This paper specifies and empirically analyzes a continuous-time, linear-quadratic, representative consumer model wit h time-nonseparable preferences of several forms. Within this framewor k, the author shows how time aggregation and time nonseparabilities in preferences over consumption streams...

Using a simulated method of moments approach, the author evaluates a representative consumer asset pricing model in which the consumer is assumed to have time nonseparable preferences of several forms. Examining the model's implications for several moments of asset returns, he finds evidence for...

Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. The authors show how to use these generators to construct moment conditions implied by stationary Markov processes....

The purpose of this paper is to investigate testable implications of equilibrium asset pricing models. The authors derive a general representation for asset prices that displays the role of conditioning information. This representation is then used to examine restrictions implied by asset...

We create an analytical structure that reveals the long-run risk-return relationship for nonlinear continuous-time Markov environments. We do so by studying an eigenvalue problem associated with a positive eigenfunction for a conveniently chosen family of valuation operators. The members of this...