Department of Economics, Ohio State University and NBER; Department of Economics, Ohio State University; and Department of Economics, Ohio State University, respectively. We thank James Bodurtha, In Choi, John Campbell, John Cochrane, Benjamin Friedman, Lars Hansen, John Heaton, Edward Kane, Leonard Santow, Robert Stambaugh, Alan Viard, an anonymous referee, the participants at the NBER Asset Pricing Program Meeting and the seminars at Ohio State, Indiana, and Princeton for helpful comments and suggestions. Cecchetti thanks the National Science Foundation for financial support.
Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns
Article first published online: 30 APR 2012
1994 The American Finance Association
The Journal of Finance
Volume 49, Issue 1, pages 123–152, March 1994
How to Cite
CECCHETTI, S. G., LAM, P.-S. and MARK, N. C. (1994), Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns. The Journal of Finance, 49: 123–152. doi: 10.1111/j.1540-6261.1994.tb04423.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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