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Riccardo Colacito

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. Riccardo Colacito & Bridget Hoffman & Toan Phan, 2018. "Temperature and Growth: A Panel Analysis of the United States," Working Paper 18-9, Federal Reserve Bank of Richmond.

    Cited by:

    1. Hu, Haiqing & Wei, Wei & Chang, Chun-Ping, 2022. "Examining the impact of extreme temperature on green innovation in China: Evidence from city-level data," Energy Economics, Elsevier, vol. 114(C).
    2. Pierre Mérel & Matthew Gammans, 2021. "Climate Econometrics: Can the Panel Approach Account for Long‐Run Adaptation?," Post-Print hal-03373435, HAL.
    3. Karla Hernández & Carlos Madeira, 2021. "The impact of climate change on economic output in Chile: past and future," Working Papers Central Bank of Chile 933, Central Bank of Chile.
    4. Jimmy Karlsson, 2021. "Temperature and Exports: Evidence from the United States," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 80(2), pages 311-337, October.
    5. Hee Soo (test record) Kim & Christian Matthes & Toan Phan, 2011. "Extreme Weather and the Macroeconomy," Working Paper 21-14, Federal Reserve Bank of Richmond.
    6. Michael Donadelli & Patrick Grüning & Marcus Jüppner & Renatas Kizys, 2018. "Global temperature, R&D expenditure, and growth," Bank of Lithuania Discussion Paper Series 9, Bank of Lithuania.
    7. Picchio, Matteo & Ours, Jan C. van, 2023. "The impact of high temperatures on performance in work-related activities," GLO Discussion Paper Series 1353, Global Labor Organization (GLO).
    8. Michael Barnett & Greg Buchak & Constantine Yannelis, 2020. "Epidemic Responses Under Uncertainty," Working Papers 2020-72, Becker Friedman Institute for Research In Economics.
    9. Bonato, Matteo & Cepni, Oguzhan & Gupta, Rangan & Pierdzioch, Christian, 2023. "Climate risks and realized volatility of major commodity currency exchange rates," Journal of Financial Markets, Elsevier, vol. 62(C).
    10. Tobias Kranz & Hamza Bennani & Matthias Neuenkirch, 2024. "Monetary Policy and Climate Change: Challenges and the Role of Major Central Banks," Research Papers in Economics 2024-01, University of Trier, Department of Economics.
    11. Mohaddes, K. & Ng, R. N. C. & Pesaran, M. H. & Raissi, M. & Yang, J-C., 2022. "Climate Change and Economic Activity: Evidence from U.S. States," Cambridge Working Papers in Economics 2205, Faculty of Economics, University of Cambridge.
    12. Bo Feng & Mark Partridge & Mark Rembert, 2018. "The Perils of Modelling How Migration Responds to Climate Change," Advances in Spatial Science, in: Roger R. Stough & Karima Kourtit & Peter Nijkamp & Uwe Blien (ed.), Modelling Aging and Migration Effects on Spatial Labor Markets, chapter 0, pages 53-75, Springer.
    13. Gerlagh, Reyer, 2022. "Climate, Technology, Family Size; on the Crossroad between Two Ultimate Externalities," Other publications TiSEM b6d5b02f-4624-46fd-836a-b, Tilburg University, School of Economics and Management.
    14. Arbex, Marcelo & Batu, Michael, 2020. "What if people value nature? Climate change and welfare costs," Resource and Energy Economics, Elsevier, vol. 61(C).
    15. Liu, Bo & Hirsch, Barry, 2020. "Winter Weather and Work Hours: Heterogeneous Effects and Regional Adaptation," IZA Discussion Papers 13831, Institute of Labor Economics (IZA).
    16. Toan Phan & Felipe Schwartzman, 2023. "Climate Defaults and Financial Adaptation," Working Paper 23-06, Federal Reserve Bank of Richmond.
    17. Bryan Engelhardt & Matthew E. Kahn & Kamiar Mohaddes & M. Hashem Pesaran & Mehdi Raissi & Jui-Chung Yang, 2019. "Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis," Globalization Institute Working Papers 365, Federal Reserve Bank of Dallas.
    18. Ciccarelli, Matteo & Kuik, Friderike & Martínez Hernández, Catalina, 2023. "The asymmetric effects of weather shocks on euro area inflation," Working Paper Series 2798, European Central Bank.
    19. Congmin Peng & Po-Wen She & Jr-Tsung Huang, 2020. "Seasonal Temperature and Economic Growth in China's Major Cities," Annals of Economics and Finance, Society for AEF, vol. 21(2), pages 471-482, November.
    20. Hernández, Karla & Madeira, Carlos, 2021. "The impact of climate change on economic output across industries in Chile," MPRA Paper 118973, University Library of Munich, Germany.
    21. Gerlagh, Reyer, 2023. "Climate, technology, family size; on the crossroad between two ultimate externalities," European Economic Review, Elsevier, vol. 152(C).
    22. Gregory Casey & Stephie Fried & Ethan Goode, 2023. "Projecting the Impact of Rising Temperatures: The Role of Macroeconomic Dynamics," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(3), pages 688-718, September.
    23. Carolyn Chisadza & Matthew Clance & Xin Sheng & Rangan Gupta, 2023. "Climate Change and Inequality: Evidence from the United States," Sustainability, MDPI, vol. 15(6), pages 1-11, March.
    24. Michael Donadelli & Marcus Jüppner & Sergio Vergalli, 2022. "Temperature Variability and the Macroeconomy: A World Tour," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 83(1), pages 221-259, September.
    25. Cunpu Li & Xuetong Zhang & Jing He, 2023. "Impact of Climate Change on Inflation in 26 Selected Countries," Sustainability, MDPI, vol. 15(17), pages 1-22, August.
    26. Charles Fries & François Gourio, 2020. "Adaptation and the Cost of Rising Temperature for the U.S. Economy," Working Paper Series WP 2020-08, Federal Reserve Bank of Chicago.
    27. Michele Cascarano & Filippo Natoli & Andrea Petrella, 2023. "Entry, exit, and market structure in a changing climate," Temi di discussione (Economic working papers) 1418, Bank of Italy, Economic Research and International Relations Area.
    28. Michele Cascarano & Filippo Natoli, 2023. "Temperatures and search: evidence from the housing market," Temi di discussione (Economic working papers) 1419, Bank of Italy, Economic Research and International Relations Area.
    29. Chaitat Jirophat & Pym Manopimoke & Suparit Suwanik, 2022. "The Macroeconomic Effects of Climate Shocks in Thailand," PIER Discussion Papers 188, Puey Ungphakorn Institute for Economic Research.
    30. Michael Barnett & William Brock & Lars Peter Hansen & Ruimeng Hu & Joseph Huang, 2023. "A Deep Learning Analysis of Climate Change, Innovation, and Uncertainty," Papers 2310.13200, arXiv.org.
    31. Donadelli, Michael & Jüppner, Marcus & Riedel, Max & Schlag, Christian, 2017. "Temperature shocks and welfare costs," SAFE Working Paper Series 177, Leibniz Institute for Financial Research SAFE.
    32. Brantley Liddle, 2018. "Warming And Income Growth In The United States: A Heterogeneous, Common Factor Dynamic Panel Analysis," Climate Change Economics (CCE), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 1-14, November.
    33. Linsenmeier, Manuel, 2021. "Seasonal temperature variability and economic cycles," LSE Research Online Documents on Economics 115530, London School of Economics and Political Science, LSE Library.
    34. Oguzhan Cepni & Christina Christou & Rangan Gupta, 2022. "Forecasting National Recessions of the United States with State-Level Climate Risks: Evidence from Model Averaging in Markov-Switching Models," Working Papers 202252, University of Pretoria, Department of Economics.
    35. Schoenle, Raphael & Dietrich, Alexander & Müller, Gernot, 2022. "The Expectations Channel of Climate Change: Implications for Monetary Policy," CEPR Discussion Papers 15866, C.E.P.R. Discussion Papers.
    36. Michael Donadelli & Marcus Jüppner & Antonio Paradiso & Christian Schlag, 2019. "Temperature Volatility Risk," Working Papers 2019:05, Department of Economics, University of Venice "Ca' Foscari".
    37. Drudi, Francesco & Moench, Emanuel & Holthausen, Cornelia & Weber, Pierre-François & Ferrucci, Gianluigi & Setzer, Ralph & Adao, Bernardino & Dées, Stéphane & Alogoskoufis, Spyros & Téllez, Mar Delgad, 2021. "Climate change and monetary policy in the euro area," Occasional Paper Series 271, European Central Bank.
    38. Michele Brunetti & Matteo Gomellini & Paolo Croce & paolo Piselli, 2023. "Dynamics of temperatures and economic activity in Italy: a long-term analysis," Questioni di Economia e Finanza (Occasional Papers) 787, Bank of Italy, Economic Research and International Relations Area.
    39. Rising, James A. & Taylor, Charlotte & Ives, Matthew C. & Ward, Robert E.T., 2022. "Challenges and innovations in the economic evaluation of the risks of climate change," Ecological Economics, Elsevier, vol. 197(C).
    40. Hernández, Karla & Luna, Facundo & Madeira, Carlos, 2022. "Climate change’s impact on real estate prices in Chile," MPRA Paper 118974, University Library of Munich, Germany.
    41. Addoum, Jawad M. & Ng, David T. & Ortiz-Bobea, Ariel, 2023. "Temperature shocks and industry earnings news," Journal of Financial Economics, Elsevier, vol. 150(1), pages 1-45.
    42. Jacopo Ponticelli & Qiping Xu & Stefan Zeume, 2023. "Temperature and Local Industry Concentration," Working Papers 23-51, Center for Economic Studies, U.S. Census Bureau.
    43. De Bandt Olivier, & Jacolin Luc, & Lemaire Thibault., 2021. "Climate Change in Developing Countries: Global Warming Effects,Transmission Channels and Adaptation Policies," Working papers 822, Banque de France.
    44. Yoshiyuki Kurachi & Hajime Morishima & Hiroshi Kawata & Ryo Shibata & Kazuma Bunya & Jin Moteki, 2022. "Challenges for Japan's Economy in the Decarbonization Process," Bank of Japan Research Papers 22-06-09, Bank of Japan.
    45. Esra KADANALI & Omer YALCINKAYA, 2020. "Effects of Climate Change on Economic Growth: Evidence from 20 Biggest Economies of the World," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 93-118, September.
    46. Russ, Jason, 2020. "Water runoff and economic activity: The impact of water supply shocks on growth," Journal of Environmental Economics and Management, Elsevier, vol. 101(C).
    47. Naveen Kumar & Dibyendu Maiti, 2024. "The Dynamic Causal Impact of Climate Change on Economic Activity - A Disaggregated Panel Analysis of India," Working papers 345, Centre for Development Economics, Delhi School of Economics.
    48. Natoli, Filippo, 2022. "Temperature surprise shocks," MPRA Paper 112568, University Library of Munich, Germany.
    49. Oguzhan Cepni & Rangan Gupta & Wenting Liao & Jun Ma, 2022. "Climate Risks and Forecastability of the Weekly State-Level Economic Conditions of the United States," Working Papers 202251, University of Pretoria, Department of Economics.
    50. Ling Tan & Kun Zhou & Hui Zheng & Lianshui Li, 2021. "Revalidation of temperature changes on economic impacts: a meta-analysis," Climatic Change, Springer, vol. 168(1), pages 1-19, September.
    51. Faccia, Donata & Parker, Miles & Stracca, Livio, 2021. "Feeling the heat: extreme temperatures and price stability," Working Paper Series 2626, European Central Bank.
    52. Olivier Deschenes, 2023. "Temperature, productivity, and income," IZA World of Labor, Institute of Labor Economics (IZA), pages 505-505, February.
    53. Milda Norkute & Guowei Cui & Vasilis Sarafidis & Takashi Yamagata, 2021. "Two-Stage Instrumental Variable Estimation of Linear Panel Data Models with Interactive Effects," Bank of Lithuania Working Paper Series 90, Bank of Lithuania.
    54. Marcelo Ochoa & Matthias Paustian & Laura Wilcox, 2022. "Do Sustainable Investment Strategies Hedge Climate Change Risks? Evidence from Germany's Carbon Tax," Finance and Economics Discussion Series 2022-073, Board of Governors of the Federal Reserve System (U.S.).
    55. Md Mazharul Islam & Majed Alharthi & Md Wahid Murad, 2021. "The effects of carbon emissions, rainfall, temperature, inflation, population, and unemployment on economic growth in Saudi Arabia: An ARDL investigation," PLOS ONE, Public Library of Science, vol. 16(4), pages 1-21, April.
    56. Gerlagh, Reyer, 2022. "Climate, Technology, Family Size; on the Crossroad between Two Ultimate Externalities," Discussion Paper 2022-027, Tilburg University, Center for Economic Research.
    57. Shivam Swarup & Gyaneshwar Singh Kushwaha, 2022. "Effects of Temperature Rise on Clean Energy-Based Capital Market Investments: Neural Network-Based Granger Causality Analysis," Sustainability, MDPI, vol. 14(18), pages 1-12, September.
    58. Gregory, Richard P., 2021. "The pricing of global temperature shocks in the cost of equity capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    59. Eduardo Cavallo & Bridget Hoffmann & Ilan Noy, 2023. "Disasters and Climate Change in Latin America and the Caribbean: An Introduction to the Special Issue," Economics of Disasters and Climate Change, Springer, vol. 7(2), pages 135-145, July.
    60. Bijnens, Gert & Anyfantaki, Sofia & Colciago, Andrea & De Mulder, Jan & Falck, Elisabeth & Labhard, Vincent & Lopez-Garcia, Paloma & Meriküll, Jaanika & Parker, Miles & Röhe, Oke & Schroth, Joachim & , 2024. "The impact of climate change and policies on productivity," Occasional Paper Series 340, European Central Bank.
    61. Harriet Brookes Gray & Vis Taraz & Simon D. Halliday, 2021. "The Impacts of Weather Shocks on Employment Outcomes: Evidence from South Africa," Bristol Economics Discussion Papers 21/752, School of Economics, University of Bristol, UK.
    62. ANDRIAANDY, Josué R. & Randriamifidy, Fitiavana M. & Andrianavony, Jovianah K., 2023. "Heat and Economics: Climate Change’s Influence on Madagascar’s GDP," MPRA Paper 118582, University Library of Munich, Germany.
    63. Majid Khan & Abdul Rashid, 2022. "(A)symmetry effects of climate changes on economic growth: a panel data analysis," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 69(4), pages 571-607, December.
    64. Zhao, Xiaobing, 2018. "The Economic Impact of Temperature Shocks on China and India using Subnational Data," 2018 Annual Meeting, August 5-7, Washington, D.C. 274435, Agricultural and Applied Economics Association.
    65. Michael Donadelli & Patrick Grüning & Steffen Hitzemann, 2019. "Understanding Macro and Asset Price Dynamics During the Climate Transition," Bank of Lithuania Discussion Paper Series 18, Bank of Lithuania.
    66. Rising, James A. & Taylor, Charlotte & Ives, Matthew C. & Ward, Robert E.t., 2022. "Challenges and innovations in the economic evaluation of the risks of climate change," LSE Research Online Documents on Economics 114941, London School of Economics and Political Science, LSE Library.
    67. Adel Benhamed & Yousif Osman & Ousama Ben-Salha & Zied Jaidi, 2023. "Unveiling the Spatial Effects of Climate Change on Economic Growth: International Evidence," Sustainability, MDPI, vol. 15(10), pages 1-20, May.
    68. Waldemar Tarczyński & Sebastian Majewski & Małgorzata Tarczyńska-Łuniewska & Agnieszka Majewska & Grzegorz Mentel, 2021. "The Impact of Weather Factors on Quotations of Energy Sector Companies on Warsaw Stock Exchange," Energies, MDPI, vol. 14(6), pages 1-14, March.
    69. Panagiotis Tzouvanas & Renatas Kizys & Ioannis Chatziantoniou & Roza Sagitova, 2019. "Can Variations in Temperature Explain the Systemic Risk of European Firms?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 74(4), pages 1723-1759, December.
    70. Rafik JBIR, 2021. "Temperature, energy consumption, and Co2 emission: testing for nonlinearity on USA Economy," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(8), pages 12434-12445, August.
    71. Yan, Yumeng & Xiong, Xiong & Li, Shuo & Lu, Lei, 2022. "Will temperature change reduce stock returns? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 81(C).
    72. Michael Donadelli & Marcus Jüppner & Antonio Paradiso & Christian Schlag, 2021. "Computing Macro-Effects and Welfare Costs of Temperature Volatility: A Structural Approach," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 347-394, August.
    73. Jingbin He & Xinru Ma, 2021. "Extreme Temperatures and Firm-Level Stock Returns," IJERPH, MDPI, vol. 18(4), pages 1-22, February.
    74. Donadelli, M. & Jüppner, M. & Paradiso, A. & Ghisletti, M., 2020. "Tornado activity, house prices, and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    75. Emanuele Bacchiocchi & Andrea Bastianin & Graziano Moramarco, 2024. "Macroeconomic Spillovers of Weather Shocks across U.S. States," Papers 2403.10907, arXiv.org, revised Apr 2024.
    76. Filippo Natoli, 2023. "The macroeconomic effects of temperature surprise shocks," Temi di discussione (Economic working papers) 1407, Bank of Italy, Economic Research and International Relations Area.
    77. Wenting Liao & Xin Sheng & Rangan Gupta & Sayar Karmakar, 2024. "Extreme Weather Shocks and State-Level Inflation of the United States," Working Papers 202402, University of Pretoria, Department of Economics.

