Asset Prices with Contingent Preferences
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References listed on IDEAS
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- Don Harding & Adrian Pagan, 1999. "Knowing the Cycle," Melbourne Institute Working Paper Series wp1999n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
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More about this item
KeywordsAsset pricing models; Bayesian analysis; excess volatility; exact likelihood estimation of diffusion processes; Markov chain; regime switching; risk aversion; state-dependent preferences;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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