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An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications
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- Havranek, Tomas & Rusnak, Marek & Sokolova, Anna, 2017.
"Habit formation in consumption: A meta-analysis,"
European Economic Review, Elsevier, vol. 95(C), pages 142-167.
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"A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-sectional Heterogeneity?,"
RCER Working Papers
499, University of Rochester - Center for Economic Research (RCER).
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- Francisco Gomes & Alexander Michaelides, 2003.
"Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 729-766, October.
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- Gomes, Francisco J. & Michaelides, Alexander, 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.
- Bansal, Ravi & Kiku, Dana & Yaron, Amir, 2016.
"Risks for the long run: Estimation with time aggregation,"
Journal of Monetary Economics, Elsevier, vol. 82(C), pages 52-69.
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- Hansen, Lars Peter, 2013.
"Uncertainty Outside and Inside Economic Models,"
Nobel Prize in Economics documents
2013-7, Nobel Prize Committee.
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- Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
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"Consumption habits and humps,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 305-330, August.
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Economic Perspectives, Federal Reserve Bank of Chicago, vol. 21(Nov), pages 3-37.
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"On measuring the welfare cost of business cycles,"
Journal of Monetary Economics, Elsevier, vol. 47(1), pages 61-92, February.
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"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
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- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
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"Rational Asset Prices,"
Journal of Finance, American Finance Association, vol. 57(4), pages 1567-1591, August.
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"Consistent high-frequency calibration,"
Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2277-2295, October.
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- David Aadland & Kevin X.D. Huang, 2002. "Consistent High-Frequency Calibration," Macroeconomics 0211007, University Library of Munich, Germany, revised 08 Jan 2003.
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Oxford Economic Papers, Oxford University Press, vol. 67(3), pages 531-552.
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- Patrick Fève & Jean-Guillaume Sahuc, 2015. "On the Size of the Government Spending Multiplier in the Euro Area," Post-Print hal-01612703, HAL.
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Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
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- Mehra, Rajnish & Prescott, Edward C., 2003.
"The equity premium in retrospect,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938,
Elsevier.
- Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
- Hafedh Bouakez & Nooman Rebei, 2007.
"Why does private consumption rise after a government spending shock?,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(3), pages 954-979, August.
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- Hafedh Bouakez & Nooman Rebei, 2003. "Why Does Private Consumption Rise After a Government Spending Shock?," Staff Working Papers 03-43, Bank of Canada.
- Nooman Rebei & Hafedh Bouakez, 2004. "Why Does Private Consumption Rise After a Government Spending Shock?," Econometric Society 2004 North American Summer Meetings 417, Econometric Society.
- Nooman Rebei & Hafedh Bouakez, 2004. "Why Does Private Consumption Rise After a Government Spending Shock?," Computing in Economics and Finance 2004 20, Society for Computational Economics.
- MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999.
"Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-577, Sept.-Oct.
- Mackinnon, J.G. & Haug, A.A. & Michelis, L., 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," G.R.E.Q.A.M. 96a09, Universite Aix-Marseille III.
- James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers 1996_07, York University, Department of Economics.
- Shin-Ichi Nishiyama, 2005. "The cross-Euler equation approach to intertemporal substitution in import demand," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 841-872.
- Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010.
"Stock and bond returns with Moody Investors,"
Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc.
- John Y. Campbell & John Cochrane, 1999.
"Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,"
Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
- John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
- 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.
- Campbell, John & Cochrane, John H., 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
- Enrichetta Ravina, 2005. "Keeping Up with the Joneses: Evidence from Micro Data," 2005 Meeting Papers 557, Society for Economic Dynamics.
- Sönksen, Jantje & Grammig, Joachim, 2021.
"Empirical asset pricing with multi-period disaster risk: A simulation-based approach,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
- Sönksen, Jantje & Grammig, Joachim, 2020. "Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR), revised 2020.
- Takashi Kano & James M. Nason, 2014.
"Business Cycle Implications of Internal Consumption Habit for New Keynesian Models,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 519-544, March.
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- Takashi Kano & James M. Nason, 2012. "Business cycle implications of internal consumption habit for new Keynesian models," Working Papers 12-30, Federal Reserve Bank of Philadelphia.
- 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.
- Takashi Kano & James M. Nason, 2009. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Model," CARF F-Series CARF-F-151, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Takashi Kano & James M. Nason, 2009. "Business cycle implications of internal consumption habit for New Keynesian models," FRB Atlanta Working Paper 2009-16, Federal Reserve Bank of Atlanta.
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"Business Cycle Implications of Habit Formation,"
Econometric Society 2004 Far Eastern Meetings
619, Econometric Society.
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- Koehne, Sebastian & Kuhn, Moritz, 2013.
"Optimal capital taxation for time-nonseparable preferences,"
MPRA Paper
45203, University Library of Munich, Germany.
- Koehne, Sebastian & Kuhn, Moritz, 2013. "Optimal capital taxation for time-nonseparable preferences," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79951, Verein für Socialpolitik / German Economic Association.
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- 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.
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"Consumption Externalities, Habit Formation and Equilibrium Efficiency,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 231-251, June.
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Open Economies Review, Springer, vol. 11(3), pages 195-204, July.
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Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, February.
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"Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?,"
American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September.
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"Pricing Risk in Economies with Heterogeneous Agents and Incomplete Markets,"
Journal of the European Economic Association, MIT Press, vol. 5(5), pages 987-1015, September.
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