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Citations for "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis"

by Epstein, Larry G & Zin, Stanley E

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  1. 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.
  2. Daniel Harenberg & Alexander Ludwig, 2014. "Social Security and the Interactions Between Aggregate and Idiosyncratic Risk," CER-ETH Economics working paper series 14/193, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  3. Fernández-Villaverde, Jesús & Koijen, Ralph & Rubio-Ramírez, Juan Francisco & van Binsbergen, Jules H., 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
  4. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 249-283, April.
  5. Chen, Hung-Ju, 2011. "Social status and long-run effects of monetary policy in a two-sector monetary economy of endogenous growth," Mathematical Social Sciences, Elsevier, vol. 61(1), pages 71-79, January.
  6. Barillas, Francisco & Hansen, Lars Peter & Sargent, Thomas J., 2009. "Doubts or variability?," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2388-2418, November.
  7. Jens Larsen & Ben May & James Talbot, 2003. "Estimating real interest rates for the United Kingdom," Bank of England working papers 200, Bank of England.
  8. Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
  9. Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
  10. Kam Yu, 2009. "Measuring the Output and Prices of the Lottery Sector: An Application of Implicit Expected Utility Theory," NBER Chapters, in: Price Index Concepts and Measurement, pages 405-425 National Bureau of Economic Research, Inc.
  11. Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
  12. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  13. René Garcia & Éric Renault & Andrei Semenov, 2003. "Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level," CIRANO Working Papers 2003s-12, CIRANO.
  14. Pietro Dindo, 2015. "Survival in Speculative Markets," LEM Papers Series 2015/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  15. Sydney Ludvigson & Christina H. Paxson, 1999. "Approximation Bias in Linearized Euler Equations," NBER Technical Working Papers 0236, National Bureau of Economic Research, Inc.
  16. Viceira, Luis & Campbell, John & White, Joshua, 2003. "Foreign Currency for Long-Term Investors," Scholarly Articles 3128708, Harvard University Department of Economics.
  17. Nick Draper & André Nibbelink & Johannes Uhde, 2015. "An Assessment of Alternatives for the Dutch First Pension Pillar System," De Economist, Springer, vol. 163(3), pages 281-302, September.
  18. Bonneuil, Noel & Saint-Pierre, Patrick, 2008. "Beyond optimality: Managing children, assets, and consumption over the life cycle," Journal of Mathematical Economics, Elsevier, vol. 44(3-4), pages 227-241, February.
  19. Stuart Hyde & Mohamed Sherif, 2004. "Don't break the habit: structural stability tests of consumption models in the UK," Money Macro and Finance (MMF) Research Group Conference 2003 49, Money Macro and Finance Research Group.
  20. Ni, Shawn & Raymon, Neil, 2004. "Price uncertainty and consumer welfare in an intertemporal setting," Journal of Economic Dynamics and Control, Elsevier, vol. 28(9), pages 1877-1901, July.
  21. Luis A. Puch & Franck Portier, 2004. "The Welfare Cost of Business Cycles in an Economy with Nonclearing Markets," 2004 Meeting Papers 570, Society for Economic Dynamics.
  22. Dario Caldara & Jesus Fernandez-Villaverde & Juan Rubio-Ramirez & Wen Yao, 2012. "Computing DSGE Models with Recursive Preferences and Stochastic Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(2), pages 188-206, April.
  23. Alexandre Gohin & Yu Zheng, 2016. "Assessing the Decoupling of EU Agricultural Policy on Farm Decisions - A Dynamic Stochastic Attempt," FOODSECURE Working papers 45, LEI Wageningen UR.
  24. John Y. Campbell & Tuomo Vuolteenaho, 2003. "Bad Beta, Good Beta," NBER Working Papers 9509, National Bureau of Economic Research, Inc.
  25. Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013. "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3704-3715.
  26. Man Fu & Prasad V. Bidarkota, 2011. "Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 1-36, December.
  27. Schneider, Maik T. & Traeger, Christian P. & Winkler, Ralph, 2012. "Trading Off Generations: Infinitely Lived Agent Versus OLG," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt1b58j8m6, Department of Agricultural & Resource Economics, UC Berkeley.