  2. Chabi-Yo, Fousseni & Colacito, Riccardo, 2013. "The Term Structures of Co-entropy in International Financial Markets," Working Paper Series 2013-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.

    Cited by:

    1. David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
    2. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.

  3. Steven Ho & Philip Howard & Mariano Croce & Riccardo Colacito, 2013. "BKK the EZ way. An International Production Economy with Recursive Preferences," 2013 Meeting Papers 112, Society for Economic Dynamics.

    Cited by:

    1. Nicole Branger & Patrick Konermann & Christoph Meinerding & Christian Schlag, 2021. "Equilibrium Asset Pricing in Directed Networks [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, vol. 25(3), pages 777-818.
    2. Michael Siemer & Adrien Verdelhan & Francois Gourio, 2015. "Uncertainty and International Capital Flows," 2015 Meeting Papers 880, Society for Economic Dynamics.
    3. Federico Gavazzoni & Ana Maria Santacreu, 2015. "International R&D Spillovers and Asset Prices," Working Papers 2015-41, Federal Reserve Bank of St. Louis.
    4. Robert Ready & Nikolai Roussanov & Colin Ward, 2017. "Commodity Trade and the Carry Trade: A Tale of Two Countries," Journal of Finance, American Finance Association, vol. 72(6), pages 2629-2684, December.
    5. A. Craig Burnside & Jeremy J. Graveline, 2012. "On the Asset Market View of Exchange Rates," NBER Working Papers 18646, National Bureau of Economic Research, Inc.
    6. Jean-François Rouillard, 2015. "International Risk Sharing and Financial Shocks," Cahiers de recherche 15-13, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
    7. Chang, Yanqin & Smith, R. Todd, 2014. "Feldstein–Horioka puzzles," European Economic Review, Elsevier, vol. 72(C), pages 98-112.
    8. Hakon Tretvoll, 2013. "Investment-Specific Technology Shocks and Recursive Preferences," 2013 Meeting Papers 1207, Society for Economic Dynamics.
    9. Ready, Robert & Roussanov, Nikolai & Ward, Colin, 2017. "After the tide: Commodity currencies and global trade," Journal of Monetary Economics, Elsevier, vol. 85(C), pages 69-86.
    10. Lance Kent & Toan Phan, 2019. "Time-Varying Skewness and Real Business Cycles," Economic Quarterly, Federal Reserve Bank of Richmond, issue 2Q, pages 59-103.

  4. Mariano Croce & Riccardo Colacito, 2012. "International Asset Pricing with Recursive Preferences," 2012 Meeting Papers 984, Society for Economic Dynamics.

