Mariano Massimiliano Croce
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- M. Max Croce & Tatyana Marchuk & Christian Schlag, 2019.
"The Leading Premium,"
NBER Working Papers
25633, National Bureau of Economic Research, Inc.
Cited by:
- Meissner, Thomas & Pfeiffer, Philipp, 2022. "Measuring preferences over the temporal resolution of consumption uncertainty," Journal of Economic Theory, Elsevier, vol. 200(C).
- Harvey, Campbell R. & Liu, Yan, 2021. "Lucky factors," Journal of Financial Economics, Elsevier, vol. 141(2), pages 413-435.
- Lorenzo Bretscher & Andrea Tamoni & Aytek Malkhozov, 2019. "News Shocks and Asset Prices," 2019 Meeting Papers 100, Society for Economic Dynamics.
- Ana Monteiro & Nuno Silva & Helder Sebastião, 2023. "Industry return lead-lag relationships between the US and other major countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-48, December.
- Chava, Sudheer & Hsu, Alex & Zeng, Linghang, 2020. "Does history repeat itself? Business cycle and industry returns," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 201-218.
- Boubaker, Sabri & Li, Bo & Liu, Zhenya & Zhang, Yifan, 2021. "Decomposing anomalies," Economics Letters, Elsevier, vol. 202(C).
- Ravi Bansal & Mariano Max Croce & Wenxi Liao & Samuel Rosen, 2019.
"Uncertainty-Induced Reallocations and Growth,"
NBER Working Papers
26248, National Bureau of Economic Research, Inc.
- Croce, Mariano & Bansal, Ravi & Liao, Wenxi & Rosen, Samuel, 2019. "Uncertainty-Induced Reallocations and Growth," CEPR Discussion Papers 13964, C.E.P.R. Discussion Papers.
Cited by:
- Ding Dong & Zheng Liu & Pengfei Wang, 2021. "Turbulent Business Cycles," Working Paper Series 2021-22, Federal Reserve Bank of San Francisco.
- Valeriu Nalban & Andra Smadu, 2020. "Financial disruptions and heightened uncertainty: a case for timely policy action," Working Papers 687, DNB.
- Nalban, Valeriu & Smădu, Andra, 2021. "Asymmetric effects of uncertainty shocks: Normal times and financial disruptions are different," Journal of Macroeconomics, Elsevier, vol. 69(C).
- Segal, Gill & Shaliastovich, Ivan, 2023. "Uncertainty, risk, and capital growth," SAFE Working Paper Series 388, Leibniz Institute for Financial Research SAFE.
- Lorenzo Bretscher & Alex Hsu & Andrea Tamoni, 2023. "The Real Response to Uncertainty Shocks: The Risk Premium Channel," Management Science, INFORMS, vol. 69(1), pages 119-140, January.
- Jose Maria Barrero & Nicholas Bloom & Steven J. Davis, 2020.
"COVID-19 Is Also a Reallocation Shock,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(2 (Summer), pages 329-383.
- Barrero, Jose Maria & Bloom, Nick & Davis, Steven J., 2020. "COVID-19 Is Also a Reallocation Shock," SocArXiv bw7vz, Center for Open Science.
- Jose Maria Barrero & Nicholas Bloom & Steven J. Davis, 2020. "COVID-19 Is Also a Reallocation Shock," NBER Working Papers 27137, National Bureau of Economic Research, Inc.
- Jose Maria Barrero & Nicholas Bloom & Steven J. Davis, 2020. "COVID-19 Is Also a Reallocation Shock," Working Papers 2020-60, Becker Friedman Institute for Research In Economics.
- Sirine Zribi, 2022. "Effects of social influence on crowdfunding performance: implications of the covid-19 pandemic," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-8, December.
- Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
- Riccardo Colacito & Mariano Max Croce & Yang Liu & Ivan Shaliastovich, 2018.