  28. Martin Browning & Thomas F. Crossley, 2001. "The Life-Cycle Model of Consumption and Saving," Journal of Economic Perspectives, American Economic Association, vol. 15(3), pages 3-22, Summer.
  29. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
  30. Hans Fehr & Christian Habermann, 2008. "Private Retirement Savings in Germany: The Structure of Tax Incentives and Annuitization," CESifo Working Paper Series 2238, CESifo Group Munich.
  31. Fernández-Villaverde, Jesús, 2009. "The Econometrics of DSGE Models," CEPR Discussion Papers 7157, C.E.P.R. Discussion Papers.
  32. Alvarez, F. & Jermann, U.J., 2000. "Using Asset Prices to Measure the Cost of Business Cycles," Weiss Center Working Papers 00-1, Wharton School - Weiss Center for International Financial Research.
  33. James M. Nason & Gregor W. Smith, 2008. "Great moderations and U.S. interest rates: unconditional evidence," FRB Atlanta Working Paper 2008-01, Federal Reserve Bank of Atlanta.
  34. 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.
  35. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  36. Mark Huggett & Greg Kaplan, 2013. "The Money Value of a Man," Working Papers 1474, Princeton University, Department of Economics, Center for Economic Policy Studies..
  37. 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.
  38. repec:pri:cepsud:238kaplan is not listed on IDEAS
  39. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
  40. Annette Vissing-Jørgensen & Orazio P. Attanasio, 2003. "Stock-Market Participation, Intertemporal Substitution, and Risk-Aversion," American Economic Review, American Economic Association, vol. 93(2), pages 383-391, May.
  41. Spagnolo, Giancarlo, 1996. "Multimarket Contact, Concavity, and Collusion: on Extremal Equilibria of Interdependent Supergames," SSE/EFI Working Paper Series in Economics and Finance 104, Stockholm School of Economics, revised 29 Apr 1998.
  42. Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Scholarly Articles 9887621, Harvard University Department of Economics.
  43. René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, 09.
  44. Malkhozov, Aytek, 2014. "Asset prices in affine real business cycle models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 180-193.
  45. Aizenman, Joshua, 1998. "Buffer stocks and precautionary savings with loss aversion," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 931-947, December.
  46. Didier, Tatiana & Lowenkron, Alexandre, 2012. "The current account as a dynamic portfolio choice problem," Journal of the Japanese and International Economies, Elsevier, vol. 26(4), pages 518-541.
  47. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
  48. Hans Fehr & Christian Habermann & Fabian Kindermann, 2006. "Tax-Favored Retirement Accounts: Are they Efficient in Increasing Savings and Growth?," Working Papers 012, Bavarian Graduate Program in Economics (BGPE).
  49. John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
  50. Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc.
  51. Aase, Knut K., 2015. "The equity premium in a production economy; A new perspective involving recursive utility," Discussion Papers 2015/15, Department of Business and Management Science, Norwegian School of Economics.
  52. William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," NBER Working Papers 5901, National Bureau of Economic Research, Inc.
  53. George Chacko & Luis M. Viceira, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," NBER Working Papers 7377, National Bureau of Economic Research, Inc.
  54. Francisco RUGE-MURCIA, 2014. "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk," Cahiers de recherche 15-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  55. Sarver, Todd & Ergin, Haluk, 2015. "Hidden actions and preferences for timing of resolution of uncertainty," Theoretical Economics, Econometric Society, vol. 10(2), May.
  56. Antoine Bommier & Bertrand Villeneuve, 2010. "Risk Aversion and the Value of Risk to Life," CER-ETH Economics working paper series 10/133, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
  57. Daniel Harenberg & Ludwig, Alexander, 2015. "Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security," MEA discussion paper series 201403, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
  58. Pancrazi, Roberto, 2014. "How beneficial was the Great Moderation after all?," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 73-90.
  59. Michael Hatcher, 2013. "Aggregate and welfare effects of long run inflation risk under inflation and price-level targeting," Working Papers 2013_03, Business School - Economics, University of Glasgow.
