Asset Return Dynamics under Bad Environment Good Environment Fundamentals
收藏NBER2009-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w15222
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资源简介：
We introduce a "bad environment-good environment" technology for consumption growth in a consumption- based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while still
提供机构：
美国国家经济研究局
创建时间：
2009-08-01
