Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

The equity premium: A puzzle

1985 • 5,686 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

An econometric model of serial correlation and illiquidity in hedge fund returns

2004 • 1,039 citations

Multifactor models do not explain deviations from the CAPM

1995 • 586 citations

Specification testing in Markov-switching time-series models

1996 • 468 citations

The equity premium and the risk-free rate: matching the moments

1991 • 158 citations

On the ‘discount’ factor in growth economies

1990 • 151 citations

Markov Regime Switching and Unit-Root Tests

2001 • 135 citations

Indirect inference and calibration of dynamic stochastic general equilibrium models

2006 • 130 citations

Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles

1993 • 41 citations

Taxpayers Attitudes Toward Risk and Amnesty Participation: Economic Analysis and Evidence for the Italian Case

1997 • 36 citations

Equity-premium puzzle: evidence from Brazilian data

2006 • 35 citations

Learning, regime switches, and equilibrium asset pricing dynamics

1996 • 18 citations

EXPLAINING THE EQUITY RISK PREMIUM*

2006 • 10 citations

RDP 9103: The Failure of Uncovered Interest Parity: Is it Near-Rationality in the Foreign Exchange Market?

1991 • 3 citations

Unit Root Tests in the Presence of Markov Regime-Switching

1999 • 2 citations