  60. Konuki, Testuya, 1999. "Measuring noise in exchange rate models1," Journal of International Economics, Elsevier, vol. 48(2), pages 255-270, August.
  61. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 806-830, October.
  62. Carter, Michael R. & Lybbert, Travis J., 2012. "Consumption versus asset smoothing: testing the implications of poverty trap theory in Burkina Faso," Journal of Development Economics, Elsevier, vol. 99(2), pages 255-264.
  63. Andrei Semenov, 2004. "High-Order Consumption Moments and Asset Pricing," 2004 Meeting Papers 334, Society for Economic Dynamics.
  64. Grant, S. & Polak, B. & Kajii, A., 1996. "Preference for Information," Papers 298, Australian National University - Department of Economics.
  65. Constantinides,George & Duffie,Darrel, 1992. "Asset pricing with heterogeneous consumers," Discussion Paper Serie A 381, University of Bonn, Germany.
  66. West, K.D. & Wilcox, D.W., 1994. "A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model," Working papers 9414, Wisconsin Madison - Social Systems.
  67. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables," Cahiers de recherche 2001-10, Universite de Montreal, Departement de sciences economiques.
  68. Epstein, Larry G. & Zin, Stanley E., 2001. "The independence axiom and asset returns," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 537-572, December.
  69. Bidarkota, Prasad V. & Dupoyet, Brice V. & McCulloch, J. Huston, 2009. "Asset pricing with incomplete information and fat tails," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1314-1331, June.
  70. Hans Fehr & Fabian Kindermann, 2012. "Optimal Taxation with Current and Future Cohorts," CESifo Working Paper Series 3973, CESifo Group Munich.
  71. Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2015. "Comparing consumption-based asset pricing models: The case of an Asian city," Journal of Housing Economics, Elsevier, vol. 28(C), pages 18-41.
  72. repec:wsi:afexxx:v:11:y:2016:i:01:p:1650005-01-1650005-13 is not listed on IDEAS
  73. Aase, Knut K., 2015. "Recursive utility and jump-diffusions," Discussion Papers 2015/6, Department of Business and Management Science, Norwegian School of Economics.
  74. Smith, William T., 1996. "Taxes, uncertainty, and long-term growth," European Economic Review, Elsevier, vol. 40(8), pages 1647-1664, November.
  75. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, regulations, and asset prices," Working Papers 610, Federal Reserve Bank of Minneapolis.
  76. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers 505, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  77. Caldara, Dario & Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Yao, Wen, 2009. "Computing DSGE Models with Recursive Preferences," CEPR Discussion Papers 7312, C.E.P.R. Discussion Papers.
  78. Hunter, John & Wu, Feng, 2014. "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, vol. 36(C), pages 557-565.
  79. Pierre Chaigneau, 2012. "Explaining the Structure of CEO Incentive Pay with Decreasing Relative Risk Aversion," Cahiers de recherche 1208, CIRPEE.
  80. Roche, Hervé, 2011. "Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 80-96, January.
  81. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
  82. Bullard, James & Russell, Steven, 1999. "An empirically plausible model of low real interest rates and unbacked government debt," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 477-508, December.
  83. Pataracchia, B., 2011. "Ambiguity and Volatility : Asset Pricing Implications," Discussion Paper 2011-042, Tilburg University, Center for Economic Research.
  84. Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2009. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," CIRANO Working Papers 2009s-18, CIRANO.
  85. René Garcia & Richard Luger & Eric Renault, 2000. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Working Papers 2000-57, Centre de Recherche en Economie et Statistique.
  86. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
  87. Lybbert, Travis J. & McPeak, John, 2012. "Risk and intertemporal substitution: Livestock portfolios and off-take among Kenyan pastoralists," Journal of Development Economics, Elsevier, vol. 97(2), pages 415-426.
  88. Roger Hartley & Gauthier Lanot & Ian Walker, 2006. "Who really wants to be a millionaire? Estimates of risk aversion from gameshow data," Working Papers 200607, Geary Institute, University College Dublin.
  89. Mariia Belaia & Michael Funke & Nicole Glanemann, 2014. "Global Warming and a Potential Tipping Point in the Atlantic Thermohaline Circulation: The Role of Risk Aversion," CESifo Working Paper Series 4930, CESifo Group Munich.
