Code and data files for "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models"
AbstractCode and data to replicate the results of the article.
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Bibliographic InfoSoftware component provided by Review of Economic Dynamics in its series Computer Codes with number 10-230.
Programming language: Matlab
Date of creation: 2012
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Postal: Review of Economic Dynamics Academic Press Editorial Office 525 "B" Street, Suite 1900 San Diego, CA 92101
Web page: http://www.EconomicDynamics.org/review.htm
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Other versions of this item:
- Jianfeng Yu, 2012. "Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 317-335, October.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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