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Ian Martin

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.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Ian Martin, 2011. "The Lucas Orchard," NBER Working Papers 17563, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. The Lucas Orchard
      by Christian Zimmermann in NEP-DGE blog on 2011-11-27 01:27:28

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Ian Martin, 2017. "What is the Expected Return on the Market?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 367-433.

    Mentioned in:

    1. What is the Expected Return on the Market? (QJE 2017) in ReplicationWiki ()

Working papers

  1. Kremens, Lukas & Martin, Ian & Varela, Liliana, 2023. "Long-Horizon Exchange Rate Expectations," CEPR Discussion Papers 18412, Centre for Economic Policy Research.

    Cited by:

    1. Ballensiefen, Benedikt & Somogyi, Fabricius & Winterberg, Hannah, 2026. "Demand for dollars: Evidence from survey expectations," CFR Working Papers 26-04, University of Cologne, Centre for Financial Research (CFR).

  2. John Y. Campbell & Can Gao & Ian Martin, 2023. "Debt and Deficits: Fiscal Analysis with Stationary Ratios," Swiss Finance Institute Research Paper Series 23-101, Swiss Finance Institute.

    Cited by:

    1. Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2024. "What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark," Journal of Finance, American Finance Association, vol. 79(4), pages 2603-2665, August.
    2. Riccardo Rebonato & Dherminder Kainth & Lionel Melin, 2025. "The Impact of Physical Climate Risk on the Valuation of Global Equity Assets," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 88(4), pages 857-894, April.
    3. Vladimir Andric & Dusko Bodroza & Mihajlo Djukic, 2024. "A Commentary on US Sovereign Debt Persistence and Nonlinear Fiscal Adjustment," Mathematics, MDPI, vol. 12(20), pages 1-33, October.

  3. Campbell, John Y & Martin, Ian, 2022. "Sustainability in a Risky World," CEPR Discussion Papers 16219, Centre for Economic Policy Research.

    Cited by:

    1. Martin, Ian W. R., 2025. "Information in derivatives markets: forecasting prices with prices," LSE Research Online Documents on Economics 128212, London School of Economics and Political Science, LSE Library.

  4. Gormsen, Niels J. & Koijen, Ralph S.J. & Martin, Ian W.R., 2021. "Implied dividend volatility and expected growth," LSE Research Online Documents on Economics 127796, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Golez, Benjamin & Matthies, Ben, 2025. "Fed information effects: Evidence from the equity term structure," Journal of Financial Economics, Elsevier, vol. 165(C).
    2. Arteaga-Garavito, Maria Jose & Croce, Mariano M. & Farroni, Paolo & Wolfskeil, Isabella, 2024. "When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion," Journal of Financial Economics, Elsevier, vol. 157(C).
    3. Jonathon Hazell & Stephan Hobler, 2024. "Do Deficits Cause Inflation? A High Frequency Narrative Approach," Discussion Papers 2439, Centre for Macroeconomics (CFM).
    4. Masayuki MORIKAWA, 2022. "Uncertainty of Firms' Medium-term Outlook during the COVID-19 Pandemic," Discussion papers 22079, Research Institute of Economy, Trade and Industry (RIETI).
    5. Martin, Ian W. R., 2025. "Information in derivatives markets: forecasting prices with prices," LSE Research Online Documents on Economics 128212, London School of Economics and Political Science, LSE Library.
    6. Benjamin Knox, 2022. "A Stock Return Decomposition Using Observables," Finance and Economics Discussion Series 2022-014r1, Board of Governors of the Federal Reserve System (U.S.), revised 31 Jan 2025.

  5. Martin, Ian, 2021. "On the autocorrelation of the stock market," LSE Research Online Documents on Economics 106215, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Weiguang Han & Boyi Zhang & Qianqian Xie & Min Peng & Yanzhao Lai & Jimin Huang, 2023. "Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning," Papers 2301.10724, arXiv.org, revised Feb 2023.
    2. Samuel Tabot Enow, 2023. "Random walk and modelling stock return: Evidence from international stock markets," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 12(3), pages 353-360, April.
    3. Martin, Ian W. R., 2025. "Information in derivatives markets: forecasting prices with prices," LSE Research Online Documents on Economics 128212, London School of Economics and Political Science, LSE Library.
    4. Wang, Zhiguang, 2025. "Machine learning for stock return prediction: Transformers or simple neural networks," Finance Research Letters, Elsevier, vol. 86(PF).
    5. Wang, Yicheng & Sornette, Didier & Wu, Ke & Lera, Sandro Claudio, 2025. "Dynamic influence networks self-organize towards non-normal socio-economic instabilities," Chaos, Solitons & Fractals, Elsevier, vol. 201(P3).
    6. María T. González-Pérez, 2021. "Lessons from estimating the average option-implied volatility term structure for the Spanish banking sector," Working Papers 2128, Banco de España.
    7. Yoontae Jeon & Raymond Kan & Gang Li, 2025. "Stock Return Autocorrelations and Expected Option Returns," Management Science, INFORMS, vol. 71(6), pages 4895-4914, June.
    8. Galvani, Valentina & Razek, Noha A., 2026. "The U.S. shale energy sector navigating domestic policies in a fragmenting global economy," Energy Policy, Elsevier, vol. 210(C).

  6. Ian Martin & Stefan Nagel, 2019. "Market Efficiency in the Age of Big Data," CESifo Working Paper Series 8015, CESifo.

    Cited by:

    1. Luyang Chen & Markus Pelger & Jason Zhu, 2024. "Deep Learning in Asset Pricing," Management Science, INFORMS, vol. 70(2), pages 714-750, February.
    2. Jérome Dugast & Thierry Foucault, 2023. "Equilibrium Data Mining and Data Abundance," Post-Print hal-04390540, HAL.
    3. Christopher G. Lamoureux, 2026. "The Gibbs Posterior and Parametric Portfolio Choice," Papers 2603.02455, arXiv.org, revised Mar 2026.
    4. Carter Davis, 2023. "The Elasticity of Quantitative Investment," Papers 2303.14533, arXiv.org, revised Sep 2024.
    5. Mohammad Al Ridhawi & Mahtab Haj Ali & Hussein Al Osman, 2026. "Stock Market Prediction Using Node Transformer Architecture Integrated with BERT Sentiment Analysis," Papers 2603.05917, arXiv.org, revised May 2026.
    6. Xi Dong & Yan Li & David E. Rapach & Guofu Zhou, 2022. "Anomalies and the Expected Market Return," Journal of Finance, American Finance Association, vol. 77(1), pages 639-681, February.
    7. Vismara, Silvio & Latifi, Gresa & Meinzinger, Leonard & Pass, Alexander, 2026. "Generative AI-powered venture screening: Can large language models help venture capitalists?," International Review of Financial Analysis, Elsevier, vol. 109(C).
    8. Tao Chen & Shuwen Pi & Qing Sophie Wang, 2025. "Artificial Intelligence and Corporate Investment Efficiency: Evidence from Chinese Listed Companies," Working Papers in Economics 25/05, University of Canterbury, Department of Economics and Finance.
    9. Goodarzi, Milad & Meinerding, Christoph, 2023. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," Discussion Papers 06/2023, Deutsche Bundesbank.
    10. Goh, Jihoon & Jeon, Byounghyun, 2025. "Which investor corrects mispricing around earnings announcements?," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
    11. Marc Schmitt, 2026. "Algometrics: Forecasting Under Algorithmic Feedback," Papers 2605.23978, arXiv.org.
    12. Cao, Sean & Jiang, Wei & Wang, Junbo & Yang, Baozhong, 2024. "From Man vs. Machine to Man + Machine: The art and AI of stock analyses," Journal of Financial Economics, Elsevier, vol. 160(C).
    13. Christopher G. Lamoureux & Huacheng Zhang, 2021. "An Empirical Assessment of Characteristics and Optimal Portfolios," Papers 2104.12975, arXiv.org, revised Feb 2024.
    14. Hari Krishna Kalidindi & N. Srinivasu, 2025. "A Comprehensive Study and Research Perception towards Secured Data Sharing for Lung Cancer Detection with Blockchain Technology," Annals of Data Science, Springer, vol. 12(2), pages 757-797, April.
    15. Bryzgalova, Svetlana & Huang, Jiantao & Julliard, Christian, 2023. "Bayesian solutions for the factor zoo: we just ran two quadrillion models," LSE Research Online Documents on Economics 126151, London School of Economics and Political Science, LSE Library.
    16. Yuan, Ying & Qu, Yong & Wang, Tianyang, 2025. "Predicting risk premiums: A constraint-based model," Journal of Empirical Finance, Elsevier, vol. 83(C).
    17. Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020. "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics 130, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    18. Wang, Jing & Yu, Huaying & Ren, Daowen & Zhang, Jocelyn, 2023. "Promoting mineral resources consumption efficiency: Evidence from technology of big data," Resources Policy, Elsevier, vol. 86(PB).
    19. Melina & Sukono & Herlina Napitupulu & Norizan Mohamed, 2023. "A Conceptual Model of Investment-Risk Prediction in the Stock Market Using Extreme Value Theory with Machine Learning: A Semisystematic Literature Review," Risks, MDPI, vol. 11(3), pages 1-24, March.
    20. Wu, Fei & Hu, Yan & Shen, Me, 2024. "The color of FinTech: FinTech and corporate green transformation in China," International Review of Financial Analysis, Elsevier, vol. 94(C).
    21. Dohyun Chun & Jongho Kang & Jihun Kim, 2024. "Forecasting returns with machine learning and optimizing global portfolios: evidence from the Korean and U.S. stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-30, December.
    22. James Yae & Yang Luo, 2023. "Robust monitoring machine: a machine learning solution for out-of-sample R $$^2$$ 2 -hacking in return predictability monitoring," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
    23. Matteo Bagnara, 2024. "Asset Pricing and Machine Learning: A critical review," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 27-56, February.
    24. Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
    25. Yabu, Takuya, 2023. "On Discrete Probability Distributions to Grasp the Number of Samples in a Population," OSF Preprints yv24f, Center for Open Science.
    26. Xiong Xiong & Chenghao Ruan & Yongqiang Meng, 2025. "Geographical distance and stock price synchronization: evidence from China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-27, December.
    27. Gang Kou & Yang Lu, 2025. "FinTech: a literature review of emerging financial technologies and applications," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-34, December.
    28. Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2025. "Robust Cauchy-Based Methods for Predictive Regressions," Papers 2511.09249, arXiv.org, revised Apr 2026.
    29. Eghbal Rahimikia & Hao Ni & Weiguan Wang, 2025. "Re(Visiting) Time Series Foundation Models in Finance," Papers 2511.18578, arXiv.org.
    30. Mohammad Kafeel Wani & Peer Bilal Ahmad, 2025. "One-Inflated Zero-Truncated Poisson Distribution: Statistical Properties and Real Life Applications," Annals of Data Science, Springer, vol. 12(2), pages 639-666, April.
    31. Ma, Tian & Sheng, Haoyun & Wang, Yuejie, 2024. "Noisy market, machine learning and fundamental momentum," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
    32. Olivier Dessaint & Thierry Foucault & Laurent Fresard, 2024. "Does Alternative Data Improve Financial Forecasting? The Horizon Effect," Journal of Finance, American Finance Association, vol. 79(3), pages 2237-2287, June.
    33. Sonya Georgieva, 2023. "Application of Artificial Intelligence and Machine Learning in the Conduct of Monetary Policy by Central Banks," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 8, pages 177-199.
    34. Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023. "Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models," Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
    35. Hoang, Daniel & Wiegratz, Kevin, 2022. "Machine learning methods in finance: Recent applications and prospects," Working Paper Series in Economics 158, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    36. Bo Yan & Mengru Liang & Yinxin Zhao, 2024. "Market sentiment and price dynamics in weak markets: A comprehensive empirical analysis of the soybean meal option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 744-766, May.
    37. Bryan Kelly & Semyon Malamud & Kangying Zhou, 2024. "The Virtue of Complexity in Return Prediction," Journal of Finance, American Finance Association, vol. 79(1), pages 459-503, February.
    38. Kaplanski, Guy, 2023. "The race to exploit anomalies and the cost of slow trading," Journal of Financial Markets, Elsevier, vol. 62(C).
    39. Li, Bin & Rossi, Alberto G. & Yan, Xuemin (Sterling) & Zheng, Lingling, 2025. "Machine learning from a “Universe” of signals: The role of feature engineering," Journal of Financial Economics, Elsevier, vol. 172(C).
    40. Afaq Ahmad & A. A. Bhat & S. P. Ahmad & Raheela Jan, 2025. "The Modified Lindley Distribution Through Convex Combination with Applications in Engineering," Annals of Data Science, Springer, vol. 12(5), pages 1463-1478, October.
    41. Zhang, Junsheng & Peng, Zezhi & Zeng, Yamin & Yang, Haisheng, 2023. "Do big data mutual funds outperform?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).

