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Citations for "Consumption-Based Asset Pricing with Higher Cumulants"

by Ian W. Martin

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  1. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, American Economic Association, vol. 102(6), pages 2734-66, October.
  2. Lu Zhang & Howard Kung & Hang Bai, 2013. ""Shooting" the CAPM," 2013 Meeting Papers, Society for Economic Dynamics 905, Society for Economic Dynamics.
  3. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications for Consumptions and Asset Prices," CEU Working Papers, Department of Economics, Central European University 2014_2, Department of Economics, Central European University.
  4. RUGE-MURCIA, Francisco J., 2012. "Skewness Risk and Bond Prices," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2012-14, Universite de Montreal, Departement de sciences economiques.
  5. Francois Gourio, 2012. "Credit risk and disaster risk," Working Paper Series, Federal Reserve Bank of Chicago WP-2012-07, Federal Reserve Bank of Chicago.
  6. Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," TSE Working Papers, Toulouse School of Economics (TSE) 12-361, Toulouse School of Economics (TSE).
  7. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Working Papers, Bank of Canada 12-11, Bank of Canada.
  8. Ivan Shaliastovich & George Tauchen, 2010. "Pricing of the Time-Change Risks," Working Papers, Duke University, Department of Economics 10-10, Duke University, Department of Economics.
  9. Ian Martin, 2011. "The Lucas Orchard," NBER Working Papers 17563, National Bureau of Economic Research, Inc.
  10. Christian Gollier, 2013. "Asset Pricing with Uncertain Betas: A Long-Term Perspective," CESifo Working Paper Series, CESifo Group Munich 4072, CESifo Group Munich.
  11. Zhiguang (Gerald) Wang & Prasad V. Bidarkota, 2010. "A Long-Run Risks Model of Asset Pricing with Fat Tails," Review of Finance, European Finance Association, European Finance Association, vol. 14(3), pages 409-449.
  12. Jessica A. Wachter, 2013. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, American Finance Association, vol. 68(3), pages 987-1035, 06.
  13. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," NBER Working Papers 17116, National Bureau of Economic Research, Inc.
  14. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(4), pages 1028-1044.
  15. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters Implied by Equity Index Options," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 09-14, New York University, Leonard N. Stern School of Business, Department of Economics.
  16. Gollier, Christian, 2012. "A theory of rational short-termism with uncertain betas," LERNA Working Papers, LERNA, University of Toulouse 12.14.371, LERNA, University of Toulouse.
  17. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
  18. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economic Institute, Prague wp507, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  19. Lundtofte, Frederik & Wilhelmsson, Anders, 2011. "Idiosyncratic Risk and Higher-Order Cumulants," Working Papers, Lund University, Department of Economics 2011:33, Lund University, Department of Economics.
  20. Jason Beeler & John Y. Campbell, 2009. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," NBER Working Papers 14788, National Bureau of Economic Research, Inc.
  21. Emmanuel Farhi & Samuel Paul Fraiberger & Xavier Gabaix & Romain Ranciere & Adrien Verdelhan, 2009. "Crash Risk in Currency Markets," NBER Working Papers 15062, National Bureau of Economic Research, Inc.
  22. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series, European Central Bank 1463, European Central Bank.
  23. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
  24. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers, Society for Economic Dynamics 1122, Society for Economic Dynamics.