Estimating a Continuous-Time Asset Pricing Model with State-Dependent Risk Aversion
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- Pascal St-Amour & Stephen Gordon, 2000.
"A Preference Regime Model of Bull and Bear Markets,"
American Economic Review, American Economic Association, vol. 90(4), pages 1019-1033, September.
- Gordon, Stephen & St-Amour, Pascal, 1999. "A Preference Regime Model of Bull and Bear Markets," Cahiers de recherche 9906, Université Laval - Département d'économique.
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KeywordsAsset pricing models; Bayesian analysis; continuous-time econometric models; data augmentation; equity premium puzzle; Markov-Chain Monte-Carlo; risk aversion; state-dependent preferences;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-MIC-1998-05-25 (Microeconomics)
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