"Volatility Risk Pass-through,"
NBER Working Papers
25276, National Bureau of Economic Research, Inc.
- Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
- Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
Cited by:
- Kim, Seong-Tae & Kim, Jeong-Hoon, 2020. "Stochastic elasticity of vol-of-vol and pricing of variance swaps," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 420-440.
- David Altig & Jose Maria Barrero & Nicholas Bloom & Steven J. Davis & Brent H. Meyer & Nicholas Parker, 2019.
"Surveying Business Uncertainty,"
NBER Working Papers
25956, National Bureau of Economic Research, Inc.
- Altig, David & Barrero, Jose Maria & Bloom, Nicholas & Davis, Steven J. & Meyer, Brent & Parker, Nicholas, 2022. "Surveying business uncertainty," Journal of Econometrics, Elsevier, vol. 231(1), pages 282-303.
- David E. Altig & Jose Maria Barrero & Nicholas Bloom & Steven J. Davis & Brent Meyer & Nicholas B. Parker, 2020. "Surveying Business Uncertainty," FRB Atlanta Working Paper 2019-13, Federal Reserve Bank of Atlanta.
- Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020.
"Tempered Stable Processes with Time Varying Exponential Tails,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
hal-03018495, HAL.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2022. "Tempered stable processes with time-varying exponential tails," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 541-561, March.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03512709, HAL.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Working Papers hal-03018495, HAL.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Post-Print hal-03512709, HAL.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Papers 2006.07669, arXiv.org, revised Aug 2020.
- Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
- Carrera Jorge & Montes Rojas Gabriel & Solla Mariquena & Toledo Fernando, 2022.
"Global Financial Cycle, Commodity Terms of Trade and Financial Spreads in Emerging Markets and Developing Economies,"
Asociación Argentina de Economía Política: Working Papers
4613, Asociación Argentina de Economía Política.
- Jorge Carrera & Gabriel Montes-Rojas & Fernando Toledo, 2021. "Global Financial Cycle, Commodity Terms of Trade and Financial Spreads in Emerging Markets and Developing Economies," Papers 2112.04218, arXiv.org.
- Carrera, Jorge & Montes-Rojas, Gabriel & Toledo, Fernando, 2023. "Global financial cycle, commodity terms of trade and financial spreads in emerging markets and developing economies," Structural Change and Economic Dynamics, Elsevier, vol. 64(C), pages 179-190.
- Giacomo Toscano & Maria Cristina Recchioni, 2020. "Bias optimal vol-of-vol estimation: the role of window overlapping," Papers 2004.04013, arXiv.org, revised Jul 2021.
- Ruan, Xinfeng, 2020. "Volatility-of-volatility and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 48(C).
- Ferrara, L. & Istrefi, K., 2016. "Impact des chocs d’incertitude sur l’économie mondiale – Synthèse de conférence," Bulletin de la Banque de France, Banque de France, issue 206, pages 61-68.
- Arezki, Rabah & Liu, Yang, 2020. "On the (Changing) asymmetry of global spillovers: Emerging markets vs. advanced economies," Journal of International Money and Finance, Elsevier, vol. 107(C).
- Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
- Min-Ku Lee & See-Woo Kim & Jeong-Hoon Kim, 2022. "Variance Swaps Under Multiscale Stochastic Volatility of Volatility," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 39-64, March.
- Mariano Croce & Anastasios G. Karantounias & Stephen Raymond & Lukas Schmid, 2017.
"A Tax Plan for Endogenous Innovation,"
FRB Atlanta Working Paper
2017-13, Federal Reserve Bank of Atlanta.
- Steve Raymond & Lukas Schmid & Anastasios Karantounias & Mariano Croce, 2017. "A Tax Plan for Endogenous Innovation," 2017 Meeting Papers 109, Society for Economic Dynamics.
Cited by:
- Donadelli, Michael & Grüning, Patrick, 2017.
"Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare,"
SAFE Working Paper Series
171, Leibniz Institute for Financial Research SAFE.
