-
1
-
-
0004142887
-
-
Mimeo, University of Chicago
-
ANDERSON, E., HANSEN, L. P. and SARGENT, T. J. (1998), "Risk and Robustness in Equilibrium" (Mimeo, University of Chicago).
-
(1998)
Risk and Robustness in Equilibrium
-
-
Anderson, E.1
Hansen, L.P.2
Sargent, T.J.3
-
2
-
-
84936823847
-
A Theory of Rational Addiction
-
BECKER, G. S. and MURPHY, K. M. (1988), "A Theory of Rational Addiction", Journal of Political Economy, 96, 675-700.
-
(1988)
Journal of Political Economy
, vol.96
, pp. 675-700
-
-
Becker, G.S.1
Murphy, K.M.2
-
3
-
-
0000779103
-
The Permanent Income Hypothesis: A Theoretical Formulation
-
BEWLEY, T. (1977), "The Permanent Income Hypothesis: A Theoretical Formulation", Journal of Economic Theory, 16, 252-259.
-
(1977)
Journal of Economic Theory
, vol.16
, pp. 252-259
-
-
Bewley, T.1
-
6
-
-
0030529407
-
A Dynamic Structural Model for Stock Return Volatility and Trading Volume
-
BROCK, W. A. and LEBARON, B. D. (1966), "A Dynamic Structural Model for Stock Return Volatility and Trading Volume", Review of Economics and Statistics, 78, 94-110.
-
(1966)
Review of Economics and Statistics
, vol.78
, pp. 94-110
-
-
Brock, W.A.1
Lebaron, B.D.2
-
7
-
-
21344493450
-
Hansen-Jagannathan Bounds as Classical Tests of Asset Pricing Models
-
BURNSIDE, C. (1994), "Hansen-Jagannathan Bounds as Classical Tests of Asset Pricing Models", Journal of Business and Economic Statistics, 12, 57-79.
-
(1994)
Journal of Business and Economic Statistics
, vol.12
, pp. 57-79
-
-
Burnside, C.1
-
9
-
-
0001271653
-
Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis
-
CAMPBELL, J. Y. (1987), "Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis", Econometrica, 55, 1249-1273.
-
(1987)
Econometrica
, vol.55
, pp. 1249-1273
-
-
Campbell, J.Y.1
-
11
-
-
0039921869
-
The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence
-
CARROLL, C. D. (1992), "The Buffer-Stock Theory of Saving: Some Macroeconomic Evidence", Brookings Papers on Economic Activity, 2, 61-156.
-
(1992)
Brookings Papers on Economic Activity
, vol.2
, pp. 61-156
-
-
Carroll, C.D.1
-
12
-
-
84993915341
-
Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns
-
CECCHETTI, S. G., LAM, P. and MARK, N. C. (1994), "Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns", Journal of Finance, 49, 123-152.
-
(1994)
Journal of Finance
, vol.49
, pp. 123-152
-
-
Cecchetti, S.G.1
Lam, P.2
Mark, N.C.3
-
13
-
-
0002527178
-
Cagan's Model of Hyperinflation under Rational Expectations
-
CHRISTIANO, L. J. (1987), "Cagan's Model of Hyperinflation under Rational Expectations", International Economic Review, 28, 33-49.
-
(1987)
International Economic Review
, vol.28
, pp. 33-49
-
-
Christiano, L.J.1
-
14
-
-
0003004926
-
The Permanent Income Model Revisited
-
CHRISTIANO, L. J., EICHENBAUM, M. and MARSHALL, D. (1991), "The Permanent Income Model Revisited", Econometrica, 59, 397-423.
-
(1991)
Econometrica
, vol.59
, pp. 397-423
-
-
Christiano, L.J.1
Eichenbaum, M.2
Marshall, D.3
-
15
-
-
0000080701
-
The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives
-
COCHRANE, J. H. (1989), "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives", American Economic Review, 79, 319-337.
-
(1989)
American Economic Review
, vol.79
, pp. 319-337
-
-
Cochrane, J.H.1
-
16
-
-
0002646438
-
Asset Pricing Explorations for Macroeconomics
-
Cambridge, MA: MIT Press
-
COCHRANE, J. and HANSEN, L. P. (1992), "Asset Pricing Explorations for Macroeconomics", NBER Macroeconomics Annual (Cambridge, MA: MIT Press), 115-165.
