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Citations for "Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth"

by Sundaresan, Suresh M

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  1. Sibert, Anne, 1996. "Unconventional preferences: do they explain foreign exchange risk premia?," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 149-165, February.
  2. Jessica A. Wachter, 2005. "Solving Models with External Habit," NBER Working Papers 11559, National Bureau of Economic Research, Inc.
  3. J. Benjamin & P. Chinloy, 2008. "Home Equity, Household Savings and Consumption," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 21-32, July.
  4. Lior Menzly & Tano Santos & Pietro Veronesi, 2002. "The Time Series of the Cross Section of Asset Prices," NBER Working Papers 9217, National Bureau of Economic Research, Inc.
  5. John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.
  6. Bank, Peter & Riedel, Frank, 1999. "Optimal consumption choice under uncertainty with intertemporal substitution," SFB 373 Discussion Papers 1999,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  7. Douch, Mohamed, 2004. "Equity Premiums In Small Open Economy," MPRA Paper 14613, University Library of Munich, Germany.
  8. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9, April.
  9. Adam Szeidl & Raj Chetty, 2005. "Consumption Commitments: Neoclassical Foundations for Habit Formation," 2005 Meeting Papers 122, Society for Economic Dynamics.
  10. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
  11. Christopher Otrok & B. Ravikumar & Charles H. Whiteman, 2000. "Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation," Virginia Economics Online Papers 350, University of Virginia, Department of Economics.
  12. Takashi Kano & James M. Nason, 2010. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Models," CAMA Working Papers 2010-31, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  13. Ricardo M. Sousa, 2005. "Consumption, (Dis) Aggregate Wealth and Asset Returns," NIPE Working Papers 9/2005, NIPE - Universidade do Minho.
  14. A. Abel, 2010. "Asset prices under habit formation and catching up with the Jones," Levine's Working Paper Archive 1395, David K. Levine.
  15. Dai, R., 2010. "Essays on pension finance and dynamic asset allocation," Other publications TiSEM 72fdbf1a-5a77-410d-bb4e-9, Tilburg University, School of Economics and Management.
  16. Li, Yuming, 2001. "Expected Returns and Habit Persistence," Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 861-899.
  17. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 2000. "Habit persistence, asset returns and the business cycle," Staff Report 280, Federal Reserve Bank of Minneapolis.
  18. Sergio Rebelo, 2005. "Real Business Cycle Models: Past, Present, and Future," NBER Working Papers 11401, National Bureau of Economic Research, Inc.
  19. Mark J. HOLMES & Xin SHEN, 2015. "On Wealth Volatility, Asymmetries And The Average Propensity To Consume In The United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 15(1), pages 69-78.
  20. Bodie, Zvi & Detemple, Jerome B. & Otruba, Susanne & Walter, Stephan, 2004. "Optimal consumption-portfolio choices and retirement planning," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1115-1148, March.
  21. Nicholas BARBERIS & Ming HUANG & Tano SANTOS, 2000. "Prospect Theory and Asset Prices," FAME Research Paper Series rp16, International Center for Financial Asset Management and Engineering.
  22. Guglielmo Maria Caporale & Ricardo M. Souza, 2011. "Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets," Discussion Papers of DIW Berlin 1159, DIW Berlin, German Institute for Economic Research.
  23. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc.
  24. Lars Peter Hansen, 2014. "Nobel Lecture: Uncertainty Outside and Inside Economic Models," Journal of Political Economy, University of Chicago Press, vol. 122(5), pages 945-987.
  25. Backus, David & Chernov, Mikhail & Zin, Stanley E., 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers 8488, C.E.P.R. Discussion Papers.
  26. Stephane Auray & Fabrice Collard & Patrick Feve, 2005. "Habit Persistence, Money Growth Rule and Real Indeterminacy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(1), pages 48-67, January.
  27. repec:eme:qrfmpp:v:3:y:2011:i:2:p:36-67 is not listed on IDEAS
  28. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
  29. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S," NIPE Working Papers 21/2011, NIPE - Universidade do Minho.
