IDEAS home Printed from https://ideas.repec.org/e/pts130.html
   My authors  Follow this author

Jerry Tsai

Personal Details

First Name:Jerry
Middle Name:
Last Name:Tsai
Suffix:
RePEc Short-ID:pts130
[This author has chosen not to make the email address public]

Affiliation

(50%) Department of Economics
Oxford University

Oxford, United Kingdom
http://www.economics.ox.ac.uk/

:

Manor Rd. Building, Oxford, OX1 3UQ
RePEc:edi:sfeixuk (more details at EDIRC)

(50%) Oxford-Man Institute of Quantitative Finance
Oxford University

Oxford, United Kingdom
http://www.oxford-man.ox.ac.uk/

: +44 (0)1865 616600
+44 (0)1865 616601
Blue Boar Court, 9 Alfred Street, Oxford, OX1 4EH
RePEc:edi:omioxuk (more details at EDIRC)

Research output

as
Jump to: Working papers

Working papers

  1. Jerry Tsai & Jessica A. Wachter, 2018. "Pricing Long-Lived Securities in Dynamic Endowment Economies," NBER Working Papers 24641, National Bureau of Economic Research, Inc.
  2. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  3. 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.
  4. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.

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

  1. Jerry Tsai & Jessica A. Wachter, 2018. "Pricing Long-Lived Securities in Dynamic Endowment Economies," NBER Working Papers 24641, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jessica A. Wachter & Yicheng Zhu, 2018. "The Macroeconomic Announcement Premium," NBER Working Papers 24432, National Bureau of Economic Research, Inc.
    2. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.

  2. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jessica Wachter & Mete Kilic, 2017. "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," 2017 Meeting Papers 129, Society for Economic Dynamics.
    2. Jessica A. Wachter & Yicheng Zhu, 2018. "The Macroeconomic Announcement Premium," NBER Working Papers 24432, National Bureau of Economic Research, Inc.
    3. Fernández-Villaverde, Jesús & Levintal, Oren, 2016. "Solution Methods for Models with Rare Disasters," CEPR Discussion Papers 11115, C.E.P.R. Discussion Papers.
    4. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
    5. William N. Goetzmann & Dasol Kim & Robert J. Shiller, 2016. "Crash Beliefs From Investor Surveys," NBER Working Papers 22143, National Bureau of Economic Research, Inc.
    6. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.
    7. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
    8. Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler, 2017. "A Likelihood-Based Comparison of Macro Asset Pricing Models," Finance and Economics Discussion Series 2017-024, Board of Governors of the Federal Reserve System (U.S.).
    9. Sang Byung Seo & Jessica A. Wachter, 2016. "Do Rare Events Explain CDX Tranche Spreads?," NBER Working Papers 22723, National Bureau of Economic Research, Inc.
    10. Favero, Carlo A. & Ortu, Fulvio & Tamoni, Andrea & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
    11. François Gourio & Anil K. Kashyap & Jae W. Sim, 2018. "The Trade offs in Leaning Against the Wind," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(1), pages 70-115, March.
    12. Mete Kilic & Jessica A. Wachter, 2015. "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," NBER Working Papers 21575, National Bureau of Economic Research, Inc.

  3. 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.

    Cited by:

    1. Riccardo Colacito & Eric Ghysels & Jinghan Meng & Wasin Siwasarit, 2016. "Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory," Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2069-2109.
    2. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
    3. Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
    4. 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.
    5. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
    6. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Working Papers 1002, University of Missouri-St. Louis, Department of Economics.
    7. 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 - Economics Institute, Prague.

  4. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.

    Cited by:

    1. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
    2. Favero, Carlo A. & Ortu, Fulvio & Tamoni, Andrea & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MON: Monetary Economics (1) 2013-07-28. Author is listed

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Jerry Tsai should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.