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Pricing growth-rate risk


  • Lars Hansen


  • José Scheinkman



No abstract is available for this item.

Suggested Citation

  • Lars Hansen & José Scheinkman, 2012. "Pricing growth-rate risk," Finance and Stochastics, Springer, vol. 16(1), pages 1-15, January.
  • Handle: RePEc:spr:finsto:v:16:y:2012:i:1:p:1-15
    DOI: 10.1007/s00780-010-0141-9

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    References listed on IDEAS

    1. Lars Peter Hansen & José A. Scheinkman, 2009. "Long-Term Risk: An Operator Approach," Econometrica, Econometric Society, vol. 77(1), pages 177-234, January.
    2. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
    3. Grigelionis, Bronius & Mackevicius, Vigirdas, 2003. "The finiteness of moments of a stochastic exponential," Statistics & Probability Letters, Elsevier, vol. 64(3), pages 243-248, September.
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    Cited by:

    1. Hyungbin Park, 2014. "Pricing and Hedging Long-Term Options," Papers 1410.8160,, revised Mar 2016.
    2. 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.
    3. repec:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0365-7 is not listed on IDEAS
    4. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, Elsevier.
    5. Hyungbin Park, 2015. "Sensitivity Analysis of Long-Term Cash Flows," Papers 1511.03744,, revised Sep 2018.
    6. repec:eee:macchp:v2-1641 is not listed on IDEAS
    7. Likuan Qin & Vadim Linetsky, 2016. "Long-Term Factorization of Affine Pricing Kernels," Papers 1610.00778,, revised Jul 2017.
    8. Rick van der Ploeg & Armon Rezai, 2018. "Climate Policy and Stranded Carbon Assets: a Financial Perspective," OxCarre Working Papers 206, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    9. Likuan Qin & Vadim Linetsky, 2016. "The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models," Papers 1610.00818,, revised Jul 2017.
    10. Borovicka, J. & Hansen, L.P., 2016. "Term Structure of Uncertainty in the Macroeconomy," Handbook of Macroeconomics, Elsevier.

    More about this item


    Markov process; Growth-rate risk; Pricing dynamics; Elasticities; 60J70; 91B28; C52; G12;

    JEL classification:

    • 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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