- Michael Donadelli & Patrick Gruning, 2017. "Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare," Bank of Lithuania Working Paper Series 43, Bank of Lithuania.
- Donadelli, Michael & Grüning, Patrick, 2021. "Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- Gross, Till & Klein, Paul, 2022. "Optimal tax policy and endogenous growth through innovation," Journal of Public Economics, Elsevier, vol. 209(C).
- Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007.
"Investor Information, Long-Run Risk, and the Term Structure of Equity,"
NBER Working Papers
12912, National Bureau of Economic Research, Inc.
- Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2015. "Investor Information, Long-Run Risk, and the Term Structure of Equity," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 706-742.
Cited by:
- Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
- Isaac Kleshchelski & Nicolas Vincent, 2009.
"Robust Equilibrium Yield Curves,"
Cahiers de recherche
0907, CIRPEE.
- Nicolas Vincent & Isaac Kleshchelski, 2008. "Robust Equilibrium Yield Curves," 2008 Meeting Papers 486, Society for Economic Dynamics.
- Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée.
- Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," Working Papers hal-04141877, HAL.
- Roberto Marfè, 2015.
"Income Insurance and the Equilibrium Term-Structure of Equity,"
Carlo Alberto Notebooks
407, Collegio Carlo Alberto.
- Roberto Marfè, 2017. "Income Insurance and the Equilibrium Term Structure of Equity," Journal of Finance, American Finance Association, vol. 72(5), pages 2073-2130, October.
- Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
- A. Ronald Gallant & George Tauchen, 2021. "Cash Flows Discounted Using a Model-Free SDF Extracted under a Yield Curve Prior," JRFM, MDPI, vol. 14(3), pages 1-15, March.
- González, Mariano & Nave, Juan & Rubio, Gonzalo, 2018. "Macroeconomic determinants of stock market betas," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 26-44.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2015.
"The Term Structure of Returns: Facts and Theory,"
NBER Working Papers
21234, National Bureau of Economic Research, Inc.
- van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
- Koijen, Ralph & van Binsbergen, Jules, 2015. "The Term Structure of Returns: Facts and Theory," CEPR Discussion Papers 10633, C.E.P.R. Discussion Papers.
- Robert Barro & Tao Jin, 2021.
"Rare Events and Long-Run Risks,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 1-25, January.
- Robert J. Barro & Tao Jin, 2016. "Rare events and long-run risks," AEI Economics Working Papers 905253, American Enterprise Institute.
- Robert Barro & Tao Jin, 2020. "Online Appendix to "Rare Events and Long-Run Risks"," Online Appendices 18-485, Review of Economic Dynamics.
- Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," Working Paper 115371, Harvard University OpenScholar.
- Robert Barro & Tao Jin, 2020. "Code and data files for "Rare Events and Long-Run Risks"," Computer Codes 18-485, Review of Economic Dynamics.
- Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," NBER Working Papers 21871, National Bureau of Economic Research, Inc.
- Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
- Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020.
"Dynamic Equity Slope,"
Working Papers
2020:21, Department of Economics, University of Venice "Ca' Foscari".
- Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Carlo Alberto Notebooks 626, Collegio Carlo Alberto.
- Adem Atmaz & Suleyman Basak, 2022. "Stock Market and No‐Dividend Stocks," Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
- Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," EconomiX Working Papers 2019-8, University of Paris Nanterre, EconomiX.
- Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019.
"The Term Structure of Equity Risk Premia,"
NBER Working Papers
25690, National Bureau of Economic Research, Inc.
- Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021. "The term structure of equity risk premia," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
- Fernando M. Duarte & Carlo Rosa, 2015.
"The equity risk premium: a review of models,"
Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
- Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Staff Reports 714, Federal Reserve Bank of New York.
- Bidder, R.M. & Smith, M.E., 2018.
