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Citations for "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?"

by Jessica A. Wachter

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  1. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
  2. Nikolai Roussanov & Robert Ready, 2012. "Commodity Trade and the Carry Trade: a Tale of Two Countries," 2012 Meeting Papers 817, Society for Economic Dynamics.
  3. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
  4. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  5. Olaf Posch, 2009. "Risk premia in general equilibrium," CREATES Research Papers 2009-58, School of Economics and Management, University of Aarhus.
  6. Robert S. Pindyck & Neng Wang, 2009. "The Economic and Policy Consequences of Catastrophes," NBER Working Papers 15373, National Bureau of Economic Research, Inc.
  7. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
  8. Gourio, François, 2008. "Time-series predictability in the disaster model," Finance Research Letters, Elsevier, vol. 5(4), pages 191-203, December.
  9. Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2013. "X-CAPM: An Extrapolative Capital Asset Pricing Model," NBER Working Papers 19189, National Bureau of Economic Research, Inc.
  10. Tim Bollerslev & Viktor Todorov, 2011. "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
  11. David Backus & Mikhail Chernov & Stanley E. Zin, 2011. "Sources of Entropy in Representative Agent Models," NBER Working Papers 17219, National Bureau of Economic Research, Inc.
  12. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
  13. Jessica Wachter, 2010. "Asset Allocation," NBER Working Papers 16255, National Bureau of Economic Research, Inc.
  14. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  15. Roger Farmer, 2014. "Asset Prices in a Lifecycle Economy," NBER Working Papers 19958, National Bureau of Economic Research, Inc.
  16. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications for Consumptions and Asset Prices," CEU Working Papers 2014_2, Department of Economics, Central European University.
  17. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
  18. Bertrand Candelon & Norbert Metiu & Stefan Straetmans, 2014. "Disentangling economic recessions and depressions," Working Papers 2014-328, Department of Research, Ipag Business School.
  19. Backus, David & Chernov, Mikhail & Martin, Ian, 2009. "Disasters implied by equity index options," CEPR Discussion Papers 7416, C.E.P.R. Discussion Papers.
  20. Larry Epstein & Emmanuel Farhi & Tomasz Strzalecki, . "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 8366, Harvard University OpenScholar.
  21. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  22. Robin Greenwood & Samuel G. Hanson, 2010. "Issuer Quality and Corporate Bond Returns," Harvard Business School Working Papers 11-065, Harvard Business School.
  23. Lu, Yang & Siemer, Michael, 2013. "Learning, Rare Disasters, and Asset Prices," Finance and Economics Discussion Series 2013-85, Board of Governors of the Federal Reserve System (U.S.).
  24. Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance 2012/2, University of Stavanger.
  25. Christian Bayer & Klaus Waelde, 2011. "Existence, Uniqueness and Stability of Invariant Distributions in Continuous-Time Stochastic Models," Working Papers 1111, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 21 Jul 2011.
  26. Berkman, Henk & Jacobsen, Ben & Lee, John B., 2011. "Time-varying rare disaster risk and stock returns," Journal of Financial Economics, Elsevier, vol. 101(2), pages 313-332, August.
  27. François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc.
  28. Koulovatianos, Christos & Wieland, Volker, 2011. "Asset pricing under rational learning about rare disasters," IMFS Working Paper Series 46, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
  29. Juan Carlos Parra-Alvarez, 2013. "A comparison of numerical methods for the solution of continuous-time DSGE models," CREATES Research Papers 2013-39, School of Economics and Management, University of Aarhus.
  30. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Department of Business and Management Science, Norwegian School of Economics.
  31. Aase, Knut K., 2014. "Recursive utility with dependence on past consumption; the continuous-time model," Discussion Papers 2014/3, Department of Business and Management Science, Norwegian School of Economics.
  32. Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, vol. 110(3), pages 730-751.
  33. Aase, Knut K., 2014. "Heterogeniety and limited stock market Participation," Discussion Papers 2014/5, Department of Business and Management Science, Norwegian School of Economics.
  34. 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.
  35. Dolmas, Jim, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
  36. George M. Constantinides & Anisha Ghosh, 2014. "Asset Pricing with Countercyclical Household Consumption Risk," NBER Working Papers 20110, National Bureau of Economic Research, Inc.
  37. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.