  30. Ramchand, Latha, 1999. "Asset pricing in open economies with incomplete markets: implications for foreign currency returns," Journal of International Money and Finance, Elsevier, vol. 18(6), pages 871-890, December.
  31. Wayne E. Ferson & George M. Constantinides, 1991. "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests," NBER Working Papers 3631, National Bureau of Economic Research, Inc.
  32. Ricardo M. Sousa, 2009. "Wealth Effetcs on Consumption: Evidence from the euro area," NIPE Working Papers 12/2009, NIPE - Universidade do Minho.
  33. Lars Peter Hansen & John Heaton & Nan Li, 2005. "Consumption Strikes Back?: Measuring Long-Run Risk," NBER Working Papers 11476, National Bureau of Economic Research, Inc.
  34. Holmes, Mark J. & Shen, Xin, 2013. "A note on the average propensity to consume, wealth and threshold adjustment," Economic Modelling, Elsevier, vol. 35(C), pages 309-313.
  35. John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
  36. Mitra, Tapan & Nishimura, Kazuo, 2002. "Intertemporal Complementarity and Optimality: A Study of a Two-Dimensional Dynamical System," Working Papers 02-06, Cornell University, Center for Analytic Economics.
  37. Irina Khvostova & Alexander Larin & Anna Novak, 2014. "Euler equation with habits and measurement errors: estimates on Russian micro data," HSE Working papers WP BRP 52/EC/2014, National Research University Higher School of Economics.
  38. Lars Peter Hansen & Thomas J. Sargent & Thomas D. Tallarini Jr., 1997. "Robust Permanent Income and Pricing," Levine's Working Paper Archive 596, David K. Levine.
  39. Claude Bergeron, 2013. "Dividend growth, stock valuation, and long-run risk," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(4), pages 547-559, October.
  40. Jens Larsen & Ben May & James Talbot, 2003. "Estimating real interest rates for the United Kingdom," Bank of England working papers 200, Bank of England.
  41. Yeung Lewis Chan & Leonid Kogan, 2001. "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," NBER Working Papers 8607, National Bureau of Economic Research, Inc.
  42. Peter Bank & Frank Riedel, 1998. "Non-Time Additive Utility Optimization - the Case of Certainty," GE, Growth, Math methods 9811002, EconWPA.
  43. Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 147-163.
  44. Santos, Tano & Veronesi, Pietro, 2010. "Habit formation, the cross section of stock returns and the cash-flow risk puzzle," Journal of Financial Economics, Elsevier, vol. 98(2), pages 385-413, November.
  45. Riedel, Frank, 2011. "Optimal consumption choice with intolerance for declining standard of living," Center for Mathematical Economics Working Papers 394, Center for Mathematical Economics, Bielefeld University.
  46. Roman Naryshkin & Matt Davison, 2009. "Utility Function and Optimum Consumption in the models with Habit Formation and Catching up with the Joneses," Papers 0909.3655, arXiv.org.
  47. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2004. "Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans," LSE Research Online Documents on Economics 24831, London School of Economics and Political Science, LSE Library.
  48. Kraft, Holger & Munk, Claus & Seifried, Frank Thomas & Wagner, Sebastian, 2013. "Consumption habits and humps," SAFE Working Paper Series 15, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  49. Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
  50. Jérôme B. Detemple & Christos I. Giannikos, 1995. "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers 95s-47, CIRANO.
  51. Francisco J. Gomes & Alexander Michaelides, 2003. "Portfolio choice with internal habit formation : a life-cycle model with uninsurable labor income risk," LSE Research Online Documents on Economics 196, London School of Economics and Political Science, LSE Library.
  52. Xiaohong Chen & Sydney C. Ludvigson, 2009. "Land of addicts? an empirical investigation of habit-based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1057-1093.
  53. Jacobs, Kris & Pallage, Stéphane & Robe, Michel A., 2013. "Market incompleteness and the equity premium puzzle: Evidence from state-level data," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 378-388.