    Cited by:

    1. Mumtaz, Haroon & Theodoridis, Konstantinos, 2017. "Common and country specific economic uncertainty," Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
    2. Juan Pablo Nicolini & Constantino Hevia & Joao Ayres, 2021. "Real Exchange Rates and Primary Commodity Prices: Mussa Meets Backus-Smith," Department of Economics Working Papers 2021_04, Universidad Torcuato Di Tella.
    3. Hakon Tretvoll, 2018. "Real Exchange Variability in a Two-Country Business Cycle Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 27, pages 123-145, January.
    4. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," LSE Research Online Documents on Economics 84140, London School of Economics and Political Science, LSE Library.
    5. Guglielmo Maria Caporale & Michael Donadelli & Alessia Varani, 2014. "International Capital Markets Structure, Preferences and Puzzles: The US-China Case," CESifo Working Paper Series 4669, CESifo.
    6. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
    7. Robert Kollmann, 2015. "Risk sharing in a world economy with uncertainty shocks," CAMA Working Papers 2015-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    8. Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," NBER Working Papers 21871, National Bureau of Economic Research, Inc.
    9. Kollmann, Robert, 2017. "Explaining International Business Cycle Synchronization: Recursive Preferences and the Terms of Trade Channel," CEPR Discussion Papers 11911, C.E.P.R. Discussion Papers.
    10. Mumtaz, Haroon & Theodoridis, Konstantinos, 2018. "Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility," Cardiff Economics Working Papers E2018/21, Cardiff University, Cardiff Business School, Economics Section.
    11. Sarita Bunsupha, 2018. "Extrapolative Beliefs and Exchange Rate Markets," PIER Discussion Papers 84, Puey Ungphakorn Institute for Economic Research.
    12. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    13. Kano, Takashi & Wada, Kenji, 2017. "The first arrow hitting the currency target: A long-run risk perspective," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 337-352.
    14. Grüning, Patrick, 2016. "International endogenous growth, macro anomalies, and asset prices," SAFE Working Paper Series 83, Leibniz Institute for Financial Research SAFE, revised 2016.
    15. Federico Gavazzoni & Ana Maria Santacreu, 2015. "International R&D Spillovers and Asset Prices," Working Papers 2015-41, Federal Reserve Bank of St. Louis.
    16. Coeurdacier, Nicolas & Rey, Hélène & Winant, Pablo, 2020. "Financial integration and growth in a risky world," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 1-21.
    17. Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
    18. Özmen, M. Utku & Yılmaz, Erdal, 2017. "Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”," Emerging Markets Review, Elsevier, vol. 33(C), pages 173-188.
    19. Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
    20. Zhang, Shaojun, 2016. "Limited Risk Sharing and International Equity Returns," Working Paper Series 2016-25, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    21. Uluyol, Burhan & Hui Pu, Suan & Shaturaev, Jakhongir & Kanaparan, Geetha, 2023. "Cracking the Code of Market Secrets: A Deep Dive into Financial Anomalies," MPRA Paper 119039, University Library of Munich, Germany, revised 05 Oct 2023.
    22. Cao, Dan & Evans, Martin & Lua, Wenlan, 2020. "Real Exchange Rate Dynamics Beyond Business Cycles," MPRA Paper 99054, University Library of Munich, Germany, revised 10 Mar 2020.
    23. Donadelli, Michael & Paradiso, Antonio, 2014. "Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 206-220.
    24. Rosen Valchev, 2015. "Exchange Rates and UIP Violations at Short and Long Horizons," 2015 Meeting Papers 1446, Society for Economic Dynamics.
    25. Itskhoki, Oleg & Mukhin, Dmitry, 2021. "Exchange rate disconnect in general equilibrium," LSE Research Online Documents on Economics 112140, London School of Economics and Political Science, LSE Library.
    26. Jonathan J. Adams & Mr. Philip Barrett, 2017. "Why are Countries’ Asset Portfolios Exposed to Nominal Exchange Rates?," IMF Working Papers 2017/291, International Monetary Fund.
    27. Bjørn Eraker & Ivan Shaliastovich & Wenyu Wang, 2016. "Durable Goods, Inflation Risk, and Equilibrium Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 193-231.
    28. Hsuan Fu & Jui‐Chung Yang, 2022. "International currency markets and the COVID‐19 pandemic," Pacific Economic Review, Wiley Blackwell, vol. 27(4), pages 400-422, October.
    29. Jonas Heipertz & Ilian Mihov & Ana Maria Santacreu, 2017. "Managing Macroeconomic Fluctuations with Flexible Exchange Rate Targeting," Working Papers 2017-028, Federal Reserve Bank of St. Louis, revised 16 Jan 2022.
    30. Hassan, Ramin & Loualiche, Erik & Pecora, Alexandre R. & Ward, Colin, 2023. "International trade and the risk in bilateral exchange rates," Journal of Financial Economics, Elsevier, vol. 150(2).
    31. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    32. Eric Swanson, 2013. "Implications of Labor Market Frictions for Risk Aversion and Risk Premia," 2013 Meeting Papers 1137, Society for Economic Dynamics.
    33. Ric Colacito & Max Croce & Steven Ho & Philip Howard, 2018. "BKK the EZ Way: International Long-Run Growth News and Capital Flows," American Economic Review, American Economic Association, vol. 108(11), pages 3416-3449, November.
    34. Robert Ready & Nikolai Roussanov & Colin Ward, 2017. "Commodity Trade and the Carry Trade: A Tale of Two Countries," Journal of Finance, American Finance Association, vol. 72(6), pages 2629-2684, December.
    35. Engel, Charles & Kazakova, Katya & Wang, Mengqi & Xiang, Nan, 2022. "A reconsideration of the failure of uncovered interest parity for the U.S. dollar," Journal of International Economics, Elsevier, vol. 136(C).
    36. Robert Kollmann, 2015. "Exchange Rate and Current Account Dynamics: the Role of Asset Market Structure, Long-Run Risk and Risk Appetite," 2015 Meeting Papers 1397, Society for Economic Dynamics.
    37. López, Ramón E. & Yoon, Sang W., 2020. "Sustainable development: Structural transformation and the consumer demand," Structural Change and Economic Dynamics, Elsevier, vol. 52(C), pages 22-38.
    38. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
    39. YiLi Chien & Hanno Lustig & Kanda Naknoi, 2015. "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working Papers 2015-39, Federal Reserve Bank of St. Louis.
    40. Eric T. Swanson, 2012. "Risk aversion, risk premia, and the labor margin with generalized recursive preferences," Working Paper Series 2012-17, Federal Reserve Bank of San Francisco.
    41. Rosen Valchev, 2017. "Bond Convenience Yields and Exchange Rate Dynamics," Boston College Working Papers in Economics 943, Boston College Department of Economics.
    42. Robert Kollmann, 2014. "Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences," CAMA Working Papers 2014-70, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    43. Tarek A. Hassan & Tony Zhang, 2021. "The Economics of Currency Risk," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 281-307, August.
    44. Itskhoki, Oleg & Mukhin, Dmitry, 2021. "Mussa Puzzle Redux," CEPR Discussion Papers 16301, C.E.P.R. Discussion Papers.
    45. Giuliano Curatola & Michael Donadelli & Patrick Grüning, 2022. "Technology trade with asymmetric tax regimes and heterogeneous labour markets: Implications for macro quantities and asset prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3805-3831, October.
    46. Assia Elgouacem, 2018. "Essays on investment and saving [Essais sur l’investissement et l’épargne]," SciencePo Working papers Main tel-03419405, HAL.
    47. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2017. "International correlation risk," Journal of Financial Economics, Elsevier, vol. 126(2), pages 270-299.
    48. Nicolas Coeurdacier & Hélène Rey & Pablo Winant, 2020. "Financial Integration and Growth in a Risky World," SciencePo Working papers Main hal-03799686, HAL.
    49. Jang, Bong-Gyu & Kim, Taeyoon & Lee, Seungkyu & Park, Seyoung, 2021. "Ambiguity premium and transaction costs," Economics Letters, Elsevier, vol. 207(C).
    50. Ziyun Zhang & Sen Guo, 2021. "What Factors Affect the RMB Carry Trade Return for Sustainability? An Empirical Analysis by Using an ARDL Model," Sustainability, MDPI, vol. 13(24), pages 1-19, December.
    51. Jean-François Rouillard, 2015. "International Risk Sharing and Financial Shocks," Cahiers de recherche 15-13, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
    52. Punnoose Jacob & Lenno Uuskula, 2016. "Deep habits and exchange rate pass-through," CAMA Working Papers 2016-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    53. Michael Donadelli & Ivan Gufler, 2021. "Consumption smoothing, risk sharing and financial integration," The World Economy, Wiley Blackwell, vol. 44(1), pages 143-187, January.
    54. Kim, Daehwan & Moneta, Fabio, 2021. "Long-term foreign exchange risk premia and inflation risk," International Review of Financial Analysis, Elsevier, vol. 78(C).
    55. Anella Munro, 2016. "Bond premia, monetary policy and exchange rate dynamics," Reserve Bank of New Zealand Discussion Paper Series DP2016/11, Reserve Bank of New Zealand.
    56. Croce, Mariano & Gavazzoni, Federico & Colacito, Ric & Ready, Robert, 2018. "Currency Risk Factors in a Recursive Multicountry Economy," CEPR Discussion Papers 12610, C.E.P.R. Discussion Papers.
    57. Chu, Shiou-Yen, 2015. "Funding liquidity constraints and the forward premium anomaly in a DSGE model," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 76-89.
    58. M. Utku Ozmen & Erdal Yilmaz, 2016. "Co-movement of Exchange Rates with Interest Rate Differential, Risk Premium and FED Policy in �Fragile Economies�," Working Papers 1621, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    59. Gianni Amisano & Oreste Tristani, 2019. "Uncertainty Shocks, Monetary Policy and Long-Term Interest Rates," Finance and Economics Discussion Series 2019-024, Board of Governors of the Federal Reserve System (U.S.).
    60. Taylor, Mark & Xu, Qi & Kozhan, Roman, 2020. "Prospect Theory and Currency Returns: Empirical Evidence," CEPR Discussion Papers 15306, C.E.P.R. Discussion Papers.
    61. Steven Riddiough & Lucio Sarno & Pasquale Della Corte, 2015. "Currency Premia and Global Imbalances," 2015 Meeting Papers 1215, Society for Economic Dynamics.
    62. Gurdip Bakshi & Xiaohui Gao & George Panayotov, 2021. "A Theory of Dissimilarity Between Stochastic Discount Factors," Management Science, INFORMS, vol. 67(7), pages 4602-4622, July.
    63. Harjoat S. Bhamra & Raman Uppal, 2019. "Does Household Finance Matter? Small Financial Errors with Large Social Costs," American Economic Review, American Economic Association, vol. 109(3), pages 1116-1154, March.
    64. Curatola, Giuliano & Donadelli, Michael & Gioffré, Alessandro & Grüning, Patrick, 2015. "Austerity, fiscal uncertainty, and economic growth: Insights from fiscally weak EU countries," SAFE Working Paper Series 56, Leibniz Institute for Financial Research SAFE, revised 2015.
    65. Hakon Tretvoll, 2013. "Investment-Specific Technology Shocks and Recursive Preferences," 2013 Meeting Papers 1207, Society for Economic Dynamics.
    66. Karen K. Lewis & Edith X. Liu, 2022. "How Can Asset Prices Value Exchange Rate Wedges?," Finance and Economics Discussion Series 2022-075, Board of Governors of the Federal Reserve System (U.S.).
    67. Hambel, Christoph & Kraft, Holger & Schwartz, Eduardo, 2021. "The social cost of carbon in a non-cooperative world," Journal of International Economics, Elsevier, vol. 131(C).
    68. Rabitsch, Katrin, 2016. "An incomplete markets explanation of the UIP puzzle," FinMaP-Working Papers 53, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    69. Ready, Robert C., 2018. "Oil consumption, economic growth, and oil futures: The impact of long-run oil supply uncertainty on asset prices," Journal of Monetary Economics, Elsevier, vol. 94(C), pages 1-26.
    70. Londono, Juan M. & Zhou, Hao, 2017. "Variance risk premiums and the forward premium puzzle," Journal of Financial Economics, Elsevier, vol. 124(2), pages 415-440.
    71. Ryan Chahrour & Vito Cormun & Pierre De Leo & Pablo Guerron-Quintana & Rosen Valchev, 2021. "Exchange Rate Disconnect Revisited," Boston College Working Papers in Economics 1041, Boston College Department of Economics, revised 12 May 2023.
    72. Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2020. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," Journal of Finance, American Finance Association, vol. 75(6), pages 3097-3138, December.
    73. Gurdip Bakshi & Mario Cerrato & John Crosby, 2016. "Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies," Working Papers 2017_01, Business School - Economics, University of Glasgow.
    74. Jung, Kuk Mo, 2015. "Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns," MPRA Paper 67416, University Library of Munich, Germany.
    75. Maurer, Thomas & Tran, Ngoc-Khanh, 2021. "Entangled risks in incomplete FX markets," Journal of Financial Economics, Elsevier, vol. 142(1), pages 146-165.
    76. Robin Greenwood & Samuel G. Hanson & Jeremy C. Stein & Adi Sunderam, 2020. "A Quantity-Driven Theory of Term Premia and Exchange Rates," NBER Working Papers 27615, National Bureau of Economic Research, Inc.
    77. Gianluca Femminis, 2012. "Risk aversion heterogeneity and the investment-uncertainty relationship," DISCE - Quaderni dell'Istituto di Teoria Economica e Metodi Quantitativi itemq1260, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    78. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
    79. Matthew Canzoneri & Robert Cumby & Behzad Diba, 2013. "Addressing International Empirical Puzzles: the Liquidity of Bonds," Open Economies Review, Springer, vol. 24(2), pages 197-215, April.
    80. Ana Maria Santacreu & Federico Gavazzoni, 2014. "International Comovement through Endogenous Long Run Risk," 2014 Meeting Papers 993, Society for Economic Dynamics.
    81. David Backus & Chase Coleman & Axelle Ferriere & Spencer Lyon, 2016. "Pareto weights as wedges in two-country models," Working Papers 16-07, New York University, Leonard N. Stern School of Business, Department of Economics.
    82. Katrin Rabitsch, 2016. "An Incomplete Markets Explanation of the Uncovered Interest Rate Parity Puzzle," Review of International Economics, Wiley Blackwell, vol. 24(2), pages 422-446, May.
    83. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
    84. Mr. Ravi Balakrishnan & Stefan Laseen & Mr. Andrea Pescatori, 2016. "U.S. Dollar Dynamics: How Important Are Policy Divergence and FX Risk Premiums?," IMF Working Papers 2016/125, International Monetary Fund.
    85. Lorenzo Garlappi & Jack Favilukis, 2015. "The Carry Trade and UIP when Markets are Incomplete," 2015 Meeting Papers 242, Society for Economic Dynamics.
    86. Robert Kollmann, 2016. "Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks," 2016 Meeting Papers 721, Society for Economic Dynamics.
    87. Oleg Itskhoki, 2022. "The Research Agenda: Oleg Itskhoki on Exchange Rate Puzzles and Policies," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 23(2), November.
    88. Gianni Amisano & Oreste Tristani, 2023. "Monetary policy and long‐term interest rates," Quantitative Economics, Econometric Society, vol. 14(2), pages 689-716, May.
    89. Caporale, Guglielmo Maria & Donadelli, Michael & Varani, Alessia, 2015. "International capital markets structure, preferences and puzzles: A “US–China World”," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 85-99.
    90. Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2021. "Model‐Free International Stochastic Discount Factors," Journal of Finance, American Finance Association, vol. 76(2), pages 935-976, April.
    91. Robert Kollmann, 2017. "Explaining International Business Cycle Synchronization," 2017 Meeting Papers 1489, Society for Economic Dynamics.
    92. Haroon Mumtaz & Konstantinos Theodoridis, 2016. "Volatility Co-movement and the Great Moderation. An Empirical Analysis," Working Papers 804, Queen Mary University of London, School of Economics and Finance.
    93. Robert Barro & Tao Jin, 2020. "Online Appendix to "Rare Events and Long-Run Risks"," Online Appendices 18-485, Review of Economic Dynamics.
    94. Gurdip Bakashi & Mario Cerrato & John Crosby, 2015. "Risk Sharing in International Economies and Market Incompleteness," Working Papers 2015_23, Business School - Economics, University of Glasgow.
    95. Jonathan J Adams & Philip Barrett, 2017. "Resolving International Macro Puzzles with Imperfect Risk Sharing and Global Solution Methods," Working Papers 001003, University of Florida, Department of Economics.
    96. Gomes, Pedro & Taamouti, Abderrahim, 2016. "In search of the determinants of European asset market comovements," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 103-117.