  7. Martin, Ian & ,, 2019. "Sentiment and Speculation in a Market with Heterogeneous Beliefs," CEPR Discussion Papers 13857, Centre for Economic Policy Research.

    Cited by:

    1. ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, Centre for Economic Policy Research.
    2. Wang, Shikun & Zhu, Shushang & Huang, Yi & Li, Zhongfei, 2024. "Estimation of expected return integrating real-time asset prices implied information and historical data," Journal of Economic Dynamics and Control, Elsevier, vol. 167(C).
    3. Hervé Roche & Juan Sotes-Paladino, 2022. "Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors," Working Papers 205, Red Nacional de Investigadores en Economía (RedNIE).
    4. Teodora Maria Suciu & Nicoleta Verejan & Adela Socol & Ioana Lazarescu, 2025. "Bibliometric Insights into Cryptocurrencies Literature," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 56-64.
    5. Altan Pazarbaşı & Paul Schneider & Grigory Vilkov, 2024. "Dispersion of Beliefs Bounds: Sentimental Recovery," Management Science, INFORMS, vol. 70(12), pages 8284-8300, December.
    6. Xianbo Zhou & Zhuoran Chen, 2023. "The Impact of Uncertainty Shocks to Consumption under Different Confidence Regimes Based on a Stochastic Uncertainty-in-Mean TVAR Model," Sustainability, MDPI, vol. 15(4), pages 1-20, February.
    7. Shahsuzan Zakaria & Mohd Afzanizam Abdul Rashid & Dheya Hamood Saif Al-Fakih, 2024. "Financial Risk: Case Study Analysis," Information Management and Business Review, AMH International, vol. 16(1), pages 250-260.
    8. Gao, Can & Martin, Ian, 2021. "Volatility, valuation ratios, and bubbles: an empirical measure of market sentiment," LSE Research Online Documents on Economics 108598, London School of Economics and Political Science, LSE Library.
    9. Martin, Ian W. R., 2025. "Information in derivatives markets: forecasting prices with prices," LSE Research Online Documents on Economics 128212, London School of Economics and Political Science, LSE Library.
    10. Croitoru, Benjamin & Jiao, Feng & Lu, Lei, 2024. "Nominal exchange rates and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
    11. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).
    12. Driessen, Joost & Koëter, Joren & Wilms, Ole, 2025. "Horizon effects in the pricing kernel: How investors price short-term versus long-term risks," Other publications TiSEM 18d19e20-6d30-4828-9a8e-9, Tilburg University, School of Economics and Management.
    13. Schreindorfer, David & Sichert, Tobias, 2025. "Conditional risk and the pricing kernel," Journal of Financial Economics, Elsevier, vol. 171(C).
    14. Atree, Manish Kumar & Tripathy, Naliniprava, 2025. "Cryptocurrency research: Bibliometric review and content analysis," International Review of Economics & Finance, Elsevier, vol. 98(C).
    15. Li, Rui & Li, Jianping & Zhu, Xiaoqian, 2025. "Downside belief disagreements and financial instability: Evidence from risk factor disclosures in U.S. financial institutions’ 10-K filings," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 99(C).
    16. Zhang, Xuetong & Zhang, Weiguo, 2023. "Information asymmetry, sentiment interactions, and asset price," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    17. Hu, Duni & Wang, Hailong, 2024. "Heterogeneous beliefs with preference interdependence and asset pricing," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1-37.

  8. Martin, Ian & Gao, Can, 2019. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," CEPR Discussion Papers 13454, Centre for Economic Policy Research.

    Cited by:

    1. Li, Ye & Wang, Chen, 2025. "The Information Cliff," SocArXiv bf8cx_v1, Center for Open Science.
    2. Ma, Juntao & Li, Chenchen, 2024. "Detecting market bubbles: A generalized LPPLS neural network model," Economics Letters, Elsevier, vol. 244(C).
    3. Blot, Christophe & Hubert, Paul & Labondance, Fabien, 2024. "The asymmetric effects of monetary policy on stock price bubbles," European Economic Review, Elsevier, vol. 168(C).
    4. Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
    5. Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
    6. Huiyu Li & Junhua Hu, 2024. "A Hybrid Deep Learning Framework for Stock Price Prediction Considering the Investor Sentiment of Online Forum Enhanced by Popularity," Papers 2405.10584, arXiv.org.
    7. Zhanyong Zou & Changxiu Luo & Yikang Tang & Shulin Xu & Xing Li, 2025. "Bubbles Identification in the New Round of Technological Prosperity: Evidence from Strategic Emerging Industries in China," SAGE Open, , vol. 15(4), pages 21582440251, December.
    8. Stefano Giglio & Bryan Kelly & Serhiy Kozak, 2024. "Equity Term Structures without Dividend Strips Data," Journal of Finance, American Finance Association, vol. 79(6), pages 4143-4196, December.
    9. Cai, Jin & Pagano, Michael S. & Sedunov, John, 2023. "The role of investor sentiment in bank liquidity creation," Finance Research Letters, Elsevier, vol. 58(PD).
    10. Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022. "Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges," Finance and Economics Discussion Series 2022-006, Board of Governors of the Federal Reserve System (U.S.).
    11. Fabrizio Ghezzi & Anindo Sarkar & Thomas Quistgaard Pedersen & Allan Timmermann, 2025. "Optimal asset allocation and nonlinear return predictability from the dividend-price ratio," Annals of Operations Research, Springer, vol. 346(1), pages 415-445, March.
    12. Kishor, N. Kundan, 2025. "Regime-Dependent Housing Valuations: Price-Rent Ratios, Volatility, and Structural Breaks in U.S. Markets," MPRA Paper 127472, University Library of Munich, Germany.
    13. Martin, Ian W. R., 2025. "Information in derivatives markets: forecasting prices with prices," LSE Research Online Documents on Economics 128212, London School of Economics and Political Science, LSE Library.
    14. Benjamin Knox, 2022. "A Stock Return Decomposition Using Observables," Finance and Economics Discussion Series 2022-014r1, Board of Governors of the Federal Reserve System (U.S.), revised 31 Jan 2025.
    15. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    16. Dahlquist, Magnus & Ibert, Markus, 2026. "Institutions’ return expectations across assets and time," Journal of Financial Economics, Elsevier, vol. 175(C).
    17. Antonia Lopez Villavicencio & Marc Pourroy, 2023. "Information Shocks in the U.S. and Asset Mispricing in Emerging Economies," EconomiX Working Papers 2023-19, University of Paris Nanterre, EconomiX.
    18. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
    19. Inés Jiménez & Andrés Mora-Valencia & Javier Perote, 2026. "Cross-moment interaction in multivariate semi-nonparametric densities for risk forecasting," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-22, December.
    20. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
    21. Qin, Meng & Mirza, Nawazish & Su, Chi-Wei & Umar, Muhammad, 2023. "Exploring Bubbles in the Digital Economy: The Case of China," Global Finance Journal, Elsevier, vol. 57(C).
    22. Florin Cornel Dumiter & Florin Turcaș & Ștefania Amalia Nicoară & Cristian Bențe & Marius Boiță, 2023. "The Impact of Sentiment Indices on the Stock Exchange—The Connections between Quantitative Sentiment Indicators, Technical Analysis, and Stock Market," Mathematics, MDPI, vol. 11(14), pages 1-26, July.

