GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets
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- Ghysels, Eric & Hall, Alastair, 1990. "Are consumption-based intertemporal capital asset pricing models structural?," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 121-139.
- Gregory, Allan W & Veall, Michael R, 1985. "Formulating Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 53(6), pages 1465-68, November.
- Bulkley, George & Tonks, Ian, 1989. "Are U.K. Stock Prices Excessively Volatile? Trading Rules and Variance Bounds Tests," Economic Journal, Royal Economic Society, vol. 99(398), pages 1083-98, December.
- Hamori, Shigeyuki, 1993. "Test of the international equity integration of Japan," Economics Letters, Elsevier, vol. 42(1), pages 71-76.
- K. Newey, Whitney, 1985. "Generalized method of moments specification testing," Journal of Econometrics, Elsevier, vol. 29(3), pages 229-256, September.
- Hamori, Shigeyuki, 1992. "Test of C-CAPM for Japan: 1980-1988," Economics Letters, Elsevier, vol. 38(1), pages 67-72, January.
- Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
- Braun, Phillip A. & Constantinides, George M. & Ferson, Wayne E., 1993.
"Time nonseparability in aggregate consumption : International evidence,"
European Economic Review,
Elsevier, vol. 37(5), pages 897-920, June.
- Phillip A. Braun & George M. Constantinides & Wayne E. Ferson, 1992. "Time Nonseparability in Aggregate Consumption: International Evidence," NBER Working Papers 4104, National Bureau of Economic Research, Inc.
- J. Bradford De Long & Marco Becht, 1992. ""Excess Volatility" and the German Stock Market, 1876-1990," NBER Working Papers 4054, National Bureau of Economic Research, Inc.
- Hamori, Shigeyuki, 1992. "On the structural stability of preference parameters obtained from Japanese financial market data," Economics Letters, Elsevier, vol. 40(4), pages 459-464, December.
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