  5. Thomas J. Sargent & Riccardo Colacito & Lars P. Hansen & Timothy Cogley, 2008. "Robustness and US Monetary," 2008 Meeting Papers 228, Society for Economic Dynamics.

    Cited by:

    1. Ted Temzelides & Borghan Narajabad, 2014. "Robust Dynamic Optimal Taxation and Environmental Externalities," 2014 Meeting Papers 59, Society for Economic Dynamics.
    2. Dennis, Richard & Kirsanova, Tatiana, 2014. "Computing Markov-Perfect Optimal Policies in Business-Cycle Models," SIRE Discussion Papers 2015-64, Scottish Institute for Research in Economics (SIRE).
    3. Jianjun Miao & Alejandro Rivera, 2016. "Robust Contracts in Continuous Time," Econometrica, Econometric Society, vol. 84(4), pages 1405-1440, July.
    4. Angelopoulos, Konstantinos & Malley, James, 2010. "Fear of model misspecifcation and the robustness premium," SIRE Discussion Papers 2010-79, Scottish Institute for Research in Economics (SIRE).
    5. Chen, Jun-Home & Huang, Yu-Lieh & Chang, Jow-Ran, 2017. "Robust Good-Deal Bounds In Incomplete Markets: The Case Of Taiwan," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 58(1), pages 53-67, June.
    6. Li Qin & Moïse SIDIROPOULOS & Eleftherios Spyromitros, 2009. "Robust Monetary Policy under Model Uncertainty and Inflation Persistence," Working Papers of BETA 2009-09, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    7. Cogley, Timothy & De Paoli, Bianca & Matthes, Christian & Nikolov, Kalin & Yates, Tony, 2011. "A Bayesian approach to optimal monetary policy with parameter and model uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2186-2212.
    8. Schumacher Johannes M., 2018. "Distortion risk measures, ROC curves, and distortion divergence," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 35-50, January.
    9. James Costain & Anton Nakov, 2013. "Logit price dynamics," Working Papers 1301, Banco de España.
    10. Richard Dennis, 2013. "Asset Prices, Business Cycles, and Markov-Perfect Fiscal Policy when Agents are Risk-Sensitive," Working Papers 2013_15, Business School - Economics, University of Glasgow.
    11. Kwon, Hyosung & Miao, Jianjun, 2017. "Three types of robust Ramsey problems in a linear-quadratic framework," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 211-231.
    12. Bunten, Devin & Kahn, Matthew E., 2017. "Optimal real estate capital durability and localized climate change disaster risk," Journal of Housing Economics, Elsevier, vol. 36(C), pages 1-7.
    13. Sorge, Marco M., 2013. "Robust delegation with uncertain monetary policy preferences," Economic Modelling, Elsevier, vol. 30(C), pages 73-78.
    14. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    15. Sweder van Wijnbergen & Tim Willems, 2012. "Optimal Learning on Climate Change: Why Climate Skeptics should reduce Emissions," Tinbergen Institute Discussion Papers 12-085/2, Tinbergen Institute.
    16. Paolo Vitale, 2017. "Ambiguity-aversion in a Single Auction Market," Economics Bulletin, AccessEcon, vol. 37(3), pages 1745-1752.
    17. Richard Dennis, 2013. "Imperfect Credibility and Robust Monetary Policy," Working Papers 2013_14, Business School - Economics, University of Glasgow.
    18. Kenneth Kasa & Xiaowen Lei, 2017. "Risk, Uncertainty, and the Dynamics of Inequality," Discussion Papers dp17-06, Department of Economics, Simon Fraser University.
    19. Iverson, Terrence, 2012. "Communicating Trade-offs amid Controversial Science: Decision Support for Climate Policy," Ecological Economics, Elsevier, vol. 77(C), pages 74-90.
    20. Asano, Takao & Shibata, Akihisa, 2011. "Optimal pricing and quality choice of a monopolist under Knightian uncertainty," International Journal of Industrial Organization, Elsevier, vol. 29(6), pages 746-754.
    21. Tillmann Peter, 2009. "Does Model Uncertainty Justify Conservatism? Robustness and the Delegation of Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-28, June.
    22. Hansen, Lars Peter & Sargent, Thomas J., 2011. "Robustness and ambiguity in continuous time," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1195-1223, May.
    23. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
    24. Djeutem, Edouard, 2014. "Model uncertainty and the Forward Premium Puzzle," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 16-40.
    25. Rhys M. Bidder & Raffaella Giacomini & Andrew McKenna, 2016. "Stress Testing with Misspecified Models," Working Paper Series 2016-26, Federal Reserve Bank of San Francisco.