  9. Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, Centre for Economic Policy Research.

    Cited by:

    1. Jianlei Han & Martina Linnenluecke & Zhangxin Liu & Zheyao Pan & Tom Smith, 2019. "A general equilibrium approach to pricing volatility risk," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-18, April.
    2. Kremens, Lukas & Martin, Ian, 2019. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 89839, London School of Economics and Political Science, LSE Library.
    3. Tjeerd De Vries, 2026. "Recovering Risk-Neutral Moments from Options," Papers 2601.14852, arXiv.org, revised Jul 2026.
    4. Martin, Ian W. R., 2025. "Information in derivatives markets: forecasting prices with prices," LSE Research Online Documents on Economics 128212, London School of Economics and Political Science, LSE Library.

  10. Martin, Ian & Ross, Stephen, 2018. "Notes on the Yield Curve," CEPR Discussion Papers 13176, Centre for Economic Policy Research.

    Cited by:

    1. Narayana R. Kocherlakota, 2023. "Infinite Debt Rollover in Stochastic Economies," Econometrica, Econometric Society, vol. 91(5), pages 1629-1658, September.
    2. Davis, Josh & Fuenzalida, Cristian & Huetsch, Leon & Mills, Benjamin & Taylor, Alan M., 2024. "Global natural rates in the long run: Postwar macro trends and the market-implied r∗ in 10 advanced economies," Journal of International Economics, Elsevier, vol. 149(C).
    3. Narayana R. Kocherlakota, 2024. "Difficulties in testing for capital overaccumulation," Quantitative Economics, Econometric Society, vol. 15(1), pages 89-114, January.
    4. Hansen, Stephen & McMahon, Michael & Tong, Matthew, 2020. "The long-run information effect of central bank communication," Working Paper Series 2363, European Central Bank.
    5. Martin, Ian, 2018. "Options and the Gamma Knife," LSE Research Online Documents on Economics 88077, London School of Economics and Political Science, LSE Library.
    6. Horvath, Ferenc, 2025. "Arbitrage-based recovery," Journal of Financial Economics, Elsevier, vol. 163(C).
    7. Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
    8. Borovička, Jaroslav & Stachurski, John, 2021. "Stability of equilibrium asset pricing models: A necessary and sufficient condition," Journal of Economic Theory, Elsevier, vol. 193(C).
    9. MacDonald, Iain L. & Pienaar, Etienne A.D., 2021. "Fitting a reversible Markov chain by maximum likelihood: Converting an awkwardly constrained optimization problem to an unconstrained one," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 561(C).
    10. Francesco Lancia & Alessia Russo & Tim Worrall, 2020. "Optimal Sustainable Intergenerational Insurance," Edinburgh School of Economics Discussion Paper Series 300, Edinburgh School of Economics, University of Edinburgh.

  11. Ian Martin & Robert S. Pindyck, 2017. "Averting Catastrophes that Kill," NBER Working Papers 23346, National Bureau of Economic Research, Inc.

    Cited by:

    1. Martin, Ian & Pindyck, R. S., 2020. "Welfare costs of catastrophes: lost consumption and lost lives," LSE Research Online Documents on Economics 106200, London School of Economics and Political Science, LSE Library.
    2. Aurélie Méjean & Antonin Pottier & Stéphane Zuber & Marc Fleurbaey, 2017. "Intergenerational equity under catastrophic climate change," Documents de travail du Centre d'Economie de la Sorbonne 17040, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Aurélie Méjean & Antonin Pottier & Marc Fleurbaey & Stéphane Zuber, 2020. "Catastrophic climate change, population ethics and intergenerational equity," Post-Print halshs-01599453, HAL.
    4. Aurland-Bredesen , Kine Josefine, 2017. "Averting catastrophes in a more complex world," Working Paper Series 06-2017, Norwegian University of Life Sciences, School of Economics and Business.
    5. Colmenares, Gloria & Löschel, Andreas & Madlener, Reinhard, 2019. "The rebound effect and its representation in energy and climate models," CAWM Discussion Papers 106, University of Münster, Münster Center for Economic Policy (MEP).

  12. Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, Centre for Economic Policy Research.

    Cited by:

    1. Sarno, Lucio & Colacito, Ric & Riddiough, Steven, 2019. "Business Cycles and Currency Returns," CEPR Discussion Papers 14015, Centre for Economic Policy Research.
    2. Martin McCarthy, Stephen Snudden, 2024. "Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data," LCERPA Working Papers jc0148, Laurier Centre for Economic Research and Policy Analysis, revised Oct 2024.
    3. Eren, Egemen & Malamud, Semyon, 2022. "Dominant currency debt," Journal of Financial Economics, Elsevier, vol. 144(2), pages 571-589.
    4. Martin, Ian & Gao, Can, 2019. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," CEPR Discussion Papers 13454, Centre for Economic Policy Research.
    5. Martin, Ian & Ross, Steve, 2019. "Notes on the yield curve," LSE Research Online Documents on Economics 90208, London School of Economics and Political Science, LSE Library.
    6. Jonas Becker & Maik Schmeling & Andreas Schrimpf, 2024. "Global Bank Lending and Exchange Rates," BIS Working Papers 1161, Bank for International Settlements.
    7. Della Corte, Pasquale & Jeanneret, Alexandre & Patelli, Ella D.S., 2023. "A credit-based theory of the currency risk premium," Journal of Financial Economics, Elsevier, vol. 149(3), pages 473-496.
    8. Tjeerd De Vries, 2026. "Recovering Risk-Neutral Moments from Options," Papers 2601.14852, arXiv.org, revised Jul 2026.
    9. Breen, John David & Hu, Liang, 2021. "The predictive content of oil price and volatility: New evidence on exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
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    11. Gordon Y. Liao & Tony Zhang, 2020. "The Hedging Channel of Exchange Rate Determination," International Finance Discussion Papers 1283, Board of Governors of the Federal Reserve System (U.S.).
    12. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
    13. Tjeerd de Vries, 2021. "A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models," Papers 2105.08208, arXiv.org, revised Oct 2023.
    14. Martin McCarthy & Stephen Snudden, 2025. "Forecasts of Period-average Exchange Rates: Insights from Real-time Daily Data," RBA Research Discussion Papers rdp2025-09, Reserve Bank of Australia.
    15. Jun Wei, 2020. "Optimal Combination of Currency Assets and Algorithm Simulation under Exchange Rate Risk," Complexity, Hindawi, vol. 2020, pages 1-10, November.
    16. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020. "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers 27231, National Bureau of Economic Research, Inc.
    17. Martin, Ian W. R., 2025. "Information in derivatives markets: forecasting prices with prices," LSE Research Online Documents on Economics 128212, London School of Economics and Political Science, LSE Library.
    18. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers 14986, Centre for Economic Policy Research.
    19. Martin, Ian, 2018. "Options and the Gamma Knife," LSE Research Online Documents on Economics 88077, London School of Economics and Political Science, LSE Library.
    20. Phylaktis, Kate & Yamani, Ehab, 2025. "Foreign currency forecasting in emerging markets: What can stock and bond markets tell us?," Journal of Empirical Finance, Elsevier, vol. 83(C).
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    22. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
    23. Croitoru, Benjamin & Jiao, Feng & Lu, Lei, 2024. "Nominal exchange rates and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
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    27. Sai Ma & Shaojun Zhang, 2024. "Housing Cycles and Exchange Rates," Management Science, INFORMS, vol. 70(9), pages 5646-5666, September.
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    32. Martin, Ian, 2021. "On the autocorrelation of the stock market," LSE Research Online Documents on Economics 106215, London School of Economics and Political Science, LSE Library.
    33. Dennij Mandeij, 2020. "Determination of Equilibrium Exchange Rate Rupiah Against US Dollar and its Volatility: Application of Asset Approach," International Journal of Business and Administrative Studies, Professor Dr. Bahaudin G. Mujtaba, vol. 6(6), pages 323-336.

  13. Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, Centre for Economic Policy Research.

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    1. Attílio, Luccas Assis & Mollick, André Varella, 2024. "Assessing the baseline model of WTI oil and stock returns under financial volatility and spillover effects," Energy Economics, Elsevier, vol. 135(C).
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    5. Jozef Barunik & Mattia Bevilacqua & Michael Ellington, 2023. "Common Firm-level Investor Fears: Evidence from Equity Options," Papers 2309.03968, arXiv.org.
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    7. Li, Ye & Wang, Chen, 2025. "The Information Cliff," SocArXiv bf8cx_v1, Center for Open Science.
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    12. Matti Keloharju & Juhani T. Linnainmaa & Peter Nyberg, 2019. "Long-Term Discount Rates Do Not Vary Across Firms," NBER Working Papers 25579, National Bureau of Economic Research, Inc.
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    14. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
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    22. Muravyev, Dmitriy & Pearson, Neil D. & Pollet, Joshua M., 2025. "Why does options market information predict stock returns?," Journal of Financial Economics, Elsevier, vol. 172(C).
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    25. Martin, Ian & Gao, Can, 2019. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," CEPR Discussion Papers 13454, Centre for Economic Policy Research.
    26. Pagano, Marco & Wagner, Christian & Zechner, Josef, 2021. "Disaster resilience and asset prices," CFS Working Paper Series 673, Center for Financial Studies (CFS).
    27. Kazuhiro Hiraki & George Skiadopoulos, 2018. "The Contribution of Frictions to Expected Returns," Working Papers 874, Queen Mary University of London, School of Economics and Finance.
    28. Martin, Ian & Ross, Steve, 2019. "Notes on the yield curve," LSE Research Online Documents on Economics 90208, London School of Economics and Political Science, LSE Library.
    29. Roberto Marfè, 2017. "Labor Rigidity and the Dynamics of the Value Premium," 2017 Meeting Papers 466, Society for Economic Dynamics.
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    41. Pyun, Chaehyun, 2024. "Synchronous social media and the stock market," Journal of Financial Markets, Elsevier, vol. 70(C).
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    150. Singh, Mahendra Kumar & Lence, Sergio H., 2023. "Market Stress in Agricultural Markets: Can Alternative Implied Volatility Measures Predict It?," 2023 Annual Meeting, July 23-25, Washington D.C. 335789, Agricultural and Applied Economics Association.
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  15. Pindyck, Robert S. & Martin, Ian, 2015. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," CEPR Discussion Papers 10730, Centre for Economic Policy Research.

