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Time-consistent no-arbitrage models of the term structure
Brandt, Michael W. (contributor); Yaron, Amir (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002023790
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Time-consistent no-arbitrage models of the term structure
Brandt, Michael W.; Yaron, Amir - 2003
Persistent link: https://www.econbiz.de/10001731395
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Time-Consistent No-Arbitrage Models of the Term Structure
Brandt, Michael W. - 2003
We present an econometric procedure for calibrating no-arbitrage term structure models in a way that is time-consistent and robust to measurement errors. Typical no-arbitrage models are time-inconsistent because their parameters are assumed constant for pricing purposes despite the fact that the...
Persistent link: https://www.econbiz.de/10012469245
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Time-Consistent No-Arbitrage Models of the Term Structure
Yaron, Amir - 2003
We present an econometric procedure for calibrating no-arbitrage term structure models in a way that is time-consistent and robust to measurement errors. Typical no-arbitrage models are time-inconsistent because their parameters are assumed constant for pricing purposes despite the fact that the...
Persistent link: https://www.econbiz.de/10012786740
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Estimating portfolio and consumption choice : a conditional Euler equations approach
Brandt, Michael W. - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1609-1645
Persistent link: https://www.econbiz.de/10001430862
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Consumption and risk sharing over the life cycle
Storesletten, Kjetil; Telmer, Chris I.; Yaron, Amir - 2000
Persistent link: https://www.econbiz.de/10001528616
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The welfare cost of business cycles revisited : finite lives and cyclical variation in idiosyncratic risk
Storesletten, Kjetil; Telmer, Chris I.; Yaron, Amir - 2000
Persistent link: https://www.econbiz.de/10001535942
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Risks for the long run : a potential resolution of asset pricing puzzles
Bansal, Ravi; Yaron, Amir - 2000
Persistent link: https://www.econbiz.de/10001537278
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Fixed costs and asset market participation
Yaron, Amir; Zhang, Harold H. - In: Revista de análisis económico 15 (2000) 1, pp. 89-109
Persistent link: https://www.econbiz.de/10001537960
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Asset pricing with idiosyncratic risk and overlapping generations
Storesletten, Kjetil; Telmer, Chris I.; Yaron, Amir - 1999
Persistent link: https://www.econbiz.de/10001425208