Further international evidence on durable consumption growth and long-run consumption risk

DOI10.1080/14697680903067120zbMath1208.91162OpenAlexW2152163674MaRDI QIDQ3084977

Elena Márquez, Belén Nieto

Publication date: 28 March 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903067120

zbMATH Keywords

asset pricingutility functionsconsumptioncapital asset pricingconsumption-portfolio choiceempirical asset pricingapplied financeintertemporal portfolio choice

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• An Intertemporal Capital Asset Pricing Model
• Common risk factors in the returns on stocks and bonds

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