    Cited by:

    1. William Brock & Anastasios Xepapadeas, 2023. "Natural world preservation and infectious diseases: Land-use, climate change and innovation," DEOS Working Papers 2319, Athens University of Economics and Business.
    2. Martin, Ian & Pindyck, R. S., 2020. "Welfare costs of catastrophes: lost consumption and lost lives," LSE Research Online Documents on Economics 106200, London School of Economics and Political Science, LSE Library.
    3. Samuel G. Hanson & David S. Scharfstein & Adi Sunderam, 2016. "Fiscal Risk and the Portfolio of Government Programs," NBER Working Papers 22763, National Bureau of Economic Research, Inc.
    4. Carmen Camacho & Hannes Tepper, 2025. "Do this or do that? A model to prioritize reforms," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-04005785, HAL.
    5. David Anthoff & Richard S. J. Tol, 2020. "Testing the Dismal Theorem," Working Paper Series 1920, Department of Economics, University of Sussex Business School.
    6. Owen Cotton‐Barratt & Max Daniel & Anders Sandberg, 2020. "Defence in Depth Against Human Extinction: Prevention, Response, Resilience, and Why They All Matter," Global Policy, London School of Economics and Political Science, vol. 11(3), pages 271-282, May.
    7. Gerard Meijden & Frederick Ploeg & Cees Withagen, 2017. "Frontiers of Climate Change Economics," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 68(1), pages 1-14, September.
    8. Charles I. Jones, 2025. "How Much Should We Spend to Reduce AI's Existential Risk?," NBER Chapters, in: The Economics of Transformative AI, National Bureau of Economic Research, Inc.
    9. Per-Olov Johansson & Bengt Kriström, 2015. "On the Social Cost of Water-Related Disasters," Water Economics and Policy (WEP), World Scientific Publishing Co. Pte. Ltd., vol. 1(03), pages 1-26.
    10. Mariagiovanna Baccara & Gilat Levy & Ronny Razin, 2025. "Research Waves," CESifo Working Paper Series 12248, CESifo.
    11. Fankhauser, Samuel & Kotsch, Raphaela & Srivastav, Sugandha, 2020. "The readiness of industry for a transformative recovery from COVID 19," LSE Research Online Documents on Economics 106995, London School of Economics and Political Science, LSE Library.
    12. Marco A Palma & Samir Huseynov & Rodolfo M Nayga Jr., 2022. "Health versus income amid COVID-19: What do people value more?," PLOS ONE, Public Library of Science, vol. 17(5), pages 1-14, May.
    13. Mathews, Shilpita & Surminski, Swenja & Roezer, Viktor, 2021. "The risk of corporate lock-in to future physical climate risks: the case of flood risk in England and Wales," LSE Research Online Documents on Economics 112801, London School of Economics and Political Science, LSE Library.
    14. Ramiro de Ávila Peres, 2024. "Social Discounting and the Tragedy of the Horizon: from the Stern-Nordhaus debate to target-consistent prices," Working Papers Series 593, Central Bank of Brazil, Research Department.
    15. Rick Van der Ploeg & Aart de Zeeuw, 2018. "Pricing Carbon and Adjusting Capital to Fend off Climate Catastrophes," OxCarre Working Papers 207, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    16. Guerriero, Arthur Zito & Kapeller, Jakob & Ankel-Peters, Jörg, 2026. "Normative aspects in modeling the urgency of climate policy," Ruhr Economic Papers 1206, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    17. Wrzaczek, Stefan & Kuhn, Michael & Frankovic, Ivan, 2019. "Using age-structure for a multi-stage optimal control model with random switching time," ECON WPS - Working Papers in Economic Theory and Policy 06/2019, TU Wien, Institute of Statistics and Mathematical Methods in Economics, Economics Research Unit.
    18. Aurland-Bredesen , Kine Josefine, 2017. "Averting catastrophes in a more complex world," Working Paper Series 06-2017, Norwegian University of Life Sciences, School of Economics and Business.
    19. William Brock & Anastasios Xepapadeas, 2025. "Land Use, Climate Change and the Emergence of Infectious Diseases: A Synthesis," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 88(3), pages 795-854, March.
    20. Heyen, Daniel & Goeschl, Timo & Wiesenfarth , Boris, 2015. "Risk Assessment under Ambiguity: Precautionary Learning vs. Research Pessimism," Working Papers 0605, University of Heidelberg, Department of Economics.
    21. Can Askan Mavi, 2017. "Can a hazardous event be another source of poverty traps ?," Working Papers 2017.14, FAERE - French Association of Environmental and Resource Economists.
    22. Dirk Broeders & Daniel Dimitrov & Niek Verhoeven, 2024. "Climate-Linked Bonds," Working Papers 817, DNB.
    23. Marshall Burke & Melanie Craxton & Charles D. Kolstad & Chikara Onda, 2016. "Some Research Challenges In The Economics Of Climate Change," Climate Change Economics (CCE), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-14, May.
    24. Rachel Glennerster & Christopher M. Snyder & Brandon Joel Tan, 2022. "Calculating the Costs and Benefits of Advance Preparations for Future Pandemics," NBER Working Papers 30565, National Bureau of Economic Research, Inc.
    25. Steven D. Baker & Burton Hollifield & Emilio Osambela, 2018. "Preventing Controversial Catastrophes," Finance and Economics Discussion Series 2018-052, Board of Governors of the Federal Reserve System (U.S.).
    26. Kolb, Aaron & Conitzer, Vincent, 2020. "Crying about a strategic wolf: A theory of crime and warning," Journal of Economic Theory, Elsevier, vol. 189(C).
    27. Roberto Burguet & Jozsef Sakovics, 2019. "Personalized Prices and Uncertainty in Monopsony," Edinburgh School of Economics Discussion Paper Series 290, Edinburgh School of Economics, University of Edinburgh.
    28. Ian W. R. Martin & Robert S. Pindyck, 2015. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," American Economic Review, American Economic Association, vol. 105(10), pages 2947-2985, October.
    29. Kine Josefine Aurland-Bredesen, 2020. "The Benefit-Cost Ratio as a Decision Criteria When Managing Catastrophes," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 77(2), pages 345-363, October.
    30. Thomas Douenne, 2020. "Disaster Risks, Disaster Strikes, and Economic Growth: the Role of Preferences," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 251-272, October.
    31. Ottmar Edenhofer & Max Franks, 2026. "Carbon, Natural Capital and the Option Values of Climate Policies," CESifo Working Paper Series 12426, CESifo.
    32. Braun, Alexander & Braun, Julia & Weigert, Florian, 2023. "Extreme weather risk and the cost of equity," CFR Working Papers 23-08, University of Cologne, Centre for Financial Research (CFR).
    33. Robert S. Pindyck, 2016. "The Social Cost of Carbon Revisited," NBER Working Papers 22807, National Bureau of Economic Research, Inc.
    34. Trond G. Husby & Elco E. Koks, 2017. "Household migration in disaster impact analysis: incorporating behavioural responses to risk," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 87(1), pages 287-305, May.
    35. Maria Arvaniti & Chandra K. Krishnamurthy & Anne-Sophie Crépin, 2019. "Time-consistent resource management with regime shifts," CER-ETH Economics working paper series 19/329, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
    36. Savitar Sundaresan, 2024. "Emergency Preparation and Uncertainty Persistence," Management Science, INFORMS, vol. 70(5), pages 2842-2861, May.
    37. Ian Martin & Robert S. Pindyck, 2017. "Averting Catastrophes that Kill," NBER Working Papers 23346, National Bureau of Economic Research, Inc.
    38. Ilan Noy & Tomáš Uher, 2022. "Four New Horsemen of an Apocalypse? Solar Flares, Super-volcanoes, Pandemics, and Artificial Intelligence," Economics of Disasters and Climate Change, Springer, vol. 6(2), pages 393-416, July.
    39. Vislie, Jon, 2017. "Resource Extraction and Uncertain Tipping Points," Memorandum 03/2017, Oslo University, Department of Economics.
    40. Méjean, Aurélie & Pottier, Antonin & Zuber, Stéphane & Fleurbaey, Marc, 2023. "Opposite ethical views converge under the threat of catastrophic climate change," Ecological Economics, Elsevier, vol. 212(C).
    41. Mathews, Shilpita & Surminski, Swenja & Roezer, Viktor, 2021. "The risk of corporate lock-in to future physical climate risks: the case of flood risk in England and Wales," LSE Research Online Documents on Economics 112807, London School of Economics and Political Science, LSE Library.
    42. J. Farmer & Cameron Hepburn & Penny Mealy & Alexander Teytelboym, 2015. "A Third Wave in the Economics of Climate Change," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 62(2), pages 329-357, October.
    43. Besley, Tim & Dixit, Avinash K., 2017. "Comparing Alternative Policies Against Environmental Catastrophes," CEPR Discussion Papers 11802, Centre for Economic Policy Research.
    44. Yacov Tsur & Amos Zemel, 2017. "Coping with Multiple Catastrophic Threats," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 68(1), pages 175-196, September.
    45. Jakub Growiec & Klaus Prettner, 2025. "The Paradox of Doom: Acknowledging Extinction Risk Reduces the Incentive to Prevent It," Papers 2509.04855, arXiv.org.
    46. Viral V. Acharya & Timothy Johnson & Suresh Sundaresan & Steven Zheng, 2025. "Vaccine Progress, Stock Prices, and the Value of Ending the Pandemic," Management Science, INFORMS, vol. 71(3), pages 2714-2732, March.
    47. Can Askan Mavi, 2019. "Can harmful events be another source of environmental traps?," CEE-M Working Papers halshs-02141789, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
    48. Emmanuel Apergis & Nicholas Apergis, 2021. "The impact of COVID-19 on economic growth: evidence from a Bayesian Panel Vector Autoregressive (BPVAR) model," Applied Economics, Taylor & Francis Journals, vol. 53(58), pages 6739-6751, December.
    49. Mark Pennington, 2021. "Hayek on complexity, uncertainty and pandemic response," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 34(2), pages 203-220, June.
    50. Mavi, Can Askan, 2020. "Can harmful events be another source of environmental traps?," Journal of Mathematical Economics, Elsevier, vol. 89(C), pages 29-46.
    51. J. Atsu Amegashie, 2025. "Useless Knowledge: Directed vrs Non-Directed Research," CESifo Working Paper Series 12304, CESifo.
    52. Wonjun Chang & Thomas F. Rutherford, 2017. "Catastrophic Thresholds, Bayesian Learning And The Robustness Of Climate Policy Recommendations," Climate Change Economics (CCE), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 1-23, November.
    53. Christoph M. Rheinberger & Nicolas Treich, 2017. "Attitudes Toward Catastrophe," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 67(3), pages 609-636, July.
    54. Can Askan Mavi, 2020. "Can harmful events be another source of environmental traps?," Post-Print hal-02880592, HAL.
    55. Harrison Hong & Neng Wang & Jinqiang Yang, 2020. "Mitigating Disaster Risks in the Age of Climate Change," NBER Working Papers 27066, National Bureau of Economic Research, Inc.
    56. Broeders, Dirk & Dimitrov, Daniel & Verhoeven, Niek, 2025. "Climate-linked bonds," Working Paper Series 3011, European Central Bank.
    57. Can Askan Mavi, 2019. "Can harmful events be another source of environmental traps?," Working Papers halshs-02141789, HAL.
    58. Yew-Kwang Ng, 2018. "Global Extinction and Animal Welfare: Two Priorities for Effective Altruism," Economic Growth Centre Working Paper Series 1808, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    59. Sureth Michael & Kalkuhl Matthias & Edenhofer Ottmar & Rockström Johan, 2023. "A Welfare Economic Approach to Planetary Boundaries," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 243(5), pages 477-542, October.
    60. E.V. Popov, 2021. "Drivers of the Economy in the Context of the Coronavirus Pandemic," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 20(1), pages 5-30.
    61. Oliver D. Bettis & Simon Dietz & Nick G. Silver, 2017. "The risk of climate ruin," Climatic Change, Springer, vol. 140(2), pages 109-118, January.

