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Consumption-based asset pricing models
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aggregate equity and bond returns
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deterministic habit
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external habit
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internal habit
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preference shocks
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stochastic habit
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Dai, Qiang
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Grishchenko, Olesya V.
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An Empirical Investigation of Consumption-Based Asset Pricing Models with Stochastic Habit Formation
Dai, Qiang
;
Grishchenko, Olesya V.
- In:
Quarterly Journal of Finance (QJF)
04
(
2014
)
01
,
pp. 1450005-1
returns than models with either
deterministic
habit
or stochastic external habit. …
Persistent link: https://www.econbiz.de/10010929720
Saved in:
2
An empirical investigation of consumption-based asset pricing models with stochastic habit formation
Dai, Qiang
;
Grishchenko, Olesya V.
- In:
The quarterly journal of finance
4
(
2014
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010423784
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