  6. Riccardo Colacito & Mariano Croce, 2005. "Risks For The Long Run And The Real Exchange Rate," 2005 Meeting Papers 794, Society for Economic Dynamics.

    Cited by:

    1. Buss, Adrian, 2013. "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series 1578, European Central Bank.
    2. Martin Bodenstein, 2006. "International Asset Markets and Real Exchange Rate Volatility," International Finance Discussion Papers 884, Board of Governors of the Federal Reserve System (U.S.).
    3. Ravi Bansal & Dana Kiku & Amir Yaron, 2012. "Risks For the Long Run: Estimation with Time Aggregation," NBER Working Papers 18305, National Bureau of Economic Research, Inc.
    4. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers 12912, National Bureau of Economic Research, Inc.
    5. Croce & Colacito, 2008. "Risk sharing for the long-run. The benefits from financial integration," 2008 Meeting Papers 985, Society for Economic Dynamics.
    6. Hakon Tretvoll, 2018. "Real Exchange Variability in a Two-Country Business Cycle Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 27, pages 123-145, January.
    7. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    8. Matteo Maggiori & Brent Neiman & Jesse Schreger, 2018. "International Currencies and Capital Allocation," NBER Working Papers 24673, National Bureau of Economic Research, Inc.
    9. Stefano d¡¦Addona, 2018. "Rational Ignorance in Long-run Risk Models," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 17(1), pages 43-54, June.
    10. James Staveley-O'Carroll & Olena M. Staveley-O'Carroll, 2016. "Impact of Pension System Structure on International Financial Capital Allocation," Working Papers 1601, College of the Holy Cross, Department of Economics.
    11. Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick & Meinerding, Christoph, 2016. "Investment-specific shocks, business cycles, and asset prices," SAFE Working Paper Series 129, Leibniz Institute for Financial Research SAFE.
    12. Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
    13. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
    14. Robert Kollmann, 2015. "Risk sharing in a world economy with uncertainty shocks," CAMA Working Papers 2015-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    15. Robert J. Barro & Tao Jin, 2016. "Rare Events and Long-Run Risks," NBER Working Papers 21871, National Bureau of Economic Research, Inc.
    16. Barnes, Spencer, 2021. "Killing in the stock market: Evidence from organ donations," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    17. Kollmann, Robert, 2017. "Explaining International Business Cycle Synchronization: Recursive Preferences and the Terms of Trade Channel," CEPR Discussion Papers 11911, C.E.P.R. Discussion Papers.
    18. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
    19. Sarita Bunsupha, 2018. "Extrapolative Beliefs and Exchange Rate Markets," PIER Discussion Papers 84, Puey Ungphakorn Institute for Economic Research.
    20. Simona E. Cociuba & Ananth Ramanarayanan, 2011. "International Risk Sharing with Endogenously Segmented Asset Markets," 2011 Meeting Papers 853, Society for Economic Dynamics.
    21. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
    22. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    23. Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2015. "Not so disconnected: exchange rates and the capital stock," Working Paper Series 2015-21, Federal Reserve Bank of San Francisco.
    24. Larry Epstein & Emmanuel Farhi & Tomasz Stralezcki, 2013. "How Much Would You Pay to Resolve Long-Run Risk?," Working Paper 106061, Harvard University OpenScholar.
    25. Kano, Takashi & Wada, Kenji, 2017. "The first arrow hitting the currency target: A long-run risk perspective," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 337-352.
    26. Grüning, Patrick, 2016. "International endogenous growth, macro anomalies, and asset prices," SAFE Working Paper Series 83, Leibniz Institute for Financial Research SAFE, revised 2016.
    27. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics.
    28. Federico Gavazzoni & Ana Maria Santacreu, 2015. "International R&D Spillovers and Asset Prices," Working Papers 2015-41, Federal Reserve Bank of St. Louis.
    29. Coeurdacier, Nicolas & Rey, Hélène & Winant, Pablo, 2020. "Financial integration and growth in a risky world," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 1-21.
    30. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
    31. Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
    32. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
    33. Hoffmann, Mathias & Studer-Suter, Rahel, 2017. "Systematic consumption risk in currency returns," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 187-208.
    34. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 283-300.
    35. Pierpaolo Benigno, 2007. "Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles," NBER Working Papers 13173, National Bureau of Economic Research, Inc.
    36. Riccardo Colacito & Mariano M. Croce, 2010. "The Short and Long Run Benefits of Financial Integration," American Economic Review, American Economic Association, vol. 100(2), pages 527-531, May.
    37. Alfred V Guender, 2015. "International Evidence on the Role of Monetary Policy in the Uncovered Interest Rate Parity Puzzle," Working Papers in Economics 15/15, University of Canterbury, Department of Economics and Finance.
    38. Engel, Charles, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Economics Series 265, Institute for Advanced Studies.
    39. Narayana R. Kocherlakota & Luigi Pistaferri, 2007. "Household Heterogeneity and Real Exchange Rates," Economic Journal, Royal Economic Society, vol. 117(519), pages 1-25, March.
    40. Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
    41. Ina Simonovska & Espen Henriksen, 2013. "Time-Varying Risk Premia and Capital Flows to Developing Countries," 2013 Meeting Papers 1258, Society for Economic Dynamics.
    42. Bechlioulis, Alexandros P. & Brissimis, Sophocles N., 2021. "Identifying key aspects of household behavior in a representative agent framework," Economic Modelling, Elsevier, vol. 97(C), pages 105-117.
    43. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.
    44. Kollmann, Robert, 2016. "International business cycles and risk sharing with uncertainty shocks and recursive preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 72(C), pages 115-124.
    45. Huang, Lin & Wu, Jia & Zhang, Rui, 2014. "Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model," Emerging Markets Review, Elsevier, vol. 21(C), pages 96-116.
    46. Jonathan Heathcote & Fabrizio Perri, 2013. "Assessing international efficiency," Staff Report 480, Federal Reserve Bank of Minneapolis.
    47. Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc.
    48. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
    49. David K. Backus & Federico Gavazzoni & Christopher Telmer & Stanley E. Zin, 2010. "Monetary Policy and the Uncovered Interest Parity Puzzle," NBER Working Papers 16218, National Bureau of Economic Research, Inc.
    50. Jun Ma, 2013. "Long‐Run Risk and Its Implications for the Equity Premium Puzzle: New Evidence from a Multivariate Framework," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(1), pages 121-145, February.
    51. Tomas Havranek & Roman Horvath & Zuzana Irsova & Marek Rusnak, 2013. "Cross-Country Heterogeneity in Intertemporal Substitution," William Davidson Institute Working Papers Series wp1056, William Davidson Institute at the University of Michigan.
    52. Elminejad, Ali & Havranek, Tomas & Irsova, Zuzana, 2022. "Relative Risk Aversion: A Meta-Analysis," EconStor Preprints 260586, ZBW - Leibniz Information Centre for Economics.
    53. Hengjie Ai & Ravi Bansal, 2016. "Risk Preferences and The Macro Announcement Premium," NBER Working Papers 22527, National Bureau of Economic Research, Inc.
    54. Craig Burnside & Mario Cerrato & Zhekai Zhang, 2020. "Foreign Exchange Order Flow as a Risk Factor," NBER Working Papers 27199, National Bureau of Economic Research, Inc.
    55. Engel, Charles & Bianchi, Javier & Bigio, Saki, 2021. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," CEPR Discussion Papers 16712, C.E.P.R. Discussion Papers.
    56. Hassan, Ramin & Loualiche, Erik & Pecora, Alexandre R. & Ward, Colin, 2023. "International trade and the risk in bilateral exchange rates," Journal of Financial Economics, Elsevier, vol. 150(2).
    57. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    58. Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013. "International risk cycles," Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
    59. Oleg Itskhoki, 2021. "The Story of the Real Exchange Rate," Annual Review of Economics, Annual Reviews, vol. 13(1), pages 423-455, August.
    60. Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012. "An estimation of economic models with recursive preferences," CeMMAP working papers 32/12, Institute for Fiscal Studies.
    61. Ric Colacito & Max Croce & Steven Ho & Philip Howard, 2018. "BKK the EZ Way: International Long-Run Growth News and Capital Flows," American Economic Review, American Economic Association, vol. 108(11), pages 3416-3449, November.
    62. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," NBER Working Papers 24325, National Bureau of Economic Research, Inc.
    63. Jairo A. Rendon, 2019. "Global And Regional Risks In Currency Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-25, December.
    64. Tarek A. Hassan & Rui C. Mano, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," NBER Working Papers 20294, National Bureau of Economic Research, Inc.
    65. Fousseni Chabi-Yo & Riccardo Colacito, 2019. "The Term Structures of Coentropy in International Financial Markets," Management Science, INFORMS, vol. 65(8), pages 3541-3558, August.
    66. Karen K. Lewis & Edith X. Liu, 2017. "Disaster Risk and Asset Returns : An International Perspective," International Finance Discussion Papers 1199, Board of Governors of the Federal Reserve System (U.S.).
    67. Jianfeng Yu, 2011. "A sentiment-based explanation of the forward premium puzzle," Globalization Institute Working Papers 90, Federal Reserve Bank of Dallas.
    68. Robert Kollmann, 2015. "Exchange Rate and Current Account Dynamics: the Role of Asset Market Structure, Long-Run Risk and Risk Appetite," 2015 Meeting Papers 1397, Society for Economic Dynamics.
    69. López, Ramón E. & Yoon, Sang W., 2020. "Sustainable development: Structural transformation and the consumer demand," Structural Change and Economic Dynamics, Elsevier, vol. 52(C), pages 22-38.
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    71. Horag Choi & Steven Lugauer & Nelson C. Mark, 2014. "Precautionary Saving of Chinese and U.S. Households," NBER Working Papers 20527, National Bureau of Economic Research, Inc.
    72. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
    73. Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2013. "The Conditional CAPM, Cross-Section Returns and Stochastic Volatility," MPRA Paper 52469, University Library of Munich, Germany.
    74. Mehmood, Sultan, 2013. "Terrorism and the macroeconomy: Evidence from Pakistan," MPRA Paper 44546, University Library of Munich, Germany.
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    114. Ready, Robert C., 2018. "Oil consumption, economic growth, and oil futures: The impact of long-run oil supply uncertainty on asset prices," Journal of Monetary Economics, Elsevier, vol. 94(C), pages 1-26.
    115. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.
    116. Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2018. "Level and slope of volatility smiles in long-run risk models," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 95-122.
    117. Mariano M. Croce, 2006. "Welfare Costs, Long Run Consumption Risk, and a Production Economy," 2006 Meeting Papers 582, Society for Economic Dynamics.
    118. Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2020. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," Journal of Finance, American Finance Association, vol. 75(6), pages 3097-3138, December.
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    120. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
    121. Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
    122. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    123. Gurdip Bakshi & Mario Cerrato & John Crosby, 2016. "Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies," Working Papers 2017_01, Business School - Economics, University of Glasgow.
    124. Jung, Kuk Mo, 2015. "Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns," MPRA Paper 67416, University Library of Munich, Germany.
    125. Maurer, Thomas & Tran, Ngoc-Khanh, 2021. "Entangled risks in incomplete FX markets," Journal of Financial Economics, Elsevier, vol. 142(1), pages 146-165.
    126. Robin Greenwood & Samuel G. Hanson & Jeremy C. Stein & Adi Sunderam, 2020. "A Quantity-Driven Theory of Term Premia and Exchange Rates," NBER Working Papers 27615, National Bureau of Economic Research, Inc.
    127. Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2017. "Level and slope of volatility smiles in Long-Run Risk Models," SAFE Working Paper Series 186, Leibniz Institute for Financial Research SAFE.
    128. Liu, Yang & Shaliastovich, Ivan, 2022. "Government policy approval and exchange rates," Journal of Financial Economics, Elsevier, vol. 143(1), pages 303-331.
    129. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
    130. Yu, Jianfeng, 2013. "A sentiment-based explanation of the forward premium puzzle," Journal of Monetary Economics, Elsevier, vol. 60(4), pages 474-491.
    131. Ana Maria Santacreu & Federico Gavazzoni, 2014. "International Comovement through Endogenous Long Run Risk," 2014 Meeting Papers 993, Society for Economic Dynamics.
    132. Kimberly Berg & Nelson C. Mark, 2016. "Global Macro Risks in Currency Excess Returns," Staff Working Papers 16-32, Bank of Canada.
    133. Massimiliano Croce, Mariano, 2014. "Long-run productivity risk: A new hope for production-based asset pricing?," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 13-31.
    134. Mohammadreza Tavakoli Baghdadabad & Girijasankar Mallik, 2021. "Market news co-moments and currency returns," Empirical Economics, Springer, vol. 61(4), pages 1819-1863, October.
    135. Hanno Lustig & Robert J. Richmond, 2017. "Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates," NBER Working Papers 23773, National Bureau of Economic Research, Inc.
    136. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
    137. Tomas Havranek, 2013. "Publication Bias in Measuring Intertemporal Substitution," Working Papers IES 2013/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2013.
    138. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
    139. David KRIZEK & Josef BRCAK, 2021. "Support for export as a non-standard Central Bank policy: foreign exchange interventions in the case of the Czech Republic," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 12, pages 191-218, June.
    140. Ender Demir & Ka Wai Terence Fung & Zhou Lu, 2016. "Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(1), pages 52-65, January.
    141. Karen K. Lewis & Edith X. Liu, 2012. "International Consumption Risk Is Shared After All: An Asset Return View," NBER Working Papers 17872, National Bureau of Economic Research, Inc.
    142. Lewis, Karen K. & Liu, Edith X., 2015. "Evaluating international consumption risk sharing gains: An asset return view," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 84-98.
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    145. Lorenzo Garlappi & Jack Favilukis, 2015. "The Carry Trade and UIP when Markets are Incomplete," 2015 Meeting Papers 242, Society for Economic Dynamics.
    146. Robert Kollmann, 2016. "Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks," 2016 Meeting Papers 721, Society for Economic Dynamics.
    147. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
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    150. Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2021. "Model‐Free International Stochastic Discount Factors," Journal of Finance, American Finance Association, vol. 76(2), pages 935-976, April.
    151. Robert Kollmann, 2017. "Explaining International Business Cycle Synchronization," 2017 Meeting Papers 1489, Society for Economic Dynamics.
    152. Chang, Yanqin, 2007. "high level of international risk sharing when the productivity growth contains long run risk," MPRA Paper 4476, University Library of Munich, Germany.
    153. Joseph Engelberg & Christopher A. Parsons, 2016. "Worrying about the Stock Market: Evidence from Hospital Admissions," Journal of Finance, American Finance Association, vol. 71(3), pages 1227-1250, June.
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  7. Timothy Cogley & Thomas Sargent & Riccardo Colacito, 2005. "Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson," 2005 Meeting Papers 791, Society for Economic Dynamics.