  16. Ian Martin, 2011. "The Lucas Orchard," NBER Working Papers 17563, National Bureau of Economic Research, Inc.

    Cited by:

    1. Faria, Gonçalo & Kosowski, Robert & Wang, Tianyu, 2022. "The Correlation Risk Premium: International Evidence," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. Jiacheng Fan & Xue Dong He & Ruocheng Wu, 2025. "Dynamic Asset Pricing with {\alpha}-MEU Model," Papers 2507.04093, arXiv.org, revised Dec 2025.
    3. Lundtofte, Frederik & Wilhelmsson, Anders, 2011. "Idiosyncratic Risk and Higher-Order Cumulants," Working Papers 2011:33, Lund University, Department of Economics.
    4. Basak, Suleyman & Atmaz, Adem, 2017. "Belief Dispersion in the Stock Market," CEPR Discussion Papers 12056, Centre for Economic Policy Research.
    5. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," LSE Research Online Documents on Economics 105749, London School of Economics and Political Science, LSE Library.
    6. Huang, Tao & Jiang, Liang & Li, Junye, 2023. "Downside variance premium, firm fundamentals, and expected corporate bond returns," Journal of Banking & Finance, Elsevier, vol. 154(C).
    7. Rigobon, Roberto & Pavlova, Anna, 2011. "International Macro-Finance," CEPR Discussion Papers 8218, Centre for Economic Policy Research.
    8. Tarek Alexander Hassan, 2010. "Country Size, Currency Areas, and International Asset Returns," 2010 Meeting Papers 365, Society for Economic Dynamics.
    9. Roberto Rigobon, 2016. "Contagion, spillover and interdependence," Bank of England Staff Working Paper series 607, Bank of England.
    10. Akira Yamazaki, 2015. "Asset Pricing With Non-Geometric Type Of Dividends," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-38, December.
    11. Francesco Bianchi, 2015. "The Great Depression and the Great Recession: A View from Financial Markets," NBER Working Papers 21056, National Bureau of Economic Research, Inc.
    12. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2015. "Measuring sovereign contagion in Europe," SAFE Working Paper Series 103, Leibniz Institute for Financial Research SAFE.
    13. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
    14. Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
    15. Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(3), pages 461-503, March.
    16. Sabine Elmiger, 2019. "CAPM-anomalies: quantitative puzzles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(3), pages 643-667, October.
    17. Claassen, Bart & Dam, Lammertjan & Heijnen, Pim, 2023. "Corporate financing policies, financial leverage, and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
    18. Chabakauri, Georgy, 2012. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 119046, London School of Economics and Political Science, LSE Library.
    19. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
    20. Coeurdacier, Nicolas & Guibaud, Stéphane, 2011. "International portfolio diversification is better than you think," Journal of International Money and Finance, Elsevier, vol. 30(2), pages 289-308, March.
    21. Paul Ehling & Christian Heyerdahl-Larsen, 2017. "Correlations," Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
    22. Jorge M. Uribe, 2018. "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers 201826, University of Barcelona, Research Institute of Applied Economics, revised Oct 2018.
    23. Diogo Duarte & Rodolfo Prieto & Marcel Rindisbacher & Yuri F. Saporito, 2022. "Vanishing Contagion Spreads," Management Science, INFORMS, vol. 68(1), pages 740-772, January.
    24. Wang, Hailong & Hu, Duni & Ma, Chaoqun & Cheng, Fengchao, 2020. "Disagreements with noisy signals and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    25. Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2013. "‘Lucas’ In The Laboratory," EIEF Working Papers Series 1314, Einaudi Institute for Economics and Finance (EIEF), revised May 2013.
    26. Akira Yamazaki, 2017. "Equilibrium Equity Price With Optimal Dividend Policy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-28, March.
    27. Sandoval Paucar, Giovanny, 2021. "A Conditional Correlation Analysis For The Colombian Stock Market," MPRA Paper 107963, University Library of Munich, Germany.
    28. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
    29. Ma, Chaoqun & Wang, Hailong & Cheng, Fengchao & Hu, Duni, 2017. "Asset pricing and institutional investors with disagreements," Economic Modelling, Elsevier, vol. 64(C), pages 231-248.
    30. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
    31. Marfè, Roberto & Pénasse, Julien, 2024. "Measuring macroeconomic tail risk," Journal of Financial Economics, Elsevier, vol. 156(C).
    32. Sandoval Paucar, Giovanny, 2019. "Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH [Modeling of the conditional correlation for the Colombian stock market: a DCC application - MGARCH]," MPRA Paper 92534, University Library of Munich, Germany, revised 04 Mar 2019.
    33. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, Centre for Economic Policy Research.
    34. Christian Gollier, 2021. "The Welfare Cost of Ignoring the Beta," Working Papers 2021.03, Fondazione Eni Enrico Mattei.
    35. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
    36. Fischer, Thomas & Lundtofte, Frederik, 2020. "Unequal returns: Using the Atkinson index to measure financial risk," Journal of Banking & Finance, Elsevier, vol. 116(C).
    37. Christoph Meinerding, 2012. "Asset Allocation And Asset Pricing In The Face Of Systemic Risk: A Literature Overview And Assessment," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-27.
    38. Li, Kai, 2021. "Nonlinear effect of sentiment on momentum," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    39. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
    40. Ian W. R. Martin, 2008. "Disasters and the Welfare Cost of Uncertainty," American Economic Review, American Economic Association, vol. 98(2), pages 74-78, May.
    41. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
    42. Bhamra, Harjoat S. & Coeurdacier, Nicolas & Guibaud, Stéphane, 2014. "A dynamic equilibrium model of imperfectly integrated financial markets," Journal of Economic Theory, Elsevier, vol. 154(C), pages 490-542.
    43. Adam Farago & Erik Hjalmarsson, 2023. "Small Rebalanced Portfolios Often Beat the Market over Long Horizons," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(2), pages 307-342.
    44. Victor Duarte & Diogo Duarte & Dejanir H. Silva, 2024. "Machine Learning for Continuous-Time Finance," CESifo Working Paper Series 10909, CESifo.
    45. Tarek Alexander Hassan, 2012. "Country Size, Currency Unions, and International Asset Returns," NBER Working Papers 18057, National Bureau of Economic Research, Inc.
    46. Paolo Guasoni & Kwok Chuen Wong, 2020. "Asset prices in segmented and integrated markets," Finance and Stochastics, Springer, vol. 24(4), pages 939-980, October.
    47. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
    48. Curatola, Giuliano, 2016. "Preference evolution and the dynamics of capital markets," SAFE Working Paper Series 128, Leibniz Institute for Financial Research SAFE.
    49. Diasakos, Theodoros M, 2013. "A Simple Characterization of Dynamic Completeness in Continuous Time," SIRE Discussion Papers 2013-91, Scottish Institute for Research in Economics (SIRE).
    50. Santos, Tano & Veronesi, Pietro, 2010. "Habit formation, the cross section of stock returns and the cash-flow risk puzzle," Journal of Financial Economics, Elsevier, vol. 98(2), pages 385-413, November.
    51. Curatola, Giuliano, 2017. "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 197-223.
    52. Vedolin, Andrea, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics 43091, London School of Economics and Political Science, LSE Library.
    53. Aziz Jaafar & M. Shahid Ebrahim & Fatma A. Omar & Murizah Osman Salleh, 2016. "Can Islamic Injunctions Indemnify the Structural Flaws of Securitized Debt?," Working Papers 16001, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    54. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc.
    55. Lanlan Luo & Shou Chen & Ziran Zou, 2020. "Determining the Generalized Discount Rate for Risky Projects," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 77(1), pages 143-158, September.
    56. Maxime Sauzet, 2025. "Green Intermediary Asset Pricing," CESifo Working Paper Series 11944, CESifo.
    57. Jordi Mondria & Climent Quintana Domeque, 2012. "Financial contagion and attention allocation," Working Papers. Serie AD 2012-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    58. Herrmann, Sabine & Kleinert, Jörn, 2014. "Lucas paradox and allocation puzzle: Is the euro area different?," Discussion Papers 06/2014, Deutsche Bundesbank.
    59. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
    60. Simon Oh & Jessica A. Wachter, 2018. "Cross-sectional Skewness," NBER Working Papers 25113, National Bureau of Economic Research, Inc.
    61. Grégoire, Vincent, 2020. "The rise of passive investing and index-linked comovement," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    62. Bai, Hang & Hou, Kewei & Kung, Howard & Li, Erica X.N. & Zhang, Lu, 2019. "The CAPM strikes back? An equilibrium model with disasters," Journal of Financial Economics, Elsevier, vol. 131(2), pages 269-298.
    63. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    64. Ravi Bansal & Amir Yaron & Colin Ward, 2018. "Shifts in Sectoral Wealth Shares and Risk Premia: What Explains Them?," 2018 Meeting Papers 599, Society for Economic Dynamics.
    65. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.

