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Specification and estimation of intertemporal asset pricing models

In: Handbook of Monetary Economics

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  • Singleton, Kenneth J.

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Suggested Citation

  • Singleton, Kenneth J., 1990. "Specification and estimation of intertemporal asset pricing models," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 12, pages 583-626, Elsevier.
    • Handle: RePEc:eee:monchp:1-12
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    Citations

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    Cited by:

    1. Gong, Fangxiong & Remolona, Eli M, 1997. "Two Factors along the Yield Curve," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 1-31, Supplemen.
    2. Startz Richard & Tsang Kwok Ping, 2012. "Nonexponential Discounting: A Direct Test And Perhaps A New Puzzle," The B.E. Journal of Macroeconomics, De Gruyter, vol. 12(1), pages 1-35, November.
    3. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
    4. LuisM. Viceira & John Y. Campbell, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March.
    5. Jordi Gali, 1999. "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," American Economic Review, American Economic Association, vol. 89(1), pages 249-271, March.
    6. Paolo Zagaglia, 2011. "Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback," Working Paper series 19_11, Rimini Centre for Economic Analysis.
    7. Honohan, Patrick & Conroy, Charles, 1994. "Irish Interest Rate Fluctuations in The European Monetary System," Research Series, Economic and Social Research Institute (ESRI), number GRS165.
    8. Marquering, Wessel & Verbeek, Marno, 1999. "An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence," Journal of Empirical Finance, Elsevier, vol. 6(3), pages 243-265, September.
    9. James B. Bullard & Steven Russell, 1998. "Monetary steady states in a low real interest rate economy," Working Papers 1994-012, Federal Reserve Bank of St. Louis.
    10. Giorgio Primiceri & Ernst Schaumburg & Andrea Tambalotti, 2006. "Intertemporal disturbances," 2006 Meeting Papers 355, Society for Economic Dynamics.
    11. Li, Huan, 2020. "Asset pricing with long-run durable expenditure risk," Finance Research Letters, Elsevier, vol. 32(C).
    12. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.
    13. Nakano, Katsura & Saito, Makoto, 1998. "Asset Pricing in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 12(2), pages 151-166, June.
    14. Prakash Apte & Piet Sercu & Raman Uppal, 1996. "The Equilibrium Approach to Exchange Rates: Theory and Tests," NBER Working Papers 5748, National Bureau of Economic Research, Inc.
    15. Saito, Makoto, 1998. "A simple model of incomplete insurance the case of permanent shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(5), pages 763-777, May.
    16. 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.
    17. Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc.

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    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General

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