    Cited by:

    1. Stephen G. Cecchetti & Peter Hooper & Bruce C. Kasman & Kermit L. Schoenholtz & Mark W. Watson, 2007. "Understanding the Evolving the Evolving Inflation Process," Working Papers 2007-4, Princeton University. Economics Department..
    2. Svensson, Lars E. O. & Williams, Noah, 2005. "Monetary policy with model uncertainty: distribution forecast targeting," Discussion Paper Series 1: Economic Studies 2005,35, Deutsche Bundesbank.
    3. Alain Kabundi & Eric Schaling & Modeste Some, 2014. "Monetary Policy and Heterogeneous Inflation Expectations in South Africa," Working Papers 6107, South African Reserve Bank.
    4. Timothy Cogley, 2008. "Commentary on \\"Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach\\"," Review, Federal Reserve Bank of St. Louis, vol. 90(Jul), pages 295-300.
    5. Kenneth Kasa, 2007. "Learning and Model Validation," 2007 Meeting Papers 548, Society for Economic Dynamics.
    6. Fabio Canova & Luca Sala, 2005. "Back to square one: Identification issues in DSGE models," Economics Working Papers 927, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2006.
    7. Alain Kabundi & Eric Schaling, 2013. "Inflation and Inflation Expectations in South Africa: an Attempt at Explanation," South African Journal of Economics, Economic Society of South Africa, vol. 81(3), pages 346-355, September.

Articles

  1. Riccardo Colacito & Bridget Hoffman & Toan Phan & Timothy Sablik, 2018. "The Impact of Higher Temperatures on Economic Growth," Richmond Fed Economic Brief, Federal Reserve Bank of Richmond, issue August.

    Cited by:

    1. Larry Hughes & Moniek Jong & Zach Thorne, 2021. "(De)coupling and (De)carbonizing in the economies and energy systems of the G20," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(4), pages 5614-5639, April.
    2. Signe Krogstrup & William Oman, 2019. "Macroeconomic and Financial Policies for Climate Change Mitigation: A Review of the Literature," IMF Working Papers 2019/185, International Monetary Fund.
    3. Ronald R. Kumar & Peter J. Stauvermann, 2019. "The Effects of a Revenue-Neutral Child Subsidy Tax Mechanism on Growth and GHG Emissions," Sustainability, MDPI, vol. 11(9), pages 1-23, May.
    4. Christopher J. Amante & Jacob Dice & David Rodziewicz & Eugene Wahl, 2020. "Housing Market Value Impairment from Future Sea-level Rise Inundation," Research Working Paper RWP 20-05, Federal Reserve Bank of Kansas City.

  2. Riccardo Colacito & Mariano M. Croce, 2013. "International Asset Pricing with Recursive Preferences," Journal of Finance, American Finance Association, vol. 68(6), pages 2651-2686, December.
    See citations under working paper version above.
  3. Anna Bassi & Riccardo Colacito & Paolo Fulghieri, 2013. "'O Sole Mio: An Experimental Analysis of Weather and Risk Attitudes in Financial Decisions," The Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1824-1852.

