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

Keywords

Economics, Econometrics, Consumption (sociology), Capital asset pricing model, Substitution (logic)

References

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• OPTIMAL SOCIAL INSURANCE WITH REDISTRIBUTIVE TAXATIONA.L. Bovenberg, Peter Birch Sørensen — 2007
• Bayesian Estimation of a DSGE Model with Asset PricesMartin Kliem, Harald Uhlig — 2013
• Essays on Macroeconomics in the Frequency DomainRoberto Pancrazi — 2010
• Preferencias y valoración de activos: un panorama sobre la persistencia de hábitoBelén Nieto — 2006
• Portfolio rebalancing in general equilibriumMiles Kimball, Matthew D. Shapiro, Tyler Shumway — 2018
• Optimal Policyholder Behavior in Personal Savings Products and its Impact on ValuationThorsten Moenig — 2012
• Dynamic Analysis of Land Prices with Flexible Risk Aversion CoefficientsJin Xu, David J. Leatham, Xu, Jin — 2010
• Contract Structure for Joint Production: Risk and Ambiguity Under Compensatory DamagesMichael D. Ryall, Rachelle C. Sampson — 2017
• Dynamic Portfolio Choice and Risk AversionCostis Skiadas — 2007
• International diffusion of shocks under different degrees of cross-country shocks comovement and economic integrationMichael Donadelli — 2014
• The Determinants of Aggregate WealthSusheng Wang — 2003
• International Asset Pricing under Habit Formation and Idiosyncratic RisksYuming Li — 2004
• Housing, Household Portfolio, and Intertemporal Elasticity of SubstitutionFuad Hasanov — 2007
• Learning about Disaster Risk: Joint Implications for Consumption and Asset PricesMax Gillman, Michal Kejak, Michal Pakoš — 2014
• Who Holds Risky AssetsDavid Backus, Bryan Routledge, Stanley E. Zin — 2008
• Solving Asset Pricing Models when the Policy Function is AnalyticStefano Athanasoulis, Ovidiu Calin — 2003
• DEMANDA POR PROTEÇÃO INTERTEMPORAL E ALOCAÇÃO ESTRATÉGICA DE ATIVOS NO BRASIL E EUANeves Neto, Pedro Costa — 2012
• Wycena papierów wartościowych na rynku kapitałowym w świetle finansów behawioralnychAdam Szyszka — 2007
• Stock Market Mean Reversion and Portfolio Choice over the Life CycleAlexander Michaelides, Yuxin Zhang — 2017
• Long-run risk is the worst-case scenario: ambiguity aversion and non-parametric estimation of the endowment processRhys Bidder, Ian Dew-Becker — 2016

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