-
(1992)
NBER Macroeconomics Annual
, pp. 115-165
-
-
Cochrane, J.1
Hansen, L.P.2
-
17
-
-
84935322716
-
Habit Formation: A Resolution of the Equity Premium Puzzle
-
CONSTANTINIDES, G. M. (1990), "Habit Formation: A Resolution of the Equity Premium Puzzle", Journal of Political Economy, 98, 519-543.
-
(1990)
Journal of Political Economy
, vol.98
, pp. 519-543
-
-
Constantinides, G.M.1
-
18
-
-
0001517908
-
Saving and Liquidity Constraints
-
DEATON, A. (1991), "Saving and Liquidity Constraints", Econometrica, 59, 1221-1248.
-
(1991)
Econometrica
, vol.59
, pp. 1221-1248
-
-
Deaton, A.1
-
20
-
-
0001035622
-
Risk Aversion and Asset Prices
-
EPSTEIN, L. G. (1988), "Risk Aversion and Asset Prices", Journal of Monetary Economics, 22, 179-192.
-
(1988)
Journal of Monetary Economics
, vol.22
, pp. 179-192
-
-
Epstein, L.G.1
-
21
-
-
0000206041
-
Intertemporal Asset Pricing under Knightian Uncertainty
-
EPSTEIN, L. G. and WANG, T. (1994), "Intertemporal Asset Pricing Under Knightian Uncertainty", Econometrica, 62, 283-322.
-
(1994)
Econometrica
, vol.62
, pp. 283-322
-
-
Epstein, L.G.1
Wang, T.2
-
22
-
-
0000842941
-
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
-
EPSTEIN, L. G. and ZIN, S. E. (1989), "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework", Econometrica, 57, 937-969.
-
(1989)
Econometrica
, vol.57
, pp. 937-969
-
-
Epstein, L.G.1
Zin, S.E.2
-
23
-
-
38249016161
-
First-Order Risk Aversion and the Equity Premium Puzzle
-
EPSTEIN, L. G. and ZIN, S. E. (1990), "First-Order Risk Aversion and the Equity Premium Puzzle", Journal of Monetary Economics, 26, 387-407.
-
(1990)
Journal of Monetary Economics
, vol.26
, pp. 387-407
-
-
Epstein, L.G.1
Zin, S.E.2
-
25
-
-
0003292809
-
Using Conditional Moments of Asset Payoffs to Infer the Volatility of Intertemporal Marginal Rates of Substitution
-
GALLANT, R., HANSEN, L. P. and TAUCHEN, G. (1990), "Using Conditional Moments of Asset Payoffs to Infer the Volatility of Intertemporal Marginal Rates of Substitution", Journal of Econometrics, 45, 145-179.
-
(1990)
Journal of Econometrics
, vol.45
, pp. 145-179
-
-
Gallant, R.1
Hansen, L.P.2
Tauchen, G.3
-
26
-
-
0001266334
-
Maxmin Expected Utility with Non-Unique Prior
-
GILBOA, I. and SCHMEIDLER, D. (1989), "Maxmin Expected Utility with Non-Unique Prior", Journal of Mathematical Economics, 18, 141-153.
-
(1989)
Journal of Mathematical Economics
, vol.18
, pp. 141-153
-
-
Gilboa, I.1
Schmeidler, D.2
-
28
-
-
0000155749
-
Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence
-
HALL, R. E. (1978), "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence", Journal of Political Economy, 91, 249-265.
-
(1978)
Journal of Political Economy
, vol.91
, pp. 249-265
-
-
Hall, R.E.1
-
29
-
-
0005783928
-
Calculating Asset Prices in Three Example Economics
-
T. F. Bewley (ed.), New York: Cambridge University Press
-
HANSEN, L. P. (1987), "Calculating Asset Prices in Three Example Economics", in T. F. Bewley (ed.), Advances in Econometrics, Fifth World Congress, Vol. 1 (New York: Cambridge University Press).
-
(1987)
Advances in Econometrics, Fifth World Congress, Vol. 1
, vol.1
-
-
Hansen, L.P.1
-
30
-
-
21844500802
-
Econometric Evaluation of Asset Pricing Models
-
HANSEN, L. P., HEATON, J., LUTTMER, E. G. J. (1995), "Econometric Evaluation of Asset Pricing Models", Review of Financial Studies, 8, 237-274.
-
(1995)
Review of Financial Studies
, vol.8
, pp. 237-274
-
-
Hansen, L.P.1
Heaton, J.2
Luttmer, E.G.J.3
-
31
-
-
84934563125
-
Implications of Security Market Data for Models of Dynamic Economics
-
HANSEN, L. P. and JAGANNATHAN, R. (1991), "Implications of Security Market Data for Models of Dynamic Economics", Journal of Political Economy, 99, 225-262.