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    1. Carbajal De Nova, Carolina, 2017. "Synthetic data. A proposed method for applied risk management," MPRA Paper 77978, University Library of Munich, Germany, revised 28 Mar 2017.
    2. Mark Braun & Sofia B. Villas‐Boas, 2024. "Pollution and fatal traffic accidents in California counties," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 46(1), pages 360-385, March.
    3. Meier, Armando N. & Schmid, Lukas D. & Stutzer, Alois, 2016. "Rain, Emotions and Voting for the Status Quo," IZA Discussion Papers 10350, Institute of Labor Economics (IZA).
    4. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2022. "How is the change in left-tail risk priced in China?," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    5. Björn Bos & Moritz A. Drupp & Jasper N. Meya & Martin F. Quaas, 2023. "Financial Risk-Taking under Health Risk," CESifo Working Paper Series 10387, CESifo.
    6. Filippin, Antonio & Gioia, Francesca, 2017. "Competition and Subsequent Risk-Taking Behaviour: Heterogeneity across Gender and Outcomes," IZA Discussion Papers 10792, Institute of Labor Economics (IZA).
    7. Corrado Giulietti & Mirco Tonin & Michael Vlassopoulos, 2018. "When the Market Drives you Crazy: Stock Market Returns and Fatal Car Accidents," CESifo Working Paper Series 7182, CESifo.
    8. Hirshleifer, David & Jiang, Danling & DiGiovanni, Yuting Meng, 2020. "Mood beta and seasonalities in stock returns," Journal of Financial Economics, Elsevier, vol. 137(1), pages 272-295.
    9. Margaret Samahita & Håkan J Holm, 2020. "Mining for Mood Effect in the Field," Working Papers 202002, School of Economics, University College Dublin.
    10. Sun, Qian & Cheng, Xiaoke & Gao, Shenghao & Chen, Tao & Liu, Jia, 2023. "Sunshine-induced mood and SEO pricing: Evidence from detailed investor bids in SEO auctions," Journal of Corporate Finance, Elsevier, vol. 80(C).
    11. Jiang, Danling & Norris, Dylan & Sun, Lin, 2021. "Weather, institutional investors and earnings news," Journal of Corporate Finance, Elsevier, vol. 69(C).
    12. De Nova, Carolina Carbajal, 2021. "Synthetic data. A novel proposed method for applied risk management," 95th Annual Conference, March 29-30, 2021, Warwick, UK (Hybrid) 311085, Agricultural Economics Society - AES.
    13. Matthieu Gilson & Kim Oosterlinck & Andrey Ukhov, 2015. "Time-Varying Risk Aversion during World War II: Evidence from Belgian Lottery Bond Prices," Working Papers CEB 15-031, ULB -- Universite Libre de Bruxelles.
    14. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D. & Wermers, Russ, 2017. "Seasonal Asset Allocation: Evidence from Mutual Fund Flows," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(1), pages 71-109, February.
    15. Gennaro Bernile & Vineet Bhagwat & Ambrus Kecskés & Phuong‐Anh Nguyen, 2021. "Are the risk attitudes of professional investors affected by personal catastrophic experiences?," Financial Management, Financial Management Association International, vol. 50(2), pages 455-486, June.
    16. Autore, Don M. & Jiang, Danling, 2019. "The preholiday corporate announcement effect," Journal of Financial Markets, Elsevier, vol. 45(C), pages 61-82.
    17. Chuang, Yi-Wei & Tsai, Wei-Che & Weng, Pei-Shih, 2020. "The impact of weather on order submissions and trading performance," Pacific-Basin Finance Journal, Elsevier, vol. 64(C).
    18. Gelman, Sergey & Kliger, Doron, 2021. "The effect of time-induced stress on financial decision making in real markets: The case of traffic congestion," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 814-841.
    19. Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013. "Time Varying Risk Aversion," EIEF Working Papers Series 1322, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2013.
    20. Kassas, Bachir & Palma, Marco A. & Porter, Maria, 2022. "Happy to take some risk: Estimating the effect of induced emotions on risk preferences," Journal of Economic Psychology, Elsevier, vol. 91(C).
    21. Tian, Xin & Cao, Shasha & Song, Yan, 2021. "The impact of weather on consumer behavior and retail performance: Evidence from a convenience store chain in China," Journal of Retailing and Consumer Services, Elsevier, vol. 62(C).
    22. Fabrizio Bernardi & Marco Cozzani, 2021. "Soccer Scores, Short-Term Mood and Fertility," European Journal of Population, Springer;European Association for Population Studies, vol. 37(3), pages 625-641, July.
    23. Ed Dehaan & Joshua Madsen & Joseph D. Piotroski, 2017. "Do Weather‐Induced Moods Affect the Processing of Earnings News?," Journal of Accounting Research, Wiley Blackwell, vol. 55(3), pages 509-550, June.
    24. Gavriilidis, Konstantinos & Kallinterakis, Vasileios & Öztürkkal, Belma, 2020. "Does mood affect institutional herding?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 26(C).
    25. Gelman, Sergey & Kliger, Doron, 2016. "Time-Induced Stress Effect on Financial Decision Making in Real Markets: The Case of Traffic Congestion," VfS Annual Conference 2016 (Augsburg): Demographic Change 145915, Verein für Socialpolitik / German Economic Association.
    26. Qadan, Mahmoud & Aharon, David Y. & Cohen, Gil, 2020. "Everybody likes shopping, including the US capital market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    27. Lin, Mei-Chen, 2015. "Seasonal affective disorder and investors’ response to earnings news," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 211-221.
    28. Filiz, Ibrahim & Nahmer, Thomas & Spiwoks, Markus, 2019. "Herd behavior and mood: An experimental study on the forecasting of share prices," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
    29. Qadan, Mahmoud & Kliger, Doron, 2016. "The short trading day anomaly," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 62-80.
    30. Qadan, Mahmoud & Aharon, David Y., 2019. "Can investor sentiment predict the size premium?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 10-26.
    31. Gehde-Trapp, Monika & Klingler, Linda, 2022. "The effect of sentiment on institutional investors: A gender analysis," CFR Working Papers 22-08, University of Cologne, Centre for Financial Research (CFR).
    32. Yang, Chih-Yuan & Jhang, Ling-Jhen & Chang, Chia-Chien, 2016. "Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 35-51.
    33. Nils Muhlack & Christian Soost & Christian Johannes Henrich, 2022. "Does Weather Still Affect The Stock Market?," Schmalenbach Journal of Business Research, Springer, vol. 74(1), pages 1-35, March.
    34. Qadan, Mahmoud, 2019. "Risk appetite, idiosyncratic volatility and expected returns," International Review of Financial Analysis, Elsevier, vol. 65(C).
    35. Dong, Ming & Tremblay, Andréanne, 2022. "Global weather-based trading strategies," Journal of Banking & Finance, Elsevier, vol. 143(C).
    36. Amos Nadler & Peiran Jiao & Cameron J. Johnson & Veronika Alexander & Paul J. Zak, 2019. "The Bull of Wall Street: Experimental Analysis of Testosterone and Asset Trading," Management Science, INFORMS, vol. 64(9), pages 4032-4051, September.
    37. Guo, Julie & Tymula, Agnieszka, 2021. "Waterfall illusion in risky choice – exposure to outcome-irrelevant gambles affects subsequent valuation of risky gambles," European Economic Review, Elsevier, vol. 139(C).
    38. Wang, Albert Y. & Young, Michael, 2020. "Terrorist attacks and investor risk preference: Evidence from mutual fund flows," Journal of Financial Economics, Elsevier, vol. 137(2), pages 491-514.
    39. Kaustia, Markku & Rantapuska, Elias, 2016. "Does mood affect trading behavior?," Journal of Financial Markets, Elsevier, vol. 29(C), pages 1-26.
    40. Jochen M. Schmittmann & Jenny Pirschel & Steffen Meyer & Andreas Hackethal, 2015. "The Impact of Weather on German Retail Investors," Review of Finance, European Finance Association, vol. 19(3), pages 1143-1183.
    41. Chen, Zhonglu & Zhang, Li & Weng, Chen, 2023. "Does climate policy uncertainty affect Chinese stock market volatility?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 369-381.
    42. Gregory, Richard P., 2021. "The pricing of global temperature shocks in the cost of equity capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    43. Leon Zolotoy & Don O’Sullivan & Myeong-Gu Seo & Madhu Veeraraghavan, 2021. "Mood and Ethical Decision Making: Positive Affect and Corporate Philanthropy," Journal of Business Ethics, Springer, vol. 171(1), pages 189-208, June.
    44. Daniel L. Chen & Markus Loecher, 2022. "Mood and the Malleability of Moral Reasoning: The Impact of Irrelevant Factors on Judicial Decisions," Working Papers hal-03864854, HAL.
    45. Cortés, Kristle & Duchin, Ran & Sosyura, Denis, 2016. "Clouded judgment: The role of sentiment in credit origination," Journal of Financial Economics, Elsevier, vol. 121(2), pages 392-413.
    46. Shr, Yau-Huo & Hsu, Wen & Hwang, Bing-Fang & Jung, Chau-Ren, 2023. "Air quality and risky behaviors on roads," Journal of Environmental Economics and Management, Elsevier, vol. 118(C).
    47. Frühwirth, Manfred & Sögner, Leopold, 2015. "Weather and SAD related mood effects on the financial market," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 11-31.
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    2. Harjoat S. Bhamra & Raman Uppal, 2019. "Does Household Finance Matter? Small Financial Errors with Large Social Costs," American Economic Review, American Economic Association, vol. 109(3), pages 1116-1154, March.
    3. Athreya, Kartik B., 2014. "Big Ideas in Macroeconomics: A Nontechnical View," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262019736, December.

  5. Colacito, Riccardo & Engle, Robert F. & Ghysels, Eric, 2011. "A component model for dynamic correlations," Journal of Econometrics, Elsevier, vol. 164(1), pages 45-59, September.

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  8. Timothy Cogley & Riccardo Colacito & Lars Peter Hansen & Thomas J. Sargent, 2008. "Robustness and U.S. Monetary Policy Experimentation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(8), pages 1599-1623, December.

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    6. Ted Temzelides & Borghan Narajabad, 2014. "Robust Dynamic Optimal Taxation and Environmental Externalities," 2014 Meeting Papers 59, Society for Economic Dynamics.
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    49. Hansen, Lars Peter & Sargent, Thomas J., 2011. "Robustness and ambiguity in continuous time," Journal of Economic Theory, Elsevier, vol. 146(3), pages 1195-1223, May.
    50. Hasui Kohei, 2021. "Trend Growth and Robust Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 449-472, June.
    51. Ricardo J. Caballero, 2010. "Macroeconomics after the Crisis: Time to Deal with the Pretense-of-Knowledge Syndrome," NBER Working Papers 16429, National Bureau of Economic Research, Inc.
    52. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
    53. Djeutem, Edouard, 2014. "Model uncertainty and the Forward Premium Puzzle," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 16-40.
    54. Rhys M. Bidder & Raffaella Giacomini & Andrew McKenna, 2016. "Stress Testing with Misspecified Models," Working Paper Series 2016-26, Federal Reserve Bank of San Francisco.
    55. Fudenberg, Drew & Lanzani, Giacomo & Strack, Philipp, 2023. "Pathwise concentration bounds for Bayesian beliefs," Theoretical Economics, Econometric Society, vol. 18(4), November.
    56. Lee, Sang Seok & Luk, Paul, 2018. "The Asian Financial Crisis and international reserve accumulation: A robust control approach," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 284-309.
    57. Xu, Yuan, 2015. "Robustness to model uncertainty and the nominal term premium puzzle," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 124-137.

  9. Timothy Cogley & Riccardo Colacito & Thomas J. Sargent, 2007. "Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 67-99, February.

