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Citations for "The Peso problem hypothesis and stock market returns"

by Veronesi, Pietro

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  1. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
  2. Jessica Wachter, 2008. "Can time-varying risk of rare disasters explain aggregate stock market volatility?," 2008 Meeting Papers 944, Society for Economic Dynamics.
  3. Guidolin, Massimo & Timmermann, Allan, 2007. "Properties of equilibrium asset prices under alternative learning schemes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 161-217, January.
  4. Rui Albuquerque, 2012. "Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns," Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1630-1673.
  5. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  6. Bianchi, Francesco, 2015. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," CEPR Discussion Papers 10520, C.E.P.R. Discussion Papers.
  7. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
  8. Kim Oosterlinck & Loredana Ureche-Rangau, 2005. "Entre la peste et le choléra : le détenteur d’obligations peut préférer la répudiation au défaut…," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 309-331.
  9. Christian Julliard & Anisha Ghosh, 2008. "Can rare events explain the equity premium puzzle?," LSE Research Online Documents on Economics 4808, London School of Economics and Political Science, LSE Library.
  10. Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
  11. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
  12. Olaf Posch, 2010. "Risk Premia in General Equilibrium," CESifo Working Paper Series 3131, CESifo Group Munich.
  13. Assaf Razin & Yona Rubinstein, 2006. "Evaluation of currency regimes: the unique role of sudden stops," Economic Policy, CEPR;CES;MSH, vol. 21(45), pages 119-152, 01.
  14. Câmara, António & Krehbiel, Tim & Li, Weiping, 2011. "Expected returns, risk premia, and volatility surfaces implicit in option market prices," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 215-230, January.
  15. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications for Consumptions and Asset Prices," CEU Working Papers 2014_2, Department of Economics, Central European University.
  16. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100614, Verein für Socialpolitik / German Economic Association.
  17. G. A. Christodoulakis & E. C. Mamatzakis, 2009. "Assessing the prudence of economic forecasts in the EU," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 583-606.
  18. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR).
  19. Anisha Ghosh & George Constantinides, 2015. "Asset Pricing with Countercyclical Household Consumption Risk," 2015 Meeting Papers 185, Society for Economic Dynamics.
  20. Jezek, M., 2009. "Passive Investors, Active Traders and Strategic Delegation of Price Discovery," Cambridge Working Papers in Economics 0951, Faculty of Economics, University of Cambridge.
  21. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  22. 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.
  23. Charlotte Christiansen & Angelo Ranaldo, 2008. "Extreme Coexceedances in New EU Member States' Stock Markets," Working Papers 2008-10, Swiss National Bank.
  24. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
  25. Masataka Suzuki, 2014. "Hidden persistent disasters and asset prices," Annals of Finance, Springer, vol. 10(3), pages 395-418, August.
  26. Fernando D. Chague, 2013. "Conditional Betas and Investor Uncertainty," Working Papers, Department of Economics 2013_04, University of São Paulo (FEA-USP).
  27. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  28. Berkman, Henk & Jacobsen, Ben & Lee, John B., 2011. "Time-varying rare disaster risk and stock returns," Journal of Financial Economics, Elsevier, vol. 101(2), pages 313-332, August.
  29. George M. Constantinides & Anisha Ghosh, 2014. "Asset Pricing with Countercyclical Household Consumption Risk," NBER Working Papers 20110, National Bureau of Economic Research, Inc.
  30. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFS Working Paper Series 480, Center for Financial Studies (CFS).
  31. Geoffrey J. Warren, 2008. "Implications for Asset Pricing Puzzles of a Roll-over Assumption for the Risk-Free Asset-super-," International Review of Finance, International Review of Finance Ltd., vol. 8(3-4), pages 125-157.
  32. Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Working Papers 1002, University of Missouri-St. Louis, Department of Economics.
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