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The price augmented risk premium, theory and application

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  • Marco G. Ercolani

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File URL: http://www.essex.ac.uk/economics/discussion-papers/papers-text/dp510.pdf
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Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 510.

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Date of creation: 2000
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Handle: RePEc:esx:essedp:510

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Postal: Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.
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  1. Karni, Edi, 1979. "On Multivariate Risk Aversion," Econometrica, Econometric Society, vol. 47(6), pages 1391-1401, November.
  2. Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-26, June.
  3. Choi, E. Kwan & Menezes, Carmen F., 1985. "On the Magnitude of Relative Risk Aversion," Staff General Research Papers 10604, Iowa State University, Department of Economics.
  4. Kihlstrom, Richard E. & Mirman, Leonard J., 1974. "Risk aversion with many commodities," Journal of Economic Theory, Elsevier, vol. 8(3), pages 361-388, July.
  5. Phillips, Peter C B & Hansen, Bruce E, 1990. "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, Wiley Blackwell, vol. 57(1), pages 99-125, January.
  6. Siegel, Frederick W & Hoban, James P, Jr, 1982. "Relative Risk Aversion Revisited," The Review of Economics and Statistics, MIT Press, vol. 64(3), pages 481-87, August.
  7. Anderson, Gordon & Blundell, Richard, 1983. "Testing Restrictions in a Flexible Dynamic Demand System: An Application to Consumers' Expenditure in Canada," Review of Economic Studies, Wiley Blackwell, vol. 50(3), pages 397-410, July.
  8. Duncan, George T, 1977. "A Matrix Measure of Multivariate Local Risk Aversion," Econometrica, Econometric Society, vol. 45(4), pages 895-903, May.
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