  54. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
  55. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
  56. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
  57. Pascal St-Amour, 2005. "Direct Preference Wealth in Aggregate Household Portfolios," FAME Research Paper Series rp136, International Center for Financial Asset Management and Engineering.
  58. Antonio Falato, 2003. "Happiness Maintenance and Asset Prices," Finance 0310003, EconWPA.
  59. Pascal St-Amour, 2004. "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers 2004s-11, CIRANO.
  60. Sousa, João & Sousa, Ricardo M., 2013. "Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K," Working Paper Series 1575, European Central Bank.
  61. Lungu, Laurian & Minford, Patrick, 2005. "Explaining The Equity Risk Premium," CEPR Discussion Papers 5017, C.E.P.R. Discussion Papers.
  62. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  63. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  64. George M. Constantinides, 2002. "Rational Asset Prices," NBER Working Papers 8826, National Bureau of Economic Research, Inc.
  65. Brandt, Michael W. & Wang, Kevin Q., 2003. "Time-varying risk aversion and unexpected inflation," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1457-1498, October.
  66. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
  67. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
  68. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
  69. Willman, Alpo, 2007. "Sequential optimization, front-loaded information, and U.S. consumption," Working Paper Series 0765, European Central Bank.
  70. Detemple, Jerome B. & Karatzas, Ioannis, 2003. "Non-addictive habits: optimal consumption-portfolio policies," Journal of Economic Theory, Elsevier, vol. 113(2), pages 265-285, December.
  71. Belén Nieto & Rosa Rodriguez, 2005. "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 33-71, January.
  72. Lars Peter Hansen, 2012. "Risk Pricing over Alternative Investment Horizons," Working Papers 2012-008, Becker Friedman Institute for Research In Economics.
  73. 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.
  74. Jingyi Liu, 2008. "Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?," ESE Discussion Papers 181, Edinburgh School of Economics, University of Edinburgh.
  75. Kuznitz, Arik & Kandel, Shmuel & Fos, Vyacheslav, 2008. "A portfolio choice model with utility from anticipation of future consumption and stock market mean reversion," European Economic Review, Elsevier, vol. 52(8), pages 1338-1352, November.
  76. Obstfeld, Maurice, 1992. "International Adjustment with Habit-Forming Consumption: A Diagrammatic Exposition," Review of International Economics, Wiley Blackwell, vol. 1(1), pages 32-48, November.
  77. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc.
  78. Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 251-287.
  79. Wei-Bin ZHANG, 2012. "Habits, Saving Propensity, And Economic Growth," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 11(2), pages 3-15.
  80. Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3560-3589, November.
  81. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
  82. Rustichini, Aldo & Siconolfi, Paolo, 2014. "Dynamic theory of preferences: Habit formation and taste for variety," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 55-68.
  83. Grishchenko, Olesya V., 2010. "Internal vs. external habit formation: The relative importance for asset pricing," Journal of Economics and Business, Elsevier, vol. 62(3), pages 176-194, May.
  84. Enrichetta Ravina, 2005. "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers 557, Society for Economic Dynamics.
  85. Willman, Alpo, 2003. "Consumption, habit persistence, imperfect information and the lifetime budget constraint," Working Paper Series 0251, European Central Bank.
  86. Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.
  87. Aase, Knut K., 2014. "Recursive utility using the stochastic maximum principle," Discussion Papers 2014/3, Department of Business and Management Science, Norwegian School of Economics, revised 25 Mar 2015.
  88. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  89. Hasseltoft, Henrik, 2007. "The Long-run Risk Model: Dynamics and Cyclicality of Interest Rates," SIFR Research Report Series 58, Institute for Financial Research.
  90. René Garcia & Éric Renault & Andrei Semenov, 2003. "Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level," CIRANO Working Papers 2003s-12, CIRANO.
