Estimating the Continuous-Time Consumption-Based Asset-Pricing Model
用最大似然法从离散消费数据中一致估计连续时间消费基础资产定价模型的参数，包括相对风险厌恶系数和瞬时协方差，并用六组数据检验模型。
The consumption based asset pricing model predicts that excess yields are determined in a fairly simple way by the market's degree of relative risk aversion and by the pattern of covariances between per capita consumption growth and asset returns.Estimation and testing is complicated by the fact that the model's predictions relate to the instantaneous flow of consumption and point-in-time asset values, but only data on the integral or unit average of the consumption flow is available.In our paper, we show how to estimate the parameters of interest consistently from the available data by maximum likelihood.We estimate the market's degree of relative risk aversion and the instantaneous covariances of asset yields and consumption using six different data sets.We also test the model's overidentifying restrictions.