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Browsing Duke Faculty Scholarship by Subject "volatility bounds"

DukeSpace

Browsing Duke Faculty Scholarship by Subject "volatility bounds"

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  • Burnside, Craig (American Statistical Association, 1994)
    In this article, tests of the implications of consumption-based asset-pricing models are developed. Four of these tests are based on variance bounds for intertemporal marginal rates of substitution introduced by Hansen and ...