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Publications [#266687] of A Ronald Gallant

Journal Articles

  1. AR Gallant and H Hong, A statistical inquiry into the plausibility of recursive utility, Journal of Financial Econometrics, vol. 5 no. 4 (2007), pp. 523-559, ISSN 1479-8409 [doi]
    (last updated on 2016/06/24)

    We use purely statistical methods to determine if the pricing kernel is the intertemporal marginal rate of substitution under recursive utility. We introduce a nonparametric Bayesian method that treats the pricing kernel as a latent variable and extracts it and its transition density from payoffs on 24 Fama-French portfolios, on bonds, and on payoffs that use conditioning information available when portfolios are formed. Our priors are formed from an examination of a Bansal-Yaron economy. Using both monthly data and annual data, we find that the data support recursive utility. © The Author 2007. Published by Oxford University Press.

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