Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

1 September 1989

journal article
Published by JSTOR in Econometrica

Vol. 57 (5) , 1091
https://doi.org/10.2307/1913624

Abstract

The overidentifying restrictions of the intertemporal capital asset pricing model are usually rejected when tested using data on consumption growth and asset re...

Keywords

RISK
CONSUMPTION
EQUITY PREMIUM
CAPITAL
PRICING
CAPITAL ASSET PRICING MODEL
CONSTANT RELATIVE RISK AVERSION
CONDITIONAL VARIANCE

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