"Doubts and variability: A robust perspective on exotic consumption series,"
Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
- Rhys M. Bidder & Matthew E. Smith, 2013. "Doubts and Variability: A Robust Perspective on Exotic Consumption Series," Working Paper Series 2013-28, Federal Reserve Bank of San Francisco.
- Pierlauro Lopez, 2016. "Welfare Implications of the Term Structure of Returns: Should Central Banks Fill Gaps or Remove Volatility?," 2016 Meeting Papers 742, Society for Economic Dynamics.
- van Binsbergen, Jules & Hueskes, Wouter & Koijen, Ralph & Vrugt, Evert, 2013.
"Equity yields,"
Journal of Financial Economics, Elsevier, vol. 110(3), pages 503-519.
- Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt, 2011. "Equity Yields," NBER Working Papers 17416, National Bureau of Economic Research, Inc.
- Gollier, Christian, 2016.
"Evaluation of long-dated assets: The role of parameter uncertainty,"
Journal of Monetary Economics, Elsevier, vol. 84(C), pages 66-83.
- Gollier, Christian, 2012. "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers 12-361, Toulouse School of Economics (TSE), revised Sep 2015.
- Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
- Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers 18450, National Bureau of Economic Research, Inc.
- Hasler, Michael & Marfè, Roberto, 2016.
"Disaster recovery and the term structure of dividend strips,"
Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
- Michael Hasler & Roberto Marfè, 2016. "Disaster recovery and the term structure of dividend strips?," Carlo Alberto Notebooks 458, Collegio Carlo Alberto.
- Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
- Xiaohong Chen & Jack Fuvilukis & Sydney Ludvigson, 2012.
"An Estimation of Economic Models with Recursive Preferences,"
Cowles Foundation Discussion Papers
1883, Cowles Foundation for Research in Economics, Yale University.
- Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2013. "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics 37392, London School of Economics and Political Science, LSE Library.
- Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2011. "An Estimation of Economic Models with Recursive Preferences," NBER Working Papers 17130, National Bureau of Economic Research, Inc.
- Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2013. "An estimation of economic models with recursive preferences," Quantitative Economics, Econometric Society, vol. 4(1), pages 39-83, March.
- Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012. "An estimation of economic models with recursive preferences," CeMMAP working papers CWP32/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2007. "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics 24502, London School of Economics and Political Science, LSE Library.
- Sydney Ludvigson & Jack Favalukus & Xiaohong Chen, 2007. "An Estimation of Economic Models with Recursive Preferences," 2007 Meeting Papers 543, Society for Economic Dynamics.
- Roberto Marfè, 2015.
"Corporate Fraction and the Equilibrium Term-Structure of Equity Risk,"
Carlo Alberto Notebooks
409, Collegio Carlo Alberto.
- Roberto Marfè, 2016. "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, vol. 20(2), pages 855-905.
- Riccardo Colacito & Mariano Croce, 2005.
"Risks For The Long Run And The Real Exchange Rate,"
2005 Meeting Papers
794, Society for Economic Dynamics.
- Riccardo Colacito & Mariano M. Croce, 2011. "Risks for the Long Run and the Real Exchange Rate," Journal of Political Economy, University of Chicago Press, vol. 119(1), pages 153-181.
- Ravi Jagannathan & Binying Liu, 2019.
"Dividend Dynamics, Learning, and Expected Stock Index Returns,"
Journal of Finance, American Finance Association, vol. 74(1), pages 401-448, February.
- Ravi Jagannathan & Binying Liu, 2015. "Dividend Dynamics, Learning, and Expected Stock Index Returns," NBER Working Papers 21557, National Bureau of Economic Research, Inc.
- Christian Gollier, 2012.
"Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes,"
CESifo Working Paper Series
4052, CESifo.
- Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," LERNA Working Papers 12.28.385, LERNA, University of Toulouse.
- Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers 754, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2015.
- Michael Weber, 2016.
"Cash Flow Duration and the Term Structure of Equity Returns,"
NBER Working Papers
22520, National Bureau of Economic Research, Inc.
