Similar Search Results

An estimated DSGE model : explaining variation in normal term premia, real term premia, and inflation risk premia

Andreasen, Martin Møller - In: European economic review : EER 56 (2012) 8, pp. 1656-1674

Persistent link: https://www.econbiz.de/10009706466

Explaining asset prices with low risk aversion and low intertemporal substitution

Andreasen, Martin Møller; Jørgensen, Kasper - 2016

Persistent link: https://www.econbiz.de/10011474816

Efficient bond price approximations in nonlinear equilibrium-based term structure models

Andreasen, Martin Møller; Zabczyk, Pawel - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10011311205

Term structure analysis with big data : one-step estimation using bond prices

Andreasen, Martin Møller; Christensen, Jens H. E.; … - In: Journal of econometrics 212 (2019) 1, pp. 26-46

Persistent link: https://www.econbiz.de/10012303862

The importance of timing attitudes in consumption-based asset pricing models

Andreasen, Martin Møller; Jørgensen, Kasper - In: Journal of monetary economics 111 (2020), pp. 95-117

Persistent link: https://www.econbiz.de/10012494234

The Importance of Timing Attitudes in Consumption-Based Asset Pricing Models

Andreasen, Martin M. - 2016

This paper introduces a new utility kernel for Epstein-Zin-Weil preferences to obtain greater flexibility in setting the intertemporal elasticity of substitution, the relative risk aversion (RRA), and the timing attitude compared to their standard implementation. We show that these new...

Persistent link: https://www.econbiz.de/10012977918