| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4524 |
| 来源ID | Working Paper 4524 |
| A Revealed Preference Analysis of Asset Pricing Under Recursive Utility | |
| Larry G. Epstein; Angelo Melino | |
| 发表日期 | 1993-11-01 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | This paper considers a representative agent model of asset prices based on a recursive utility specification. A constant elasticity of intertemporal substitution is assumed but the risk-preference component of utility is restricted only by qualitative, nonparametric regularity conditions. The principal contribution is to determine the exhaustive implications of this semiparametric recursive utility model for the one-step ahead joint probability distribution for consumption growth and asset returns. |
| URL | https://www.nber.org/papers/w4524 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561904 |
| 推荐引用方式 GB/T 7714 | Larry G. Epstein,Angelo Melino. A Revealed Preference Analysis of Asset Pricing Under Recursive Utility. 1993. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4524.pdf（2854KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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