  17. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.

    Cited by:

    1. Tarek A. Hassan & Thomas M. Mertens & Tony Zhang, 2016. "A Risk-based Theory of Exchange Rate Stabilization," NBER Working Papers 22790, National Bureau of Economic Research, Inc.
    2. 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.
    3. 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.
    4. Martin, Ian & Kremens, Lukas, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, Centre for Economic Policy Research.
    5. Thomas Mertens & Tarek Hassan, 2017. "Currency Manipulation," 2017 Meeting Papers 175, Society for Economic Dynamics.
    6. Mueller, Philippe & Stathopoulos, Andreas & Vedolin, Andrea, 2013. "International correlation risk," LSE Research Online Documents on Economics 43087, London School of Economics and Political Science, LSE Library.
    7. Matteo Maggiori, 2012. "Financial Intermediation, International Risk Sharing, and Reserve Currencies," 2012 Meeting Papers 146, Society for Economic Dynamics.
    8. Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2021. "Long-run equilibrium in international assets and goods markets: Why is the Law of One Price required?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03330856, HAL.
    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. Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
    11. Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
    12. Robert Ready & Nikolai Roussanov & Colin Ward, 2013. "Commodity Trade and the Carry Trade: a Tale of Two Countries," NBER Working Papers 19371, National Bureau of Economic Research, Inc.
    13. Christoph Meinerding, 2012. "Asset Allocation And Asset Pricing In The Face Of Systemic Risk: A Literature Overview And Assessment," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-27.
    14. Gabaix, Xavier & Farhi, Emmanuel, 2015. "Rare Disasters and Exchange Rates," CEPR Discussion Papers 10334, Centre for Economic Policy Research.
    15. Katrin Rabitsch, 2014. "An Incomplete Markets Explanation to the UIP Puzzle," Department of Economics Working Papers wuwp171, Vienna University of Economics and Business, Department of Economics.
    16. Antoine GODIN & Sakir-Devrim YILMAZ, 2020. "Modelling Small Open Developing Economies in a Financialized World: A Stock-Flow Consistent Prototype Growth Model," Working Paper 5eb7e0e8-560f-4ce6-91a5-5, Agence française de développement.
    17. Rabitsch, Katrin, 2014. "An Incomplete Markets Explanation to the UIP Puzzle," Department of Economics Working Paper Series 171, WU Vienna University of Economics and Business.

  18. Ian Martin, 2011. "Simple Variance Swaps," NBER Working Papers 16884, National Bureau of Economic Research, Inc.

    Cited by:

    1. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    2. Sarno, Lucio & Della Corte, Pasquale, 2013. "Volatility Risk Premia and Exchange Rate Predictability," CEPR Discussion Papers 9549, Centre for Economic Policy Research.
    3. Yabei Zhu & Xingguo Luo & Qi Xu, 2023. "Industry variance risk premium, cross‐industry correlation, and expected returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 3-32, January.
    4. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2013. "Shapes of implied volatility with positive mass at zero," Papers 1310.1020, arXiv.org, revised May 2017.
    5. Carol Alexander & Johannes Rauch, 2014. "Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia," Papers 1404.1351, arXiv.org, revised Feb 2016.
    6. Lynn Boen & Florence Guillaume, 2020. "Towards a $$\Delta $$Δ-Gamma Sato multivariate model," Review of Derivatives Research, Springer, vol. 23(1), pages 1-39, April.
    7. David Hobson & Martin Klimmek, 2012. "Model-independent hedging strategies for variance swaps," Finance and Stochastics, Springer, vol. 16(4), pages 611-649, October.
    8. Schneider, Paul & Wagner, Christian & Zechner, Josef, 2016. "Low risk anomalies?," CFS Working Paper Series 550, Center for Financial Studies (CFS).
    9. Warren Bailey & Lin Zheng & Yinggang Zhou, 2012. "What Makes the VIX Tick?," Working Papers 222012, Hong Kong Institute for Monetary Research.
    10. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
    11. Karamfil Todorov, 2021. "Passive funds affect prices: evidence from the most ETF-dominated asset classes," BIS Working Papers 952, Bank for International Settlements.
    12. John R. Birge, 2015. "OM Forum—Operations and Finance Interactions," Manufacturing & Service Operations Management, INFORMS, vol. 17(1), pages 4-15, February.
    13. Bjørn Eraker & Aoxiang Yang, 2022. "The Price of Higher Order Catastrophe Insurance: The Case of VIX Options," Journal of Finance, American Finance Association, vol. 77(6), pages 3289-3337, December.
    14. Seungmook Choi & Hongtao Yang, 2019. "Model-Free Implied Volatility under Jump-Diffusion Models," Review of Economics & Finance, Better Advances Press, Canada, vol. 16, pages 1-14, May.
    15. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    16. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
    17. David Hobson & Martin Klimmek, 2011. "Model independent hedging strategies for variance swaps," Papers 1104.4010, arXiv.org, revised May 2011.
    18. Mueller, Philippe & Vedolin, Andrea & Yen, Yu-Min, 2012. "Bond variance risk premia," LSE Research Online Documents on Economics 119053, London School of Economics and Political Science, LSE Library.
    19. Peter Van Tassel & Erik Vogt, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
    20. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
    21. Martin, Ian W. R., 2025. "Information in derivatives markets: forecasting prices with prices," LSE Research Online Documents on Economics 128212, London School of Economics and Political Science, LSE Library.
    22. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
    23. Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
    24. Silvia Muzzioli, 2013. "The Information Content of Option-Based Forecasts of Volatility: Evidence from the Italian Stock Market," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-46.
    25. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Aug 2025.
    26. Laurent Barras & Aytek Malkhozov, 2015. "Does variance risk have two prices? Evidence from the equity and option markets," BIS Working Papers 521, Bank for International Settlements.
    27. Turan G. Bali & Hao Zhou, 2011. "Risk, uncertainty, and expected returns," Finance and Economics Discussion Series 2011-45, Board of Governors of the Federal Reserve System (U.S.).
    28. John, Kose & Li, Jingrui, 2021. "COVID-19, volatility dynamics, and sentiment trading," Journal of Banking & Finance, Elsevier, vol. 133(C).
    29. Martin, Ian, 2015. "What is the Expected Return on the Market?," CEPR Discussion Papers 10715, Centre for Economic Policy Research.
    30. Buss, Adrian & Vilkov, Grigory & ,, 2018. "Expected Correlation and Future Market Returns," CEPR Discussion Papers 12760, Centre for Economic Policy Research.
    31. Gourieroux, C. & Monfort, A., 2015. "Pricing with finite dimensional dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 408-417.
    32. Carol Alexander & Johannes Rauch, 2016. "Model-Free Discretisation-Invariant Swap Contracts," Papers 1602.00235, arXiv.org, revised Apr 2016.
    33. Tung-Lam Dao & Trung-Tu Nguyen & Cyril Deremble & Yves Lemp'eri`ere & Jean-Philippe Bouchaud & Marc Potters, 2016. "Tail protection for long investors: Trend convexity at work," Papers 1607.02410, arXiv.org.
    34. Zhou, Yinggang, 2014. "Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 216-228.
    35. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, Centre for Economic Policy Research.
    36. Cong Ma & Mui Yee Cheok, 2023. "Relationship among Covid-19, stock price and green finance markets pragmatic evidence from volatility dynamics," Economic Change and Restructuring, Springer, vol. 56(1), pages 265-295, February.
    37. M.E. Mancino & S. Scotti & G. Toscano, 2020. "Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(4), pages 288-316, July.
    38. Hoyong Choi & Philippe Mueller & Andrea Vedolin, 2017. "Bond Variance Risk Premiums," Review of Finance, European Finance Association, vol. 21(3), pages 987-1022.
    39. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2017. "Shapes of implied volatility with positive mass at zero," Working Papers 2017-77, Center for Research in Economics and Statistics.
    40. Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
    41. Fernando Alvarez, 2018. "A three mutual fund separation theorem," 2018 Meeting Papers 1066, Society for Economic Dynamics.

