## Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns”

- Cecchetti, G Stephen, Pok-sang Lam, Nelson C. Mark
- Journal of Finance,
- 1994

Highly Influential

- Published 2002

Gallant, Hansen and Tauchen (1990) show how to use conditioning information optimally to construct a sharper unconditional variance bound on pricing kernels. The literature predominantly resorts to a simple but sub-optimal procedure that scales returns with predictive instruments and computes standard bounds using the original and scaled returns. This… (More)

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