Epstein-Zin preferences separate risk aversion from the intertemporal elasticity of substitution in asset pricing models
the verdict
SUPPORTED
the evidence backs this
confidence 81/100
Asset pricing models frequently use Epstein-Zin preferences specifically to separate risk aversion from the intertemporal elasticity of substitution.
Evidence for · 2
Declining CO<sub>2</sub> price paths.
2019 · cited by 9
The paper utilizes an Epstein-Zin specification precisely because it enables a framework that delinks preferences over risk from intertemporal substitution.
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More for · 1
An Asset Pricing Model with Time-Varying Elasticity of Intertemporal Substitution
2004 · cited by 1
The paper discusses the separation of the two characteristics of preferences—risk aversion and the elasticity of intertemporal substitution—as introduced by Epstein and Zin.