Consumption correlatedness and risk measurement in economies with non-traded assets and heterogeneous information

Author:

Grossman Sanford J.,Shiller Robert J.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference9 articles.

1. Real analysis and probability;Ash,1972

2. An intertemporal asset pricing model with stochastic consumption and investment opportunities;Breede;Journal of Financial Economics,1979

3. The consumption based asset pricing model: A note on potential tests and applications;Cornell;Journal of Financial Economics,1981

4. A rational anticipations intertemporal asset pricing theory;Cox;Econometrica,1983

5. Martingales and arbitrage in multiperiod securities markets;Harrison;Journal of Economic Theory,1979

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