Replication package for "Existence of the Wealth-Consumption Ratio in Asset P...

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The paper provides conditions on how to show existence and uniqueness in modern asset pricing models. The replication package provides codes for computing the conditions for a...

Replication package for "Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences"

The paper provides conditions on how to show existence and uniqueness in modern asset pricing models. The replication package provides codes for computing the conditions for a general model setup.

DataverseNL2024-11-20 更新20

The Wealth-Consumption Ratio

We set up an exponentially affine stochastic discount factor model for bond yields and stock returns in order to estimate the prices of aggregate risk. We use the estimated risk prices to compute the

NBER2008-03-01 更新20

Supplementary material for Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences

Online appendix as well as code to numerically compute the existence condition in equation (18) for discrete time affine models as in equation D.1 of the online appendix.

NIAID Data Ecosystem00

Replication package for "Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences"

The paper provides conditions on how to show existence and uniqueness in modern asset pricing models. The replication package provides codes for computing the conditions for a general model setup.

DataCite Commons2025-07-03 更新80

Supplementary material for Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences

Online appendix as well as code to numerically compute the existence condition in equation (18) for discrete time affine models as in equation D.1 of the online appendix.

Harvard Dataverse2023-06-09 更新00