Pricing growth-rate risk
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References listed on IDEAS
- Lars Peter Hansen & José A. Scheinkman, 2009.
"Long-Term Risk: An Operator Approach,"
Econometric Society, vol. 77(1), pages 177-234, January.
- Lars Peter Hansen & Jose Scheinkman, 2006. "Long Term Risk: An Operator Approach," NBER Working Papers 12650, National Bureau of Economic Research, Inc.
- Lars Peter Hansen & Jose A Sheinkman, 2007. "Long-term Risk: An Operator Approach," Levine's Bibliography 122247000000001669, UCLA Department of Economics.
- Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995.
"Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes,"
Econometric Society, vol. 63(4), pages 767-804, July.
- Lars Peter Hansen & Jose Alexandre Scheinkman, 1993. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," NBER Technical Working Papers 0141, National Bureau of Economic Research, Inc.
- Grigelionis, Bronius & Mackevicius, Vigirdas, 2003. "The finiteness of moments of a stochastic exponential," Statistics & Probability Letters, Elsevier, vol. 64(3), pages 243-248, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hyungbin Park, 2014. "Pricing and Hedging Long-Term Options," Papers 1410.8160, arXiv.org, revised Mar 2016.
- Likuan Qin & Vadim Linetsky, 2016. "Long-Term Factorization of Affine Pricing Kernels," Papers 1610.00778, arXiv.org, revised Jul 2017.
- Borovička, Jaroslav & Hansen, Lars Peter, 2014.
"Examining macroeconomic models through the lens of asset pricing,"
Journal of Econometrics,
Elsevier, vol. 183(1), pages 67-90.
- Jaroslav BoroviÄ ka & Lars Peter Hansen, 2011. "Examining Macroeconomic Models Through the Lens of Asset Pricing," Working Papers 2011-012, Becker Friedman Institute for Research In Economics.
- Jaroslav Borovicka & Lars Peter Hansen, 2012. "Examining macroeconomic models through the lens of asset pricing," Working Paper Series WP-2012-01, Federal Reserve Bank of Chicago.
- Hyungbin Park, 2015. "Sensitivity Analysis of Long-Term Cash Flows," Papers 1511.03744, arXiv.org.
- Likuan Qin & Vadim Linetsky, 2016. "The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models," Papers 1610.00818, arXiv.org, revised Jul 2017.
- repec:eee:macchp:v2-1641 is not listed on IDEAS
- Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, Elsevier.
- Borovicka, J. & Hansen, L.P., 2016. "Term Structure of Uncertainty in the Macroeconomy," Handbook of Macroeconomics, Elsevier.
More about this item
KeywordsMarkov process; Growth-rate risk; Pricing dynamics; Elasticities; 60J70; 91B28; C52; G12;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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