-
(1991)
Journal of Political Economy
, vol.99
, pp. 225-262
-
-
Hansen, L.P.1
Jagannathan, R.2
-
32
-
-
0003271764
-
Time Series Implications of Present-Value Budget Balance and of Martingale Models of Consumption and Taxes
-
Boulder: Westview Press
-
HANSEN, L. P., ROBERDS, W. and SARGENT, T. J. (1991), "Time Series Implications of Present-Value Budget Balance and of Martingale Models of Consumption and Taxes", Rational Expectations Econometrics (Boulder: Westview Press).
-
(1991)
Rational Expectations Econometrics
-
-
Hansen, L.P.1
Roberds, W.2
Sargent, T.J.3
-
33
-
-
0041467229
-
Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Continuous Time
-
HANSEN, L. P. and SARGENT, T. J. (1983). "Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Continuous Time", International Economic Review, 24, 1-20.
-
(1983)
International Economic Review
, vol.24
, pp. 1-20
-
-
Hansen, L.P.1
Sargent, T.J.2
-
34
-
-
0001920287
-
Seasonally and Approximation Errors in Rational Expectations Models
-
HANSEN, L. P. and SARGENT, T. J. (1993), "Seasonally and Approximation Errors in Rational Expectations Models", Journal of Econometrics, 55, 21-55.
-
(1993)
Journal of Econometrics
, vol.55
, pp. 21-55
-
-
Hansen, L.P.1
Sargent, T.J.2
-
35
-
-
0029304830
-
Discounted Linear Exponential Quadratic Gaussian Control
-
HANSEN, L. P. and SARGENT, T. J. (1995), "Discounted Linear Exponential Quadratic Gaussian Control", IEEE Transactions on Automatic Control, 40, 968-971.
-
(1995)
IEEE Transactions on Automatic Control
, vol.40
, pp. 968-971
-
-
Hansen, L.P.1
Sargent, T.J.2
-
38
-
-
38649141305
-
Martingales and Arbitrage in Multiperiod Securities Markets
-
HARRISON, J. M. and KREPS, D. M. (1979), "Martingales and Arbitrage in Multiperiod Securities Markets", Journal of Economic Theory, 20, 381-408.
-
(1979)
Journal of Economic Theory
, vol.20
, pp. 381-408
-
-
Harrison, J.M.1
Kreps, D.M.2
-
39
-
-
0000519804
-
The Interaction between Time-Nonseparable Preferences and Time Aggregation
-
HEATON, J. (1993), "The Interaction Between Time-Nonseparable Preferences and Time Aggregation", Econometrica, 61, 353-385.
-
(1993)
Econometrica
, vol.61
, pp. 353-385
-
-
Heaton, J.1
-
40
-
-
0000900299
-
An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications
-
HEATON, J. (1995), "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications", Econometrica, 63, 681-718.
-
(1995)
Econometrica
, vol.63
, pp. 681-718
-
-
Heaton, J.1
-
41
-
-
0015615984
-
Optimal Stochastic Linear Systems with Exponential Performance Criteria and Their Relation to Deterministic Differential Games
-
JACOBSON, D. H. (1973), "Optimal Stochastic Linear Systems with Exponential Performance Criteria and Their Relation to Deterministic Differential Games", IEEE Transactions on Automatic Control, 18, 124-131.
-
(1973)
IEEE Transactions on Automatic Control
, vol.18
, pp. 124-131
-
-
Jacobson, D.H.1
-
43
-
-
0026449891
-
Asymptotic Analysis of Nonlinear Stochastic Risk-Sensitive Control and Differential Games
-
JAMES, M. R. (1992), "Asymptotic Analysis of Nonlinear Stochastic Risk-Sensitive Control and Differential Games", Control, Signals, and Systems, 5, 401-417.
-
(1992)
Control, Signals, and Systems
, vol.5
, pp. 401-417
-
-
James, M.R.1
-
44
-
-
0042260037
-
-
Mimeo, Department of Engineering, Australian National University
-
∞ Control" (Mimeo, Department of Engineering, Australian National University).
-
(1995)
∞ Control
-
-
James, M.R.1
-
45
-
-
44949277629
-
Asset Returns and Intertemporal Preferences
-
KANDEL, S. and STAMBAUGH, R. F. (1991), "Asset Returns and Intertemporal Preferences", Journal of Monetary Economics, 27, 40-71.
