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A Revealed Preference Analysis of Asset Pricing Under Recursive Utility / Larry G. Epstein, Angelo Melino.
- Format:
- Book
- Author/Creator:
- Epstein, Larry G.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w4524.
- NBER working paper series no. w4524
- Language:
- English
- Subjects (All):
- Prices--Econometric models.
- Prices.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1993.
- Cambridge, Massachusetts : National Bureau of Economic Research, 1993.
- Summary:
- This paper considers a representative agent model of asset prices based on a recursive utility specification. A constant elasticity of intertemporal substitution is assumed but the risk-preference component of utility is restricted only by qualitative, nonparametric regularity conditions. The principal contribution is to determine the exhaustive implications of this semiparametric recursive utility model for the one-step ahead joint probability distribution for consumption growth and asset returns.
- Notes:
- Print version record
- November 1993.
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