Implications of Return Predictability for Consumption Dynamics and Asset Pricing

DOI10.1080/07350015.2018.1527702zbMATH Open1547.62714MaRDI QIDQ6626329

Carlo A. Favero, Unnamed Author, A. Tamoni, Fulvio Ortu

Publication date: 28 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
• Rare Disasters and Asset Markets in the Twentieth Century*
• Long-Term Risk: An Operator Approach
• EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS
• Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
• Taxes, Regulations, and the Value of U.S. and U.K. Corporations

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