Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns
- 1 March 1994
- journal article
- Published by JSTOR in The Journal of Finance
- Vol. 49 (1) , 123-152
- https://doi.org/10.2307/2329138
Abstract
The Euler equations derived from intertemporal asset pricing models, together with the unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate...Keywords
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