: Evidence from the VIX Options Market

    Journal of Futures Markets

    Volume 35, Issue 7, July 2015, Pages: 597–624, Clemens Völkert

    Article first published online : 15 MAY 2014, DOI: 10.1002/fut.21673

  8. An Approach to the Option Market Model Based on End-User Net Demand

    Journal of Futures Markets

    Volume 35, Issue 5, May 2015, Pages: 476–503, Hiroshi Sasaki

    Article first published online : 24 MAR 2014, DOI: 10.1002/fut.21672

  9. Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset

    International Review of Finance

    Volume 8, Issue 3-4, September/December 2008, Pages: 125–157, GEOFFREY J. WARREN

    Article first published online : 27 NOV 2008, DOI: 10.1111/j.1468-2443.2008.00079.x

  10. Bond Pricing with a Time-Varying Price of Risk in an Estimated Medium-Scale Bayesian DSGE Model

    Journal of Money, Credit and Banking

    Volume 46, Issue 5, August 2014, Pages: 837–888, IAN DEW-BECKER

    Article first published online : 24 JUL 2014, DOI: 10.1111/jmcb.12130

  11. EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION

    Mathematical Finance

    Volume 22, Issue 3, July 2012, Pages: 538–568, Jin E. Zhang, Huimin Zhao and Eric C. Chang

    Article first published online : 5 DEC 2010, DOI: 10.1111/j.1467-9965.2010.00468.x

  12. GREED, LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE

    Mathematical Finance

    Volume 23, Issue 1, January 2013, Pages: 122–142, Hanqing Jin and Xun Yu Zhou

    Article first published online : 15 JUN 2011, DOI: 10.1111/j.1467-9965.2011.00490.x

  13. Asset-pricing Puzzles and Incomplete Markets

    The Journal of Finance

    Volume 48, Issue 5, December 1993, Pages: 1803–1832, CHRIS I. TELMER

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb05129.x

  14. State Prices of Conditional Quantiles: New Evidence on Time Variation in the Pricing Kernel

    Journal of Applied Econometrics

    Konstantinos Metaxoglou and Aaron Smith

    Article first published online : 1 MAR 2016, DOI: 10.1002/jae.2515

  15. Idiosyncratic Consumption Risk and the Cross Section of Asset Returns

    The Journal of Finance

    Volume 59, Issue 5, October 2004, Pages: 2211–2252, KRIS JACOBS and KEVIN Q. WANG

    Article first published online : 27 NOV 2005, DOI: 10.1111/j.1540-6261.2004.00697.x

  16. Estimation and Evaluation of Conditional Asset Pricing Models

    The Journal of Finance

    Volume 66, Issue 3, June 2011, Pages: 873–909, STEFAN NAGEL and KENNETH J. SINGLETON

    Article first published online : 23 MAY 2011, DOI: 10.1111/j.1540-6261.2011.01654.x

  17. Sources of Entropy in Representative Agent Models

    The Journal of Finance

    Volume 69, Issue 1, February 2014, Pages: 51–99, DAVID BACKUS, MIKHAIL CHERNOV and STANLEY ZIN

    Article first published online : 7 JAN 2014, DOI: 10.1111/jofi.12090

  18. An Empirical Test of Pricing Kernel Monotonicity

    Journal of Applied Econometrics

    Volume 31, Issue 2, March 2016, Pages: 338–356, Brendan K. Beare and Lawrence D. W. Schmidt

    Article first published online : 10 OCT 2014, DOI: 10.1002/jae.2422

  19. Implied Pricing Kernels: An Alternative Approach for Option Valuation

    Journal of Futures Markets

    Volume 35, Issue 2, February 2015, Pages: 127–147, Doojin Ryu, Jangkoo Kang and Sangwon Suh

    Article first published online : 8 APR 2013, DOI: 10.1002/fut.21618

  20. Temptation and Self-Control: Some Evidence and Applications

    Journal of Money, Credit and Banking

    Volume 47, Issue 4, June 2015, Pages: 581–615, KEVIN X.D. HUANG, ZHENG LIU and JOHN QI ZHU

    Article first published online : 28 MAY 2015, DOI: 10.1111/jmcb.12222