- Michael Weber & Michael Weber, 2016. "Cash Flow Duration and the Term Structure of Equity Returns," CESifo Working Paper Series 6043, CESifo.
- Weber, Michael, 2018. "Cash flow duration and the term structure of equity returns," Journal of Financial Economics, Elsevier, vol. 128(3), pages 486-503.
- J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
- Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012.
"Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence,"
NBER Working Papers
18128, National Bureau of Economic Research, Inc.
- Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2017. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 1-39, January.
- Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
- Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023.
"Nominal Rigidities and the Term Structures of Equity and Bond Returns,"
Working Papers
23-11, Federal Reserve Bank of Cleveland.
- Pier dup Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2015. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Finance and Economics Discussion Series 2015-64, Board of Governors of the Federal Reserve System (U.S.).
- Veronesi, Pietro & Pástor, Luboš, 2009.
"Learning in Financial Markets,"
CEPR Discussion Papers
7127, C.E.P.R. Discussion Papers.
- Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
- Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," NBER Working Papers 14646, National Bureau of Economic Research, Inc.
- P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
- TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018.
"An Equilibrium Model of Term Structures of Bonds and Equities,"
Working Paper Series
G-1-19, Hitotsubashi University Center for Financial Research.
- Takamizawa, Hideyuki, 2022. "An equilibrium model of the term structures of bonds and equities," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Taeyoung Doh & Shu Wu, 2016. "The Equilibrium Term Structure of Equity and Interest Rates," Research Working Paper RWP 16-11, Federal Reserve Bank of Kansas City.
- Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016. "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, vol. 106(3), pages 664-698, March.
- Mohrschladt, Hannes & Nolte, Sven, 2018. "A new risk factor based on equity duration," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 126-135.
- Xavier Gabaix, 2016.
"Behavioral Macroeconomics Via Sparse Dynamic Programming,"
NBER Working Papers
21848, National Bureau of Economic Research, Inc.
- Gabaix, Xavier, 2015. "Behavioral Macroeconomics Via Sparse Dynamic Programming," CEPR Discussion Papers 11026, C.E.P.R. Discussion Papers.
- Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16R, Federal Reserve Bank of Cleveland, revised 16 May 2023.
- Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph, 2013. "Asset pricing under uncertainty about shock propagation," SAFE Working Paper Series 34, Leibniz Institute for Financial Research SAFE.
- Chen, Huafeng (Jason), 2011. "Firm life expectancy and the heterogeneity of the book-to-market effect," Journal of Financial Economics, Elsevier, vol. 100(2), pages 402-423, May.
- Ravi Jagannathan & Srikant Marakani, 2015.
"Price-Dividend Ratio Factor Proxies for Long-Run Risks,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(1), pages 1-47.
- Ravi Jagannathan & Srikant Marakani, 2011. "Price Dividend Ratio Factors : Proxies for Long Run Risk," NBER Working Papers 17484, National Bureau of Economic Research, Inc.
- Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Leibniz Institute for Financial Research SAFE.
- Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
- Breugem, Matthijs & Marfè, Roberto, 2020. "Long-run versus short-run news and the term structure of equity," Finance Research Letters, Elsevier, vol. 36(C).
- Ravi Bansal & Ivan Shaliastovich, 2009.
"Confidence Risk and Asset Prices,"
NBER Working Papers
14815, National Bureau of Economic Research, Inc.
- Ravi Bansal & Ivan Shaliastovich, 2010. "Confidence Risk and Asset Prices," American Economic Review, American Economic Association, vol. 100(2), pages 537-541, May.
- Cejnek, Georg & Randl, Otto, 2016. "Risk and return of short-duration equity investments," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 181-198.
- Oliver Boguth & Murray Carlson & Adlai Fisher & Mikhail Simutin, 2023. "The Term Structure of Equity Risk Premia: Levered Noise and New Estimates," Review of Finance, European Finance Association, vol. 27(4), pages 1155-1182.
- Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.
- Jun Ma, 2013. "Long‐Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 121-145, February.
- Mignanego, Fausto & Sbuelz, Alessandro, 2022. "Analytical cyclical price–dividend ratios," Economics Letters, Elsevier, vol. 215(C).
- Olaf Stotz, 2020. "The Equity Curve and Its Relation to Future Stock Returns," JRFM, MDPI, vol. 13(2), pages 1-16, January.
- Roberto Marfè, 2016. "Labor Rigidity, In ation Risk and Bond Returns," Carlo Alberto Notebooks 461, Collegio Carlo Alberto.
- Matthijs Breugem & Stefano Colonnello & Roberto Marfe & Francesca Zucchi, 2024.
"Dynamic Equity Slope,"
Carlo Alberto Notebooks
713 JEL Classification: D, Collegio Carlo Alberto.
- Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Carlo Alberto Notebooks 626, Collegio Carlo Alberto.
- Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Ming Zeng & Guihai Zhao, 2022. "Expectation-Driven Term Structure of Equity and Bond Yields," Staff Working Papers 22-21, Bank of Canada.
- Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc.
- Timothy M. Christensen, 2020. "Existence and uniqueness of recursive utilities without boundedness," Papers 2008.00963, arXiv.org, revised Aug 2021.
- Xavier Gabaix, 2007. "Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices," NBER Working Papers 13430, National Bureau of Economic Research, Inc.
- John H. Cochrane, 2017.
"Macro-Finance,"
Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
- John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
- Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012.
"An estimation of economic models with recursive preferences,"
CeMMAP working papers
32/12, Institute for Fiscal Studies.
- Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2013. "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics 37392, London School of Economics and Political Science, LSE Library.
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CESifo Working Paper Series
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Cowles Foundation Discussion Papers
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- Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2007. "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics 24502, London School of Economics and Political Science, LSE Library.
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2007 Meeting Papers
503, Society for Economic Dynamics.
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"The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences,"
NBER Working Papers
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"An estimation of economic models with recursive preferences,"
CeMMAP working papers
32/12, Institute for Fiscal Studies.
- Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2013. "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics 37392, London School of Economics and Political Science, LSE Library.
- Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2011. "An Estimation of Economic Models with Recursive Preferences," NBER Working Papers 17130, National Bureau of Economic Research, Inc.
- Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2013. "An estimation of economic models with recursive preferences," Quantitative Economics, Econometric Society, vol. 4(1), pages 39-83, March.
- Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012. "An estimation of economic models with recursive preferences," CeMMAP working papers CWP32/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2007. "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics 24502, London School of Economics and Political Science, LSE Library.
- Guglielmo Maria Caporale & Michael Donadelli & Alessia Varani, 2014.
"International Capital Markets Structure, Preferences and Puzzles: The US-China Case,"
CESifo Working Paper Series
4669, CESifo.
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2006 Meeting Papers
628, Society for Economic Dynamics.
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"On the Timing and Pricing of Dividends,"
American Economic Review, American Economic Association, vol. 102(4), pages 1596-1618, June.
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"Asset pricing tests with long run risks in consumption growth,"
LSE Research Online Documents on Economics
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- Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
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"On the Timing and Pricing of Dividends,"
American Economic Review, American Economic Association, vol. 102(4), pages 1596-1618, June.
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"Risks For The Long Run And The Real Exchange Rate,"
2005 Meeting Papers
794, Society for Economic Dynamics.
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"International Currencies and Capital Allocation,"
Journal of Political Economy, University of Chicago Press, vol. 128(6), pages 2019-2066.
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"Uncertainty and Economic Activity: A Multi-Country Perspective,"
NBER Working Papers
24325, National Bureau of Economic Research, Inc.
- Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," CESifo Working Paper Series 6910, CESifo.
