An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns
Tom Engsted and Stig V. Møller
| Year of publication: |
2010
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|---|---|
| Authors: | Engsted, Tom ; Møller, Stig Vinther |
| Published in: |
International journal of finance & economics : IJFE. - Chichester, Sussex : Wiley, ISSN 1076-9307, ZDB-ID 1324693-8. - Vol. 15.2010, 3, p. 213-227
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| Subject: | consumption-based model | habit persistence | GMM | pricing error | CAPM | Momentenmethode | Method of moments | Kapitaleinkommen | Capital income | Dänemark | Denmark | Schätztheorie | Estimation theory | Anleihe | Bond | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008702348