  91. Daniel McFadden, 2014. "The new science of pleasure: consumer choice behavior and the measurement of well-being," Chapters, in: Handbook of Choice Modelling, chapter 2, pages 7-48 Edward Elgar Publishing.
  92. Tano Santos & Pietro Veronesi, 2005. "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers 11816, National Bureau of Economic Research, Inc.
  93. Gurdip S. Bakshi & Zhiwu Chen, 1996. "An Alternative Valuation Model for Contingent Claims," Yale School of Management Working Papers ysm78, Yale School of Management.
  94. Egil Matsen, 2001. "Habit Persistence and Welfare Gains from International Asset Trade," Working Paper Series 0102, Department of Economics, Norwegian University of Science and Technology.
  95. Craig W. Holden & Avanidhar Subrahmanyam, 2002. "News Events, Information Acquisition, and Serial Correlation," The Journal of Business, University of Chicago Press, vol. 75(1), pages 1-32, January.
  96. Yeung Lewis Chan & Leonid Kogan, "undated". "Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices," Rodney L. White Center for Financial Research Working Papers 14-00, Wharton School Rodney L. White Center for Financial Research.
  97. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
  98. Collard, Fabrice & Fève, Patrick & Ghattassi, Imen, 2005. "Predictability and Habit Persistence," IDEI Working Papers 339, Institut d'Économie Industrielle (IDEI), Toulouse.
  99. Haug, Jorgen, 2001. "Explicit characterizations of financial prices with history-dependent utility," Journal of Mathematical Economics, Elsevier, vol. 36(4), pages 337-356, December.
  100. Chen, Andrew Y., 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
  101. Douch, Mohamed & Bouaddi, Mohammed, 2010. "EQUITY Premium Puzzle in a Data-Rich Environment," MPRA Paper 29440, University Library of Munich, Germany.
  102. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  103. Hussain, Syed M. & Malik, Samreen, 2016. "Asymmetric Effects of Exogenous Tax Changes," Journal of Economic Dynamics and Control, Elsevier, vol. 69(C), pages 268-300.
  104. Bowman, David & Minehart, Deborah & Rabin, Matthew, 1999. "Loss aversion in a consumption-savings model," Journal of Economic Behavior & Organization, Elsevier, vol. 38(2), pages 155-178, February.
  105. ZHANG, Wei-Bin, 2013. "Habit Formation And Preference Change In A Twosector Growth Model With Elastic Labor Supply," Academica Science Journal, Economica Series, Dimitrie Cantemir University, Faculty of Economical Science, vol. 1(2), pages 3-20, May.
  106. Longstaff, Francis A. & Piazzesi, Monika, 2004. "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
  107. Roman Naryshkin & Matt Davison, 2008. "Portfolio Optimization under Habit Formation," Papers 0810.0678, arXiv.org.
  108. Boschi, Melisso, 2006. "Habit formation and the transmission of financial crises," Economics Discussion Papers 8900, University of Essex, Department of Economics.
  109. Haijun Wang & L. Steven Hou, 2015. "Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 393-416, November.
  110. Andrei Semenov, 2003. "High-Order Consumption Moments and Asset Pricing," Working Papers 2003_4, York University, Department of Economics, revised Jan 2005.
  111. Gurdip S. Bakshi & Zhiwu Chen, "undated". "An Alternative Model for Contingent Claims," Research in Financial Economics 9504, Ohio State University.
  112. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, Department of Economics and Business Economics, Aarhus University.
  113. Aditya Goenka & Melisso Boschi, 2004. "International capital flows and transmission of financial crises," Econometric Society 2004 Far Eastern Meetings 785, Econometric Society.
  114. James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis.
  115. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2349-2369, July.
  116. Suresh M. Sundaresan, 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, 08.
  117. Bruhn, Kenneth & Steffensen, Mogens, 2013. "Optimal smooth consumption and annuity design," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2693-2701.
  118. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
  119. Julien Hugonnier & Erwan Morellec & Suresh Sundaresan, 2005. "Growth Options in General Equilibrium: Some Asset Pricing Implications," FAME Research Paper Series rp138, International Center for Financial Asset Management and Engineering.