  90. Mark Huggett & Greg Kaplan, 2016. "How Large is the Stock Component of Human Capital?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 21-51, October.
  91. Kent D. Daniel & Robert B. Litterman & Gernot Wagner, 2016. "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk," NBER Working Papers 22795, National Bureau of Economic Research, Inc.
  92. Fabian Kindermann, 2012. "Welfare Effects of Privatizing Public Education When Human Capital Investments Are Risky," Journal of Human Capital, University of Chicago Press, vol. 6(2), pages 87-123.
  93. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138.
  94. Francesco Zanetti, 2014. "Housing and Relative Risk Aversion," Economics Series Working Papers 693, University of Oxford, Department of Economics.
  95. Hans Fehr & Manuel Kallweit & Fabian Kindermann, 2011. "Should Pensions be Progressive? Yes, at least in Germany!," CESifo Working Paper Series 3636, CESifo Group Munich.
  96. Nakano, Katsura & Saito, Makoto, 1998. "Asset Pricing in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 12(2), pages 151-166, June.
  97. Aude Pommeret & Anne Epaulard, 2001. "Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility," IMF Working Papers 01/5, International Monetary Fund.
  98. Evans, Paul & Hasan, Iftekhar, 1998. "The consumption-based capital asset pricing model: International evidence," Journal of Multinational Financial Management, Elsevier, vol. 8(1), pages 1-21, January.
  99. Gesteira Costa, Marcos & Carrasco-Gutierrez, Carlos Enrique, 2015. "Testing the Optimality of Consumption Decisions of the Representative Household: Evidence from Brazil," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 69(3), September.
  100. Campbell, John Y & Giglio, Stefano W & Polk, Christopher & Turley, Robert, 2015. "An Intertemporal CAPM with Stochastic Volatility," CEPR Discussion Papers 10681, C.E.P.R. Discussion Papers.
  101. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
  102. Joshua Aizenman, 1995. "Optimal Buffer Stocks and Precautionary Savings with Disappointment Aversion," NBER Working Papers 5361, National Bureau of Economic Research, Inc.
  103. Christian Traeger, 2012. "Why Uncertainty Matters - Discounting under Intertemporal Risk Aversion and Ambiguity," CESifo Working Paper Series 3727, CESifo Group Munich.
  104. Kris Jacobs & Stephane Pallage & Michel A. Robe, 2004. "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," CIRANO Working Papers 2004s-54, CIRANO.
  105. Stephen Satchell & Susan Thorp, 2008. "Scenario Analysis With Recursive Utility: Dynamic Consumption Plans For Charitable Endowments," CAMA Working Papers 2008-03, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  106. Zhang Qiang, 2006. "The Spirit of Capitalism and Asset Pricing: An Empirical Investigation," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(3), pages 1-25, November.
  107. John Y. Campbell & John H. Cochrane, 2000. "Explaining the Poor Performance of Consumption-based Asset Pricing Models," Journal of Finance, American Finance Association, vol. 55(6), pages 2863-2878, December.
  108. AMIR, Rabah & EVSTIGNEEV, Igor & HENS, Thorsten & SCHENK-HOPPÉ, Klaus Reiner, 2003. "Market selection and survival of investment strategies," CORE Discussion Papers 2003099, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  109. Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2005. "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Finance 0505009, EconWPA, revised 17 Jan 2006.
  110. Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series 2008-19, Board of Governors of the Federal Reserve System (U.S.).
  111. Hans Fehr & Fabian Kindermann, 2009. "Pension Funding and Individual Accounts in Economies with Life-cyclers and Myopes," CESifo Working Paper Series 2724, CESifo Group Munich.
  112. Saziye Gaziog-super-˜lu & Azize Bastıyalı-Hayfavi, 2010. "Stochastic optimization applied to self-financing portfolio: does bequest matter?," Applied Economics, Taylor & Francis Journals, vol. 42(30), pages 3831-3838.