  19. Ian Martin, 2010. "The Valuation of Long-Dated Assets," NBER Working Papers 16219, National Bureau of Economic Research, Inc.

    Cited by:

    1. van Binsbergen, Jules H. & Boons, Martijn & Opp, Christian C. & Tamoni, Andrea, 2023. "Dynamic asset (mis)pricing: Build-up versus resolution anomalies," Journal of Financial Economics, Elsevier, vol. 147(2), pages 406-431.
    2. Gollier, Christian, 2012. "A theory of rational short-termism with uncertain betas," LERNA Working Papers 12.14.371, LERNA, University of Toulouse.
    3. Christian Gollier, 2013. "Asset Pricing with Uncertain Betas: A Long-Term Perspective," CESifo Working Paper Series 4072, CESifo.
    4. Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Scholarly Articles 9887621, Harvard University Department of Economics.
    5. Ian Martin, 2011. "The Lucas Orchard," NBER Working Papers 17563, National Bureau of Economic Research, Inc.
    6. Anna Battauz & Marzia Donno & Alessandro Sbuelz, 2017. "Reaching nirvana with a defaultable asset?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 31-52, November.
    7. Martin L. Weitzman, 2012. "Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates," NBER Working Papers 18496, National Bureau of Economic Research, Inc.
    8. Guerra Vallejos, Ernesto & Bobenrieth Hochfarber, Eugenio & Bobenrieth Hochfarber, Juan & Wright, Brian D., 2021. "Solving dynamic stochastic models with multiple occasionally binding constraints," Economic Modelling, Elsevier, vol. 105(C).
    9. John Y. Campbell & Roman Sigalov, 2020. "Portfolio Choice with Sustainable Spending: A Model of Reaching for Yield," NBER Working Papers 27025, National Bureau of Economic Research, Inc.
    10. Haim Levy, 2016. "Aging Population, Retirement, and Risk Taking," Management Science, INFORMS, vol. 62(5), pages 1415-1430, May.
    11. Gollier, Christian, 2019. "Valuation of natural capital under uncertain substitutability," Journal of Environmental Economics and Management, Elsevier, vol. 94(C), pages 54-66.
    12. Dutt, Tanuj & Humphery-Jenner, Mark, 2013. "Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 999-1017.
    13. Christian Gollier, 2024. "Evaluating sustainability actions under uncertainty: the role of improbable extreme scenarios," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 49(1), pages 59-74, March.
    14. Kent D. Daniel & Robert B. Litterman & Gernot Wagner, 2016. "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk," NBER Working Papers 22795, National Bureau of Economic Research, Inc.
    15. Arpit Gupta & Stijn Van Nieuwerburgh, 2021. "Valuing Private Equity Investments Strip by Strip," Journal of Finance, American Finance Association, vol. 76(6), pages 3255-3307, December.
    16. Chabi-Yo, Fousseni & Leisen, Dietmar P.J. & Renault, Eric, 2014. "Aggregation of preferences for skewed asset returns," Journal of Economic Theory, Elsevier, vol. 154(C), pages 453-489.
    17. Humphery-Jenner, Mark & Islam, Emdad & Nanda, Vikram & Rahman, Lubna, 2025. "Incentive contracting in the shadow of litigation risk: Evidence from universal demand laws," Journal of Banking & Finance, Elsevier, vol. 171(C).
    18. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    19. Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
    20. Lu, Yueliang (Jacques) & Tian, Weidong, 2023. "An on-line machine learning return prediction," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    21. Yasuhiro ARIKAWA & Vikas MEHROTRA, 2021. "Distribution of Long-run Stock Returns: Evidence from Japan and the US," Discussion papers 21084, Research Institute of Economy, Trade and Industry (RIETI).
    22. Bessembinder, Hendrik, 2018. "Do stocks outperform Treasury bills?," Journal of Financial Economics, Elsevier, vol. 129(3), pages 440-457.

  20. Ian Martin, 2010. "Consumption-Based Asset Pricing with Higher Cumulants," NBER Working Papers 16153, National Bureau of Economic Research, Inc.

    Cited by:

    1. Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers 754, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2015.
    3. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters Implied by Equity Index Options," Working Papers 09-14, New York University, Leonard N. Stern School of Business, Department of Economics.
    4. Gourio, Francois, 2011. "Credit Risk and Disaster Risk," CEPR Discussion Papers 8201, Centre for Economic Policy Research.
    5. Lundtofte, Frederik & Wilhelmsson, Anders, 2011. "Idiosyncratic Risk and Higher-Order Cumulants," Working Papers 2011:33, Lund University, Department of Economics.
    6. Shaliastovich, Ivan & Tauchen, George, 2011. "Pricing of the time-change risks," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 843-858, June.
    7. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
    8. Richard Kihlstrom & Christian Gollier, 2016. "Early resolution of uncertainty and asset prices," 2016 Meeting Papers 475, Society for Economic Dynamics.
    9. van der Ploeg, Frederick & ,, 2018. "Pricing Carbon Under Economic and Climactic Risks: Leading-Order Results from Asymptotic Analysis," CEPR Discussion Papers 12642, Centre for Economic Policy Research.
    10. Wang, Yuanping & Mu, Congming, 2019. "Can ambiguity about rare disasters explain equity premium puzzle?," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
    11. Carvajal, Andrés & Zhou, Hang, 2024. "Idiosyncratic risk and the equity premium," Journal of Mathematical Economics, Elsevier, vol. 113(C).
    12. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
    13. Francesco Bianchi, 2015. "The Great Depression and the Great Recession: A View from Financial Markets," NBER Working Papers 21056, National Bureau of Economic Research, Inc.
    14. Gollier, Christian, 2012. "A theory of rational short-termism with uncertain betas," LERNA Working Papers 12.14.371, LERNA, University of Toulouse.
    15. François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc.
    16. Bednarek, Ziemowit & Patel, Pratish, 2014. "Moral hazard with the (unlikely) possibility of catastrophes," Economics Letters, Elsevier, vol. 124(3), pages 386-388.
    17. Marianne Andries & Milo Bianchi & Karen Huynh & Sébastien Pouget, 2024. "Return Predictability, Expectations, and Investment: Experimental Evidence," Post-Print hal-04680777, HAL.
    18. Emmanuel Farhi & Samuel Paul Fraiberger & Xavier Gabaix & Romain Ranciere & Adrien Verdelhan, 2009. "Crash Risk in Currency Markets," NBER Working Papers 15062, National Bureau of Economic Research, Inc.
    19. Gollier, Christian, 2016. "Evaluation of long-dated assets: The role of parameter uncertainty," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 66-83.
    20. Rick Van der Ploeg & Ton S. Van den Bremer, 2018. "The Risk-Adjusted Carbon Price," OxCarre Working Papers 203, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    21. Chibane, Messaoud & Poncet, Patrice, 2025. "Housing rare disaster events and asset prices," Economic Modelling, Elsevier, vol. 147(C).
    22. Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
    23. Aurland-Bredesen, Kine Josefine, 2021. "The welfare costs of uncertainty: Cross-country evidence," World Development, Elsevier, vol. 146(C).
    24. Frédéric Cherbonnier & Christian Gollier & Aude Pommeret, 2025. "Stress discounting," Journal of Risk and Uncertainty, Springer, vol. 71(3), pages 219-243, December.
    25. Hanno Lustig & Adrien Verdelhan, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," NBER Working Papers 22023, National Bureau of Economic Research, Inc.
    26. Jin E. Zhang & Eric C. Chang & Huimin Zhao, 2020. "Market Excess Returns, Variance and the Third Cumulant," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 605-637, September.
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    51. Karim M. Abadir & Adriana Cornea, 2012. "Approximating Moments by Nonlinear Transformations," Working Paper series 22_12, Rimini Centre for Economic Analysis.
    52. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    53. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
    54. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices," CERGE-EI Working Papers wp507, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    55. Bekaert, Geert & Engstrom, Eric, 2010. "Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals," CEPR Discussion Papers 8150, Centre for Economic Policy Research.
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    92. Yang-Ho Park, 2013. "Volatility of volatility and tail risk premiums," Finance and Economics Discussion Series 2013-54, Board of Governors of the Federal Reserve System (U.S.).
    93. 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.
    94. Nolte, Ingmar & Xu, Qi, 2015. "The economic value of volatility timing with realized jumps," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 45-59.
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    96. Hanno Lustig & Adrien Verdelhan, 2019. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," American Economic Review, American Economic Association, vol. 109(6), pages 2208-2244, June.
    97. Martin, Ian W. R. & Pindyck, Robert S., "undated". "Welfare Costs of Catastrophes: Lost Consumption and Lost Lives," 2030 Agenda 308023, Fondazione Eni Enrico Mattei (FEEM).
    98. Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, Centre for Economic Policy Research.
    99. Luo, Lanlan & Zou, Ziran & Chen, Shou, 2021. "Discounting for public-private partnership projects in China," Economic Modelling, Elsevier, vol. 98(C), pages 218-226.
    100. Qunzi Zhang, 2021. "One hundred years of rare disaster concerns and commodity prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1891-1915, December.
    101. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
    102. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2014. "The dynamics of crises and the equity premium," SAFE Working Paper Series 11, Leibniz Institute for Financial Research SAFE, revised 2014.
    103. Ufuk Akcigit & Fernando Alvarez & Stephane Bonhomme & George M Constantinides & Douglas W Diamond & Eugene F Fama & David W Galenson & Michael Greenstone & Lars Peter Hansen & Uhlig Harald & James J H, 2017. "The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics," Natural Field Experiments 00635, The Field Experiments Website.
    104. Puhl, Martin & Savor, Pavel & Wilson, Mungo, 2024. "Uncertainty premia for small and large risks," Journal of Banking & Finance, Elsevier, vol. 167(C).
    105. Heaton, J.B., 2018. "Risk aversion as risk-neutral pessimism: A simple proof," International Review of Law and Economics, Elsevier, vol. 56(C), pages 70-72.
    106. Stefano Giglio & Ian Dew-Becker & David Berger, 2017. "Uncertainty Shocks as Second-Moment News Shocks," 2017 Meeting Papers 403, Society for Economic Dynamics.
    107. Ji Ho Kwon, 2021. "On the factors of Bitcoin’s value at risk," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
    108. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, Centre for Economic Policy Research.
    109. Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
    110. Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2025. "Risk-asymmetry indices in Europe," Annals of Finance, Springer, vol. 21(3), pages 283-316, September.
    111. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
    112. Chipeniuk, Karsten O. & Walker, Todd B., 2021. "Forward inflation expectations: Evidence from inflation caps and floors," Journal of Macroeconomics, Elsevier, vol. 70(C).
    113. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
    114. Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019. "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics 28638, Universidad Carlos III de Madrid. Departamento de Economía.
    115. 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.).
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    120. Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    121. Bianchi, Francesco, 2015. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," CEPR Discussion Papers 10520, Centre for Economic Policy Research.
    122. Ian Martin, 2012. "On the Valuation of Long-Dated Assets," Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 346-358.
    123. Zhanyu Chen & Kai Zhang & Hongbiao Zhao, 2022. "A Skellam market model for loan prime rate options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 525-551, March.
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    125. Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
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  22. Martin, Ian W. R. & Pindyck, Robert S., "undated". "Welfare Costs of Catastrophes: Lost Consumption and Lost Lives," 2030 Agenda 308023, Fondazione Eni Enrico Mattei (FEEM).