-
(1991)
Journal of Monetary Economics
, vol.27
, pp. 40-71
-
-
Kandel, S.1
Stambaugh, R.F.2
-
46
-
-
0001072531
-
Temporal Resolution of Uncertainty and Dynamic Choice Theory
-
KREPS, D. M. and PORTEUS, E. L. (1978), "Temporal Resolution of Uncertainty and Dynamic Choice Theory", Econometrica, 46, 185-200.
-
(1978)
Econometrica
, vol.46
, pp. 185-200
-
-
Kreps, D.M.1
Porteus, E.L.2
-
47
-
-
0030117227
-
Rules of Thumb in Macroeconomic Equilibrium: A Quantitative Analysis
-
KRUSELL, P. and SMITH, T. (1996), "Rules of Thumb in Macroeconomic Equilibrium: A Quantitative Analysis", Journal of Economic Dynamics and Control, 20, 527-558.
-
(1996)
Journal of Economic Dynamics and Control
, vol.20
, pp. 527-558
-
-
Krusell, P.1
Smith, T.2
-
48
-
-
84916296747
-
Savings and Uncertainty: The Precautionary Demand for Savings
-
LELAND, H. (1968), "Savings and Uncertainty: the Precautionary Demand for Savings", Quarterly Journal of Economics, 82, 465-473.
-
(1968)
Quarterly Journal of Economics
, vol.82
, pp. 465-473
-
-
Leland, H.1
-
49
-
-
0018021189
-
Convergence Analysis of Parametric Identification Methods
-
LJUNG, L. (1978), "Convergence Analysis of Parametric Identification Methods", IEEE Transactions on Automatic Control, 23, 770-783.
-
(1978)
IEEE Transactions on Automatic Control
, vol.23
, pp. 770-783
-
-
Ljung, L.1
-
50
-
-
80052036526
-
An Equilibrium Model of the Business Cycle
-
LUCAS, R. E., Jr. (1975), "An Equilibrium Model of the Business Cycle", Journal of Political Economy, 83, 1113-1144.
-
(1975)
Journal of Political Economy
, vol.83
, pp. 1113-1144
-
-
Lucas Jr., R.E.1
-
51
-
-
0000150312
-
Asset Prices in an Exchange Economy
-
LUCAS, R. E., Jr. (1978), "Asset Prices in an Exchange Economy", Econometrica, 46, 1429-1445.
-
(1978)
Econometrica
, vol.46
, pp. 1429-1445
-
-
Lucas Jr., R.E.1
-
53
-
-
38249025567
-
Convergence of Least Squares Learning Mechanisms in Self-Referential Linear Stochastic Models
-
MARCET, A. and SARGENT, T. J. (1989), "Convergence of Least Squares Learning Mechanisms in Self-Referential Linear Stochastic Models", Journal of Ecnomic Theory, 48, 337-368.
-
(1989)
Journal of Ecnomic Theory
, vol.48
, pp. 337-368
-
-
Marcet, A.1
Sargent, T.J.2
-
54
-
-
45549119892
-
The Equity Premium Puzzle: A Solution?
-
MEHRA, R. and PRESCOTT, E. C. (1985), "The Equity Premium Puzzle: A Solution?", Journal of Monetary Economics, 22, 133-136.
-
(1985)
Journal of Monetary Economics
, vol.22
, pp. 133-136
-
-
Mehra, R.1
Prescott, E.C.2
-
56
-
-
0009959039
-
Optimal Consumption with a Stochastic Income Stream
-
MILLER, B. L. (1974), "Optimal Consumption with a Stochastic Income Stream", Econometrica, 42, 253-266.
-
(1974)
Econometrica
, vol.42
, pp. 253-266
-
-
Miller, B.L.1
-
57
-
-
84947407492
-
Optimal Properties of Exponentially Weighted Forecasts
-
MUTH, J. F. (1960), "Optimal Properties of Exponentially Weighted Forecasts", Journal of the American Statistics Association, 55, 299-306.
-
(1960)
Journal of the American Statistics Association
, vol.55
, pp. 299-306
-
-
Muth, J.F.1
-
58
-
-
0001392746
-
Evaluating Risky Consumption Paths: The Role of Intertemporal Substitutability
-
OBSTFELD, M. (1994), "Evaluating Risky Consumption Paths: The Role of Intertemporal Substitutability", European Economic Review, 38, 1471-1486.
