TY  - JOUR
AU  - Epstein,Larry G.
AU  - Melino,Angelo
TI  - A Revealed Preference Analysis of Asset Pricing Under Recursive Utility
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4524
PY  - 1993
Y2  - November 1993
UR  - http://www.nber.org/papers/w4524
L1  - http://www.nber.org/papers/w4524.pdf
N1  - Author contact info:
Larry Epstein
Department of Economics
Boston University
270 Bay State Road
Boston MA 02215
E-Mail: lepstein@bu.edu

Angelo Melino
E-Mail: angelo.melino@utoronto.ca
AB  - This paper considers a representative agent model of asset prices based on a recursive utility specification.  A constant elasticity of intertemporal substitution is assumed but the risk-preference component of utility is restricted only by qualitative, nonparametric regularity conditions.  The principal contribution is to determine the exhaustive implications of this semiparametric recursive utility model for the one-step ahead joint probability distribution for consumption growth and asset returns.
ER  -