    Cited by:

    1. Peter A.G. van Bergeijk, 2021. "Pandemic Economics," Books, Edward Elgar Publishing, number 20401.
    2. Robert S. Pindyck, 2020. "COVID-19 and the Welfare Effects of Reducing Contagion," NBER Working Papers 27121, National Bureau of Economic Research, Inc.
    3. Decerf, Benoit & Ferreira, Francisco H.G. & Mahler, Daniel G. & Sterck, Olivier, 2021. "Lives and livelihoods: Estimates of the global mortality and poverty effects of the Covid-19 pandemic," World Development, Elsevier, vol. 146(C).
    4. St-Amour, Pascal, 2024. "Valuing life over the life cycle," Journal of Health Economics, Elsevier, vol. 93(C).
    5. Viral V. Acharya & Timothy Johnson & Suresh Sundaresan & Steven Zheng, 2025. "Vaccine Progress, Stock Prices, and the Value of Ending the Pandemic," Management Science, INFORMS, vol. 71(3), pages 2714-2732, March.
    6. Harrison Hong & Neng Wang & Jinqiang Yang, 2020. "Mitigating Disaster Risks in the Age of Climate Change," NBER Working Papers 27066, National Bureau of Economic Research, Inc.

Articles

  1. John Y. Campbell & Ian W. R. Martin, 2025. "Sustainability in a Risky World," American Economic Review: Insights, American Economic Association, vol. 7(2), pages 196-212, June.
    See citations under working paper version above.
  2. Lukas Kremens & Ian W. R. Martin & Liliana Varela, 2025. "Long‐Horizon Exchange Rate Expectations," Journal of Finance, American Finance Association, vol. 80(6), pages 3695-3724, December.
    See citations under working paper version above.
  3. Ian W. R. Martin & Dimitris Papadimitriou, 2022. "Sentiment and Speculation in a Market with Heterogeneous Beliefs," American Economic Review, American Economic Association, vol. 112(8), pages 2465-2517, August.
    See citations under working paper version above.
  4. Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
    See citations under working paper version above.
  5. Niels J. Gormsen & Ralph S. J. Koijen & Ian W. R. Martin, 2021. "Implied Dividend Volatility and Expected Growth," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 361-365, May.
    See citations under working paper version above.
  6. Ian Martin, 2021. "On the Autocorrelation of the Stock Market [X-CAPM: An Extrapolative Capital Asset Pricing Model]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 39-52.
    See citations under working paper version above.
  7. Ian W R Martin & Robert S Pindyck, 2021. "Welfare Costs of Catastrophes: Lost Consumption and Lost Lives," The Economic Journal, Royal Economic Society, vol. 131(634), pages 946-969.
    See citations under working paper version above.
  8. Can Gao & Ian W. R. Martin, 2021. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," Journal of Finance, American Finance Association, vol. 76(6), pages 3211-3254, December.
    See citations under working paper version above.
  9. Lukas Kremens & Ian Martin, 2019. "The Quanto Theory of Exchange Rates," American Economic Review, American Economic Association, vol. 109(3), pages 810-843, March.
    See citations under working paper version above.
  10. Martin, Ian W. R. & Ross, Stephen A., 2019. "Notes on the yield curve," Journal of Financial Economics, Elsevier, vol. 134(3), pages 689-702.
    See citations under working paper version above.
  11. Ian W. R. Martin & Christian Wagner, 2019. "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, vol. 74(4), pages 1887-1929, August.
    See citations under working paper version above.
  12. Ian Martin, 2017. "What is the Expected Return on the Market?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 367-433.
    See citations under working paper version above.
  13. Ian W. R. Martin & Robert S. Pindyck, 2015. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," American Economic Review, American Economic Association, vol. 105(10), pages 2947-2985, October.
    See citations under working paper version above.
  14. Ian Martin, 2013. "The Lucas Orchard," Econometrica, Econometric Society, vol. 81(1), pages 55-111, January.
    See citations under working paper version above.
  15. Ian W. Martin, 2013. "Consumption-Based Asset Pricing with Higher Cumulants," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(2), pages 745-773.
    See citations under working paper version above.
  16. Ian Martin, 2012. "On the Valuation of Long-Dated Assets," Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 346-358.
    See citations under working paper version above.
  17. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
    See citations under working paper version above.
  18. Ian W. R. Martin, 2008. "Disasters and the Welfare Cost of Uncertainty," American Economic Review, American Economic Association, vol. 98(2), pages 74-78, May.

    Cited by:

    1. Aurélie Méjean & Antonin Pottier & Stéphane Zuber & Marc Fleurbaey, 2017. "Intergenerational equity under catastrophic climate change," Documents de travail du Centre d'Economie de la Sorbonne 17040, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Lewis, Karen K. & Liu, Edith X., 2017. "Disaster risk and asset returns: An international perspective," Journal of International Economics, Elsevier, vol. 108(S1), pages 42-58.
    3. Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010. "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," NBER Working Papers 16035, National Bureau of Economic Research, Inc.
    4. Aurland-Bredesen, Kine Josefine, 2021. "The welfare costs of uncertainty: Cross-country evidence," World Development, Elsevier, vol. 146(C).
    5. Aurélie Méjean & Antonin Pottier & Marc Fleurbaey & Stéphane Zuber, 2020. "Catastrophic climate change, population ethics and intergenerational equity," Post-Print halshs-01599453, HAL.
    6. Robert S. Pindyck, 2014. "Risk and Return in the Design of Environmental Policy," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 1(3), pages 395-418.
    7. Pindyck, Robert S. & Martin, Ian, 2015. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," CEPR Discussion Papers 10730, Centre for Economic Policy Research.
    8. Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2020. "Disasters Everywhere: The Costs of Business Cycles Reconsidered," Staff Reports 925, Federal Reserve Bank of New York.
    9. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
    10. Karim M. Abadir & Adriana Cornea, 2012. "Approximating Moments by Nonlinear Transformations," Working Paper series 22_12, Rimini Centre for Economic Analysis.
    11. Sherrill Shaffer & Iftekhar Hasan & Mingming Zhou, 2015. "New Small Firms and Dimensions of Economic Performance," Economic Development Quarterly, , vol. 29(1), pages 65-78, February.
    12. Kine Josefine Aurland-Bredesen, 2020. "The Benefit-Cost Ratio as a Decision Criteria When Managing Catastrophes," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 77(2), pages 345-363, October.
    13. Martin Andreasen, 2012. "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
    14. Robert S. Pindyck, 2016. "The Social Cost of Carbon Revisited," NBER Working Papers 22807, National Bureau of Economic Research, Inc.
    15. Ian Martin & Robert S. Pindyck, 2017. "Averting Catastrophes that Kill," NBER Working Papers 23346, National Bureau of Economic Research, Inc.
    16. Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, Department of Economics and Business Economics, Aarhus University.
    17. Kent D. Daniel & Robert B. Litterman & Gernot Wagner, 2016. "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk," NBER Working Papers 22795, National Bureau of Economic Research, Inc.
    18. Erwann Michel-Kerjan, 2013. "Finance des risques catastrophiques. Le marché américain est en plein bouleversement," Revue économique, Presses de Sciences-Po, vol. 64(4), pages 615-634.
    19. Viral V. Acharya & Timothy Johnson & Suresh Sundaresan & Steven Zheng, 2025. "Vaccine Progress, Stock Prices, and the Value of Ending the Pandemic," Management Science, INFORMS, vol. 71(3), pages 2714-2732, March.
    20. Martin, Ian W. R. & Pindyck, Robert S., "undated". "Welfare Costs of Catastrophes: Lost Consumption and Lost Lives," 2030 Agenda 308023, Fondazione Eni Enrico Mattei (FEEM).
    21. Qunzi Zhang, 2021. "One hundred years of rare disaster concerns and commodity prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1891-1915, December.
    22. Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2024. "Disasters Everywhere: The Costs of Business Cycles Reconsidered," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 116-151, March.
    23. Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2010. "Crises and Recoveries in an Empirical Model of Consumption Disasters," NBER Working Papers 15920, National Bureau of Economic Research, Inc.
    24. Andreasen Martin M. & Zabczyk Pawel, 2015. "Efficient bond price approximations in non-linear equilibrium-based term structure models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 1-33, February.

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