search query: @author Zin, S. E. / total: 2
reference: 1 / 2
« previous | next »
| Author: | Epstein, L. G. Zin, S. E. |
| Title: | The independence axiom and asset returns |
| Journal: | Journal of Empirical Finance
2001 : DEC, VOL. 8:5, p. 537-572 |
| Index terms: | ASSETS RISK |
| Freeterms: | INDEPENDENCE AXIOM |
| Language: | eng |
| Abstract: | This paper integrates models of atemporal risk preference that relax the independence axiom into a recursive intertemporal asset-pricing framework. The resulting models are amenable to empirical analysis using market data and standard Euler equation methods. The authors are thereby able to provide the first nonlaboratory-based evidence regarding the usefulness of several new theories of risk preference for addressing standard problems in dynamic economics. |
« previous | next »
SCIMA