  120. Alpanda, Sami & Woglom, Geoffrey, 2007. "The Case Against Power Utility and a Suggested Alternative: Resurrecting Exponential Utility," MPRA Paper 5897, University Library of Munich, Germany.
  121. Curatola, Giuliano, 2016. "Optimal consumption and portfolio choice with loss aversion," SAFE Working Paper Series 130, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  122. Wei-Bin Zhang, 2016. "Population Growth And Preference Change In A Generalized Solow Growth Model With Gender Time Distributions," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 7-30, September.
  123. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
  124. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
  125. Wang, Haijun, 2016. "Precautionary saving demand and consumption dynamics with the spirit of capitalism and regime switching," Journal of Mathematical Economics, Elsevier, vol. 64(C), pages 48-65.
  126. Otrok, Christopher & Ravikumar, B. & Whiteman, Charles H., 2007. "A generalized volatility bound for dynamic economies," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2269-2290, November.
  127. Geert Bekaert, 1994. "The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective," NBER Working Papers 4818, National Bureau of Economic Research, Inc.
  128. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
  129. Hindy, Ayman & Huang, Chi-fu & Zhu, Steven H., 1997. "Optimal consumption and portfolio rules with durability and habit formation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(2-3), pages 525-550.
  130. Atkinson, C. & Alvarez, M. J., 2001. "The influence of perceived stock value price histories in the mean-variance-instability model," European Journal of Operational Research, Elsevier, vol. 128(1), pages 185-191, January.
  131. Astrid Matthey, 2005. "Getting Used to Risks: Reference Dependence and Risk Inclusion," SFB 649 Discussion Papers SFB649DP2005-036, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  132. Aase, Knut K., 2004. "Jump Dynamics: The Equity Premium and the Risk-Free Rate Puzzles," Discussion Papers 2004/12, Department of Business and Management Science, Norwegian School of Economics.
  133. Weinbaum, David, 2005. "Subsistence consumption, habit formation and the demand for long-term bonds," Journal of Economics and Business, Elsevier, vol. 57(4), pages 273-287.
  134. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Department of Business and Management Science, Norwegian School of Economics.
  135. Michal Pakoš & Petr Zemcik, 2011. "Housing Services and Volatility Bounds with Real Estate Returns," ERES eres2011_84, European Real Estate Society (ERES).
  136. Marija Đorđević, 2016. "Consumption-Based Macroeconomic Models Of Asset Pricing Theory," Economic Annals, Faculty of Economics, University of Belgrade, vol. 61(211), pages 7-28, October -.
  137. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  138. Wei-Bin Zhang, 2013. "Dynamic Interactions among Growth, Environmental Change, Habit Formation, and Preference Change," The International Journal of Economic Behavior - IJEB, Faculty of Business and Administration, University of Bucharest, vol. 3(1), pages 3-25, December.
  139. Schwartzman, Felipe, 2014. "How Can Consumption-Based Asset-Pricing Models Explain Low Interest Rates?," Economic Quarterly, Federal Reserve Bank of Richmond, issue 3Q, pages 209-240.
  140. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
  141. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.
  142. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc.
  143. Daniel L. McFadden, 2013. "The New Science of Pleasure," NBER Working Papers 18687, National Bureau of Economic Research, Inc.
  144. Rodríguez López, Rosa & Nieto, Belén, 2004. "Modelos de valoración de activos condicionales: un panorama comparativo con datos españoles," DEE - Documentos de Trabajo. Economía de la Empresa. DB db040202, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  145. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3qn115m4, Anderson Graduate School of Management, UCLA.
  146. Liu, Jingyi, 2008. "Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?," SIRE Discussion Papers 2008-07, Scottish Institute for Research in Economics (SIRE).
  147. Pascal St-Amour, 2005. "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 05.04, Université de Lausanne, Faculté des HEC, DEEP.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.