72
Views
26
CrossRef citations to date
0
Altmetric
Original Articles

Estimating the Continuous-Time Consumption-Based Asset-Pricing Model

, &
Pages 315-327 | Published online: 02 Jul 2012

REFERENCES

  • Bergstrom , A. R. 1984 . “Continuous Time Stochastic Models and Issues of Aggregation Over Time,”. ” . In Handbook of Econometrics Edited by: Griliches , Z. and Intrilligator , M. Amsterdam : North-Holland. .
  • Breeden , D. T. 1979 . “An Intertemporal Asset Pricing Model With Stochastic Consumption and Investment Opportunities,” . Journal of Financial Economics , 7 : 265 – 296 .
  • Christiano , L. J. 1984 . “The Effects of Aggregation Over Time on Tests of the Representative Agent Model,” University of Chicago, Graduate School of Business. . Working Paper 85–15
  • Granger , C. W. J. and Engle , R. F. 1985 . “Dynamic Model Specification With Equilibrium Constraints: Co-integration and Error Correction,” University of California, San Diego, Dept, of Economics. . Working Paper 85–18
  • Grossman , S. J. and Shiller , R. J. 1980 . “Preliminary Results on the Determinants of Stock Market Variability,” University of Pennsylvania, Dept, of Economics. . unpublished mimeo
  • Grossman , S. J. and Shiller , R. J. 1981 . “On the Determinants of Stock Market Variability,” . American Economic Review , 7 : 222 – 221 .
  • Grossman , S. J. and Shiller , R. J. 1982 . “Consumption Correlatedness and Risk Measurement in Economies With Non-traded Assets and Heterogeneous Information,” . Journal of Financial Economics , 10 : 195 – 210 .
  • Hall , R. E. 1985 . “Intertemporal Substitution in Consumption,” Stanford University, Hoover Institution. . unpublished mimeo
  • Hannan , E. J. 1970 . Multiple Time Series New York : John Wiley. .
  • Hannan , E. J. , Dunsmuir , W. T. M. and Deistler , M. 1980 . “Estimation of Vector ARMAX Models,” . Journal of Multivariate Analysis , 10 : 275 – 295 .
  • Hansen , L. P. and Singleton , K. J. 1983 . “Stochastic Consumption, Risk Aversion, and the Temporal Behaviour of Asset Returns,” . Journal of Political Economy , 91 : 249 – 265 .
  • Ibbotson , R. G. and Sinquefield , R. A. 1982 . Stocks, Bonds Bills and Inflation The Past and the Future Charlottesville , VA : Financial Analysts Research Foundation. .
  • Melino , A. 1985 . “Estimation of Unit Averaged Diffusion Processes,” University of Toronto, Dept, of Economics, Institute for Policy Analysis. . Working Paper 8502
  • Mehra , R. and Prescott , E. C. 1985 . “The Equity Premium: A Puzzle,” . Journal of Monetary Economics , 15 : 145 – 161 .
  • Merton , R. C. 1971 . “Optimum Consumption and Portfolio Rules in a Continuous Time Model,” . Journal of Economic Theory , 3 : 373 – 413 .
  • Osborne , D. R. 1977 . “Exact and Approximate Maximum Likelihood Estimators for Vector Moving Average Processes,” . Journal of the Royal Statistical Society, Ser. B , 39 : 114 – 118 .
  • Park , J. Y. and Phillips , P. C. B. 1986 . “Statistical Inference in Regression With Integrated Processes: Part I,” Yale University, Cowles Foundation for Research in Economics. . Discussion Paper 811
  • Phillips , P. C. B. 1978 . “The Treatment of Flow Data in the Estimation of Continuous Time Systems,”. ” . In Stability and Inflation Edited by: Bergstrom , A. R. New York : John Wiley. .
  • Phillips , P. C. B. and Ouliaris , S. 1986 . “Testing for Cointegration,” Yale University, Cowles Foundation for Research in Economics. . Discussion Paper 809
  • Selden , L. 1978 . “A New Representation of Preferences Over ‘Certain x Uncertain’ Consumption Pairs: The ‘Ordinal Certainty Equivalent’ Hypothesis,” . Econometrica , 46 : 1045 – 1060 .
  • Seltzer , L. H. 1951 . The Nature and Tax Treatment of Capital Gains and Losses New York : National Bureau of Economic Research. .
  • Shiller , R. J. 1982 . “Consumption, Asset Markets and Macroeconomic Fluctuations” Amsterdam : North-Holland. . (Carnegie-Rochester Conference Series, No. 17)
  • Stock , J. 1985 . “Asymptotic Properties of Least Square Estimators of Cointegrating Vectors,” Harvard University, Kennedy School. . unpublished mimeo
  • Wilson , G. T. 1972 . “The Factorization of Matricial Spectral Densities,” . SIAM Journal of Applied Mathematics , 23 : 420 – 426 .
  • Wilson , G. T. 1973 . “The Estimation of Parameters in Multivariate Time Series Models,” . Journal of the Royal Statistical Society, Ser. B , 35 : 76 – 85 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.