138
Views
1
CrossRef citations to date
0
Altmetric
Research Papers

Historical simulation approach to the estimation of stochastic discount factor models

Pages 391-404 | Received 12 Mar 2006, Accepted 09 Jul 2007, Published online: 12 Jun 2008

References

  • Akgiray , V . 1989 . Conditional heteroscedasticity in time series of stock returns: evidence and forecasts . J. Bus. , 62 : 55 – 80 .
  • Bakshi , GS and Chen , Z . 1996 . The spirit of capitalism and stock-market prices . Am. Econ. Rev. , 86 : 133 – 157 .
  • Balaban , E , Bayar , A and Faff , RW . 2006 . Forecasting stock market volatility: further international evidence . Eur. J. Finan. , 12 : 171 – 188 .
  • Becker , GS and Mulligan , CB . 1997 . The endogenous determination of time preferences . Q. J. Econ. , 112 : 729 – 758 .
  • Boudoukh , J , Richardson , M and Whitelaw , R . 1998 . The best of both worlds . Risk , 11 : 64 – 67 .
  • Campbell , JY and Cochrane , JH . 1999 . By force of habit: a consumption-based explanation of aggregate stock market behavior . J. Polit. Econ. , 107 : 205 – 251 .
  • Campbell , JY and Cochrane , JH . 2000 . Explaining the poor performance of consumption-based asset pricing models . J. Finan. , 55 : 2863 – 2878 .
  • Campbell , JY , Lo , AW and MacKinlay , AC . 1997 . The Econometrics of Financial Markets , Princeton University Press .
  • Carroll , JS . 1978 . The effect of imagining an event on expectations for the event: an interpretation in terms of the availability heuristic . J. Exp. Soc. Psychol. , 14 : 88 – 96 .
  • Constantinides , GM . 1990 . Habit formation: a resolution of the equity premium puzzle . J. Polit. Econ. , 98 : 519 – 543 .
  • Epstein , LG and Zin , SE . 1989 . Substitution, risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework . Econometrica , 57 : 937 – 969 .
  • Epstein , LG and Zin , SE . 1991 . Substitution, risk aversion and the temporal behavior of consumption and asset returns: an empirical analysis . J. Polit. Econ. , 99 : 263 – 288 .
  • Gordon , S and St-Amour , P . 2004 . Asset returns and state-dependent risk preferences . J. Bus. Econ. Statist. , 22 : 241 – 252 .
  • Hansen , LP and Singleton , KJ . 1983 . Stochastic consumption, risk aversion, and the temporal behavior of asset returns . J. Polit. Econ. , 91 : 249 – 268 .
  • Hsieh , KC and Ritchken , P . 2005 . An empirical comparison of GARCH option pricing models . Rev. Deriv. Res. , 8 : 129 – 150 .
  • Huang , AG , Hughson , E and Leach , JC . 2006 . Risk aversion, regimes, and returns: revisiting the equity premium puzzle . Working Paper
  • Lettau , M and Ludvigson , S . 2001 . Consumption, aggregate wealth, and expected stock returns . J. Finan. , 56 : 815 – 849 .
  • Ljung , GM and Box , GEP . 1978 . On a measure of lack of fit in time series models . Biometrika , 65 : 297 – 303 .
  • Newey , W and West , K . 1987 . A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 708 .
  • Olson , D and Mossman , C . 2001 . Cross-correlations and predictability of stock returns . J. Forecast. , 20 : 145 – 160 .
  • Potters , M , Bouchaud , J-P and Sestovic , D . 2001 . Hedged Monte-Carlo: low variance derivative pricing with objective probabilities . Physica A , 289 : 517 – 525 .
  • Rietz , TA . 1988 . The equity premium puzzle: a solution . J. Monet. Econ. , 22 : 117 – 131 .
  • Stock , JH and Wright , JH . 2000 . GMM with weak identification . Econometrica , 68 : 1055 – 1096 .
  • Sundaresan , SM . 1989 . Intertemporally dependent preferences and the volatility of consumption and wealth . Rev. Finan. Stud. , 2 : 73 – 88 .
  • Tversky , A and Kahneman , D . 1973 . Availability: a heuristic for judging frequency and probability . Cogn. Psychol. , 5 : 207 – 232 .
  • Tversky , A and Kahneman , D . 1974 . Judgment under uncertainty: heuristics and biases . Science , 185 : 1124 – 1130 .

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.