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Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

, and . Journal of Financial Economics, 36 (1): 29--55 (August 1994)

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The Variation of Economic Risk Premiums, and . Journal of Political Economy, 99 (2): 385 (Jan 1, 1991)doi: 10.1086/261755.Time nonseparability in aggregate consumption : International evidence, , and . European Economic Review, 37 (5): 897--920 (June 1993)Seasonality and Consumption-Based Asset Pricing, and . Journal of Finance, 47 (2): 511-52 (1992)available at http://ideas.repec.org/a/bla/jfinan/v47y1992i2p511-52.html.Fundamental determinants of national equity market returns: A perspective on conditional asset pricing, and . Journal of Banking & Finance, 21 (11-12): 1625--1665 (December 1997)An exploratory investigation of the fundamental determinants of national equity market returns, and . NBER working paper series National Bureau of Economic Research, Cambridge, Mass., (1993)Habit persistence and durability in aggregate consumption: Empirical tests, and . Journal of Financial Economics, 29 (2): 199--240 (October 1991)Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations, and . Journal of Financial Economics, 18 (1): 127--146 (March 1987)Habit Persistence and Durability in Aggregate Consumption: Empirical Tests, and . NBER Working Papers, 3631. National Bureau of Economic Research, Inc, (March 1992)Finite sample properties of the generalized method of moments in tests of conditional asset pricing models, and . Journal of Financial Economics, 36 (1): 29--55 (August 1994)Sources of risk and expected returns in global equity markets, and . NBER working paper series National Bureau of Economic Research, Cambridge, Mass., (1994)