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THE ROLE OF CONDITIONAL HETEROSKEDASTICITY IN IDENTIFYING AND ESTIMATING LINE...
A new estimator is proposed for linear triangular systems, where identification results from the model errors following a bivariate and diagonal GARCH(1,1) process with... -
The stochastic volatility in mean model: empirical evidence from internationa...
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM... -
Testing the capital asset pricing model efficiently under elliptical symmetry...
We develop new tests of the capital asset pricing model that take account of and are valid under the assumption that the distribution generating returns is elliptically... -
Evaluating asset-pricing models using the Hansen-Jagannathan bound: a Monte C...
We use recent statistical tests, based on a distance between the model and the Hansen-Jagannathan bound, to compute the rejection rates of true models. For asset-pricing models... -
Substitution, risk aversion, taste shocks and equity premia (replication data)
This paper gauges the relative contribution of risk aversion, inter-temporal substitution and taste shocks on postwar monthly US equity premia. The time-varying consumption,...