    Cited by:

    1. Stephen G. Cecchetti & Peter Hooper & Bruce C. Kasman & Kermit L. Schoenholtz & Mark W. Watson, 2007. "Understanding the Evolving the Evolving Inflation Process," Working Papers 2007-4, Princeton University. Economics Department..
    2. Svensson, Lars E. O. & Williams, Noah, 2005. "Monetary policy with model uncertainty: distribution forecast targeting," Discussion Paper Series 1: Economic Studies 2005,35, Deutsche Bundesbank.
    3. Klaus Schmidt-Hebbel & Carl E. Walsh, 2009. "Monetary Policy under Uncertainty and Learning: An Overview," Central Banking, Analysis, and Economic Policies Book Series, in: Klaus Schmidt-Hebbel & Carl E. Walsh & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy under Uncertainty and Learning, edition 1, volume 13, chapter 1, pages 001-025, Central Bank of Chile.
    4. Alain Kabundi & Eric Schaling & Modeste Some, 2014. "Monetary Policy and Heterogeneous Inflation Expectations in South Africa," Working Papers 6107, South African Reserve Bank.
    5. Luo, Yulei & Nie, Jun & Young, Eric, 2014. "Model Uncertainty and Intertemporal Tax Smoothing," MPRA Paper 54268, University Library of Munich, Germany.
    6. Wieland, Volker, 2008. "Learning, Endogenous Indexation and Disinflation in the New-Keynesian Model," CEPR Discussion Papers 6749, C.E.P.R. Discussion Papers.
    7. Ellison, Martin & Macaulay, Alistair, 2019. "A Rational Inattention Unemployment Trap," CEPR Discussion Papers 13761, C.E.P.R. Discussion Papers.
    8. Mewael F. Tesfaselassie & Eric Schaling, 2008. "Managing Disinflation under Uncertainty," CDMA Conference Paper Series 0812, Centre for Dynamic Macroeconomic Analysis.
    9. Cogley, Timothy & De Paoli, Bianca & Matthes, Christian & Nikolov, Kalin & Yates, Tony, 2011. "A Bayesian approach to optimal monetary policy with parameter and model uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2186-2212.
    10. Yates, Anthony & Ellison, Martin, 2007. "Escaping Nash and Volatile Inflation," CEPR Discussion Papers 6483, C.E.P.R. Discussion Papers.
    11. Josef Hollmayr & Christian Matthes, 2013. "Learning about fiscal policy and the effects of policy uncertainty," Working Paper 13-15, Federal Reserve Bank of Richmond.
    12. Timothy Cogley, 2008. "Commentary on \\"Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach\\"," Review, Federal Reserve Bank of St. Louis, vol. 90(Jul), pages 295-300.
    13. Bigio, Saki, 2009. "Learning under Fear of Floating," Working Papers 2009-004, Banco Central de Reserva del Perú.
    14. Lars E. O. Svensson & Noah Williams, 2008. "Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach," Review, Federal Reserve Bank of St. Louis, vol. 90(Jul), pages 275-294.
    15. Kenneth Kasa, 2007. "Learning and Model Validation," 2007 Meeting Papers 548, Society for Economic Dynamics.
    16. Alina Barnett & Martin Ellison, 2013. "Learning by Disinflating," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 731-746, June.
    17. Fabio Canova & Luca Sala, 2005. "Back to square one: Identification issues in DSGE models," Economics Working Papers 927, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2006.
    18. Francesca Rondina, 2010. "The role of model uncertainty and learning in the U.S. postwar policy response to oil prices," Working Papers 478, Barcelona School of Economics.
    19. Francesca Rondina, 2017. "Model Uncertainty and the Direction of Fit of the Postwar U.S. Phillips Curve(s)," Working Papers 1702E, University of Ottawa, Department of Economics.
    20. Noah Williams & Lars E.O. Svensson, 2007. "Bayesian and Adaptive Optimal Policy under Model Uncertainty," 2007 Meeting Papers 446, Society for Economic Dynamics.
    21. Eric Schaling & Marco Hoeberichts, 2010. "Why Speed Doesn’t Kill: Learning to Believe in Disinflation," De Economist, Springer, vol. 158(1), pages 23-42, April.
    22. Timothy Cogley & Riccardo Colacito & Lars Peter Hansen & Thomas J. Sargent, 2008. "Robustness and U.S. Monetary Policy Experimentation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(8), pages 1599-1623, December.
    23. Svensson, Lars E.O., 2010. "Inflation Targeting," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 22, pages 1237-1302, Elsevier.
    24. Zhu, Hongwei & Siegel, Michael & Madnick, Stuart, 2008. "Enabling Global Price Comparison through Semantic Integration of Web Data," Working papers 40084, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    25. Williams, Noah, 2012. "Monetary policy under financial uncertainty," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 449-465.
    26. Fudenberg, Drew & Lanzani, Giacomo & Strack, Philipp, 2023. "Pathwise concentration bounds for Bayesian beliefs," Theoretical Economics, Econometric Society, vol. 18(4), November.
    27. Matteo Cacciatore & Dmitry Matveev & Rodrigo Sekkel, 2022. "Uncertainty and Monetary Policy Experimentation: Empirical Challenges and Insights from Academic Literature," Discussion Papers 2022-9, Bank of Canada.
    28. Lee, Sang Seok & Luk, Paul, 2018. "The Asian Financial Crisis and international reserve accumulation: A robust control approach," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 284-309.
    29. Alain Kabundi & Eric Schaling, 2013. "Inflation and Inflation Expectations in South Africa: an Attempt at Explanation," South African Journal of Economics, Economic Society of South Africa, vol. 81(3), pages 346-355, September.

  10. Engle, Robert & Colacito, Riccardo, 2006. "Testing and Valuing Dynamic Correlations for Asset Allocation," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 238-253, April.

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    1. Aslanidis, Nektarios & Martínez Ibáñez, Óscar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
    2. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
    3. Bauwens, Luc & Xu, Yongdeng, 2023. "DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations," International Journal of Forecasting, Elsevier, vol. 39(2), pages 938-955.
    4. Piotr Fiszeder, 2011. "Minimum Variance Portfolio Selection for Large Number of Stocks – Application of Time-Varying Covariance Matrices," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 87-98.
    5. Lucien Boulet, 2021. "Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs," Papers 2109.01044, arXiv.org.
    6. Olivier Ledoit & Michael Wolf, 2019. "The power of (non-)linear shrinking: a review and guide to covariance matrix estimation," ECON - Working Papers 323, Department of Economics - University of Zurich, revised Feb 2020.
    7. Luis García-Álvarez & Richard Luger, 2011. "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers wp2011_1103, CEMFI, revised Sep 2011.
    8. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
    9. Niels S. Grønborg & Asger Lunde & Kasper V. Olesen & Harry Vander Elst, 2018. "Realizing Correlations Across Asset Classes," CREATES Research Papers 2018-37, Department of Economics and Business Economics, Aarhus University.
    10. Chun-Pin Hsu & Chin-Wen Huang & Wan-Jiun Chiou, 2012. "Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 447-468, November.
    11. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    12. Nalan Basturk & Agnieszka Borowska & Stefano Grassi & Lennart Hoogerheide & Herman K. van Dijk, 2018. "Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies," Working Paper 2018/10, Norges Bank.
    13. Marcel Wollschlager & Rudi Schafer, 2015. "Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns," Papers 1506.08054, arXiv.org.
    14. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2017. "Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation," CREATES Research Papers 2018-12, Department of Economics and Business Economics, Aarhus University.
    15. Ahmed, Shamim & Bu, Ziwen & Symeonidis, Lazaros & Tsvetanov, Daniel, 2023. "Which factor model? A systematic return covariation perspective," Journal of International Money and Finance, Elsevier, vol. 136(C).
    16. Sleire, Anders D. & Støve, Bård & Otneim, Håkon & Berentsen, Geir Drage & Tjøstheim, Dag & Haugen, Sverre Hauso, 2022. "Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations," Finance Research Letters, Elsevier, vol. 46(PB).
    17. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CARF F-Series CARF-F-219, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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    24. Geraci, M. V. & Gnabo, J-Y. & Veredas, D., 2020. "Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks," Cambridge Working Papers in Economics 2066, Faculty of Economics, University of Cambridge.
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    26. Aslanidis, Nektarios & Casas, Isabel, 2011. "Modelling asset correlations: A nonparametric approach," Working Papers 2011-01, University of Sydney, School of Economics.
    27. Fulvio Corsi & Francesco Audrino, 2012. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 591-616, September.
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    33. Hussain, Saiful Izzuan & Li, Steven, 2018. "The dependence structure between Chinese and other major stock markets using extreme values and copulas," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 421-437.
    34. Mustafa Demirel & Gazanfer Unal, 2020. "Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-29, December.
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    40. L. Bauwens & E. Otranto, 2020. "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," Working Paper CRENoS 202007, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    41. Prince Osei Mensah & Anokye M. Adam, 2020. "Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana," Risks, MDPI, vol. 8(2), pages 1-20, June.
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    43. Christian Brownlees & Eulàlia Nualart & Yucheng Sun, 2018. "Realized networks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 986-1006, November.
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    45. Noureddine Benlagha, 2014. "Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 49-60, November.
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    47. Sander Barendse & Andrew J. Patton, 2020. "Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter," Economics Series Working Papers 909, University of Oxford, Department of Economics.
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    50. Wei Kuang, 2021. "Conditional covariance matrix forecast using the hybrid exponentially weighted moving average approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1398-1419, December.
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    58. Otranto, Edoardo, 2010. "Identifying financial time series with similar dynamic conditional correlation," Computational Statistics & Data Analysis, Elsevier, vol. 54(1), pages 1-15, January.
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    62. Monica Billio & Massimiliano Caporin & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Networks in risk spillovers: a multivariate GARCH perspective," Working Papers 2016:03, Department of Economics, University of Venice "Ca' Foscari".
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    66. Teh, Boon Kin & Goo, Yik Wen & Lian, Tong Wei & Ong, Wei Guang & Choi, Wen Ting & Damodaran, Mridula & Cheong, Siew Ann, 2015. "The Chinese Correction of February 2007: How financial hierarchies change in a market crash," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 225-241.
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