  113. Dominique Pepin, 2014. "Asset Prices and Risk Aversion," Working Papers hal-00955590, HAL.
  114. Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007. "Durability of Output and Expected Stock Returns," 2007 Meeting Papers 432, Society for Economic Dynamics.
  115. Liutang Gong & William Smith & Heng-fu Zou, 2007. "Asset Prices and Hyperbolic Discounting," Annals of Economics and Finance, Society for AEF, vol. 8(2), pages 397-414, November.
  116. Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel, 2015. "Equity premia and state-dependent risks," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 393-409.
  117. Frank M. Fossen & Daniela Glocker, 2014. "Stated and Revealed Heterogeneous Risk Preferences in Educational Choice," Discussion Papers of DIW Berlin 1361, DIW Berlin, German Institute for Economic Research.
  118. Hans Fehr & Christian Habermann & Fabian Kindermann, 2008. "Social Security with Rational and Hyperbolic Consumers," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(4), pages 884-903, October.
  119. Gadi Barlevy, 2004. "The Cost of Business Cycles and the Benefits of Stabilization: A Survey," NBER Working Papers 10926, National Bureau of Economic Research, Inc.
  120. Lex Borghans & Angela Lee Duckworth & James J. Heckman & Bas ter Weel, 2008. "The Economics and Psychology of Personality Traits," Journal of Human Resources, University of Wisconsin Press, vol. 43(4).
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  123. Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004. "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1925-1954, September.
  124. Femminis, Gianluca, 2008. "Risk-aversion and the investment-uncertainty relationship: The role of capital depreciation," Journal of Economic Behavior & Organization, Elsevier, vol. 65(3-4), pages 585-591, March.
  125. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
  126. Hou, Yang & Li, Steven, 2014. "The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 319-337.
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  130. Drazen, Allan & Sakellaris, Plutarchos, 1999. "News About News: Information Arrival and Irreversible Investment," Macroeconomic Dynamics, Cambridge University Press, vol. 3(03), pages 451-462, September.
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  133. Frederic Gonand, 2014. "Dynamic Impacts on Growth and Intergenerational Effects of Energy Transition in a Time of Fiscal Consolidation," Working Papers 1401, Chaire Economie du Climat.
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  135. Frank Ackerman & Elizabeth Stanton & Ramón Bueno, 2013. "Epstein–Zin Utility in DICE: Is Risk Aversion Irrelevant to Climate Policy?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 56(1), pages 73-84, September.
  136. Taiji Harashima, 2005. "An Estimate of the Elasticity of Intertemporal Substitution in a Production Economy," Macroeconomics 0508030, EconWPA.
  137. Michel Normandin, 2004. "Canadian and U.S. financial markets: testing the international integration hypothesis under time-varying conditional volatility," Canadian Journal of Economics, Canadian Economics Association, vol. 37(4), pages 1021-1041, November.
  138. Thomas D. Tallarini & Amir Yaron & Ravi Bansal, 2008. "The Return to Wealth, Asset Pricing, and the Intertemporal Elasticity of Substitution," 2008 Meeting Papers 918, Society for Economic Dynamics.
  139. Sydney Ludvigson, 2007. "Housing, credit and consumer expenditure: commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 335-350.
  140. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
  141. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers E2008/30, Cardiff University, Cardiff Business School, Economics Section.
  142. Romina Boarini & Marla Ripoll & Juan Cordoba & Fabrice Murtin, 2016. "Beyond GDP: Is There a Law of One Shadow Price?," 2016 Meeting Papers 527, Society for Economic Dynamics.
  143. Conny Olovsson, 2005. "The Welfare Gains of Improving Risk Sharing in Social Security," 2005 Meeting Papers 584, Society for Economic Dynamics.
  144. Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
  145. Gomes, Fábio Augusto Reis & Paz, Lourenço S., 2013. "Estimating the elasticity of intertemporal substitution: Is the aggregate financial return free from the weak instrument problem?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 63-75.
  146. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the stochastic discount factor without a utility function," Economics Working Papers (Ensaios Economicos da EPGE) 583, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  147. Lord, William & Rangazas, Peter, 1998. "Capital Accumulation and Taxation in a General Equilibrium Model with Risky Human Capital," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 509-531, July.
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