- Cesa-Bianchi, Ambrogio & Pesaran, M Hashem & Rebucci, Alessandro, 2018. "Uncertainty and economic activity: a multi-country perspective," Bank of England working papers 730, Bank of England.
- Ambrogio Cesa-Bianchi & M Hashem Pesaran & Alessandro Rebucci & Stijn Van Nieuwerburgh, 2020. "Uncertainty and Economic Activity: A Multicountry Perspective [Emerging market business cycles: The cycle is the trend]," The Review of Financial Studies, Society for Financial Studies, vol. 33(8), pages 3393-3445.
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- Jairo A. Rendon, 2019. "Global And Regional Risks In Currency Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-25, December.
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"Risks For the Long Run: Estimation with Time Aggregation,"
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- Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2013. "Cross-Country Heterogeneity in Intertemporal Substitution," Working Papers IES 2013/11, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2013.
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- Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, "undated". "How Much Would You Pay To Resolve Long-Run Risk?," Working Paper 136671, Harvard University OpenScholar.
- Tomasz Strzalecki & Emmanuel Farhi & Larry Epstein, 2014. "How much would you pay to resolve long-run risk?," 2014 Meeting Papers 429, Society for Economic Dynamics.
- Larry Epstein & Emmanuel Farhi & Tomasz Strzalecki, "undated". "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 8366, Harvard University OpenScholar.
- Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
- Stefano d¡¦Addona, 2018. "Rational Ignorance in Long-run Risk Models," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(1), pages 43-54, June.
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"Impact of Pension System Structure on International Financial Capital Allocation,"
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- Staveley-O’Carroll, James & Staveley-O’Carroll, Olena M., 2017. "Impact of pension system structure on international financial capital allocation," European Economic Review, Elsevier, vol. 95(C), pages 1-22.
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SAFE Working Paper Series
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- Robert Kollmann, 2015. "Risk Sharing in a World Economy with Uncertainty Shocks," Working Papers ECARES ECARES 2015-43, ULB -- Universite Libre de Bruxelles.
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- Javier Bianchi & Saki Bigio & Charles Engel, 2021. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," Working Papers 786, Federal Reserve Bank of Minneapolis.
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- Guven, Cahit, 2016. "Financial integration: The role of tradable and non-tradable goods," Economic Modelling, Elsevier, vol. 53(C), pages 345-353.
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- Jonathan Heathcote & Fabrizio Perri, 2013.
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- Jonathan Heathcote & Fabrizio Perri, 2013. "Assessing International Efficiency," Working Papers 476, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Heathcote, Jonathan & Perri, Fabrizio, 2014. "Assessing International Efficiency," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 523-584, Elsevier.
- Jonathan Heathcote & Fabrizio Perri, 2013. "Assessing international efficiency," Staff Report 480, Federal Reserve Bank of Minneapolis.
- Heathcote, Jonathan & Perri, Fabrizio, 2013. "Assessing International Efficiency," CEPR Discussion Papers 9424, C.E.P.R. Discussion Papers.
- Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
- Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2022. "Measuring market integration during crisis periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
- Nicolas Coeurdacier & Hélène Rey & Pablo Winant, 2020.
"Financial Integration and Growth in a Risky World,"
SciencePo Working papers Main
hal-03799686, HAL.
- Nicolas Coeurdacier & Hélène Rey & Pablo Winant, 2020. "Financial Integration and Growth in a Risky World," Post-Print hal-03799686, HAL.
- Thien Nguyen & Lukas Schmid & Mariano Croce, 2014. "Global Entropy," 2014 Meeting Papers 1345, Society for Economic Dynamics.
- Michael Donadelli, 2013. "Global integration and emerging stock market excess returns," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 6(2), pages 244-279, September.
- Caporale, Guglielmo Maria & Donadelli, Michael & Varani, Alessia, 2015. "International capital markets structure, preferences and puzzles: A “US–China World”," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 85-99.
- Donadelli, Michael & Paradiso, Antonio, 2014. "Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 206-220.
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