-
(1994)
European Economic Review
, vol.38
, pp. 1471-1486
-
-
Obstfeld, M.1
-
59
-
-
46149131789
-
Theory Ahead of Business Cycle Measurement
-
K. Brunner and A. H. Meltzer (eds.), Real Business Cycles, Real Exchange Rates and Actual Policies
-
PRESCOTT, E. C. (1986), "Theory Ahead of Business Cycle Measurement", in K. Brunner and A. H. Meltzer (eds.), Real Business Cycles, Real Exchange Rates and Actual Policies, Carnegie-Rochester Conference Series on Public Policy, 25, 11-14.
-
(1986)
Carnegie-Rochester Conference Series on Public Policy
, vol.25
, pp. 11-14
-
-
Prescott, E.C.1
-
60
-
-
84959826005
-
Optimal Growth with Intertemporally Dependent Preferences
-
RYDER, H. E., Jr. and HEAL, G. M. (1973), "Optimal Growth with Intertemporally Dependent Preferences", Review of Economic Studies, 40, 1-31.
-
(1973)
Review of Economic Studies
, vol.40
, pp. 1-31
-
-
Ryder Jr., H.E.1
Heal, G.M.2
-
61
-
-
0002387168
-
Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth
-
SUNDARESAN, M. (1989), "Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth", Review of Financial Studies, 2, 73-89.
-
(1989)
Review of Financial Studies
, vol.2
, pp. 73-89
-
-
Sundaresan, M.1
-
63
-
-
0000879816
-
A Closed-Form Solution for a Model of Precautionary Saving
-
VAN DER PLOEG, F. (1993), "A Closed-Form Solution for a Model of Precautionary Saving", Review of Economic Studies, 60, 385-395.
-
(1993)
Review of Economic Studies
, vol.60
, pp. 385-395
-
-
Van Der Ploeg, F.1
-
64
-
-
38249004563
-
The Equity Premium Puzzle and the Riskfree Rate Puzzle
-
WEIL, P. (1989), "The Equity Premium Puzzle and the Riskfree Rate Puzzle", Journal of Monetary Economics, 24, 401-421.
-
(1989)
Journal of Monetary Economics
, vol.24
, pp. 401-421
-
-
Weil, P.1
-
65
-
-
0001926061
-
Nonexpected Utility in Macroeconomics
-
WEIL, P. (1990), "Nonexpected Utility in Macroeconomics", Quarterly Journal of Economics, 105, 29-42.
-
(1990)
Quarterly Journal of Economics
, vol.105
, pp. 29-42
-
-
Weil, P.1
-
66
-
-
0000963847
-
Precautionary Savings and the Permanent Income Hypothesis
-
WEIL, P. (1993), "Precautionary Savings and the Permanent Income Hypothesis", Review of Economic Studies, 60, 367-383.
-
(1993)
Review of Economic Studies
, vol.60
, pp. 367-383
-
-
Weil, P.1
-
67
-
-
0002644952
-
Maximum Likelihood Estimation of Misspecified Models
-
WHITE, H. (1982), "Maximum Likelihood Estimation of Misspecified Models', Econometrica, 50, 1-26.
-
(1982)
Econometrica
, vol.50
, pp. 1-26
-
-
White, H.1
-
70
-
-
0001667951
-
Risk-Sensitive Linear Quadratic Gaussian Control
-
WHITTLE, P. (1989), "Risk-Sensitive Linear Quadratic Gaussian Control", Advances in Applied Probability, 13, 764-777.
-
(1989)
Advances in Applied Probability
, vol.13
, pp. 764-777
-
-
Whittle, P.1
-
72
-
-
0019559036
-
Feedback and Optimal Sensitivity: Model Reference Transformations, Multiplicative Seminorms, and Approximate Inverses
-
ZAMES, G. (1981), "Feedback and Optimal Sensitivity: Model Reference Transformations, Multiplicative Seminorms, and Approximate Inverses", IEEE Transformations on Automatic Control, 26, 301-320.
-
(1981)
IEEE Transformations on Automatic Control
, vol.26
, pp. 301-320
-
-
Zames, G.1
-
73
-
-
2942757485
-
Optimal Consumption with Stochastic Income: Deviation from Certainty Equivalence
-
ZELDES, S. P. (1989), "Optimal Consumption with Stochastic Income: Deviation from Certainty Equivalence", Quarterly Journal of Economics, 104, 275-298.
-
(1989)
Quarterly Journal of Economics
, vol.104
, pp. 275-298
-
-
Zeldes, S.P.1
|