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Risk Price Dynamics

Citations

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Cited by:

  1. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
  2. Borovička, Jaroslav & Hansen, Lars Peter, 2014. "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
  3. Ewald, Christian-Oliver & Yor, Marc, 2015. "On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 22-36.
  4. Sylvain, Serginio, 2014. "Does Human Capital Risk Explain The Value Premium Puzzle?," MPRA Paper 54551, University Library of Munich, Germany.
  5. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
  6. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1571-1611, Elsevier.
  7. 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.
  8. Kraft, Holger & Seifried, Frank Thomas, 2014. "Stochastic differential utility as the continuous-time limit of recursive utility," Journal of Economic Theory, Elsevier, vol. 151(C), pages 528-550.
  9. Jaroslav Borovička & Lars Peter Hansen & José A. Scheinkman, 2016. "Misspecified Recovery," Journal of Finance, American Finance Association, vol. 71(6), pages 2493-2544, December.
  10. Tim Leung & Hyungbin Park, 2017. "LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-33, September.
  11. Sang Byung Seo & Jessica A. Wachter, 2016. "Do Rare Events Explain CDX Tranche Spreads?," NBER Working Papers 22723, National Bureau of Economic Research, Inc.
  12. Hansen, Lars Peter & Sargent, Thomas J., 2021. "Macroeconomic uncertainty prices when beliefs are tenuous," Journal of Econometrics, Elsevier, vol. 223(1), pages 222-250.
  13. Irina Zviadadze, 2017. "Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns," Journal of Finance, American Finance Association, vol. 72(4), pages 1529-1566, August.
  14. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
  15. Likuan Qin & Vadim Linetsky, 2016. "The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models," Papers 1610.00818, arXiv.org, revised Jul 2017.
  16. John H. Cochrane, 2017. "Macro-Finance," Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
  17. Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The cross-section and time series of stock and bond returns," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
  18. Szőke, Bálint, 2022. "Estimating robustness," Journal of Economic Theory, Elsevier, vol. 199(C).
  19. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1571-1611, Elsevier.
  20. Borovička, Jaroslav & Hansen, Lars Peter, 2014. "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
  21. Hyungbin Park, 2015. "Sensitivity Analysis of Long-Term Cash Flows," Papers 1511.03744, arXiv.org, revised Sep 2018.
  22. Lars P. Hansen & Thomas J. Sargent, 2016. "Sets of Models and Prices of Uncertainty," NBER Working Papers 22000, National Bureau of Economic Research, Inc.
  23. Borovicka, J. & Hansen, L.P., 2016. "Term Structure of Uncertainty in the Macroeconomy," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1641-1696, Elsevier.
  24. Likuan Qin & Vadim Linetsky, 2016. "Long-Term Factorization of Affine Pricing Kernels," Papers 1610.00778, arXiv.org, revised Jul 2017.
  25. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
  26. Jules van Binsbergen & Michael Brandt & Ralph Koijen, 2012. "On the Timing and Pricing of Dividends," American Economic Review, American Economic Association, vol. 102(4), pages 1596-1618, June.
  27. Hyungbin Park, 2015. "The Martin Integral Representation of Markovian Pricing Kernels," Papers 1504.00276, arXiv.org.
  28. Neuhierl, Andreas & Varneskov, Rasmus T., 2021. "Frequency dependent risk," Journal of Financial Economics, Elsevier, vol. 140(2), pages 644-675.
  29. Jihun Han & Hyungbin Park, 2014. "The Intrinsic Bounds on the Risk Premium of Markovian Pricing Kernels," Papers 1411.4606, arXiv.org, revised Sep 2015.
  30. Hyungbin Park, 2014. "Ross Recovery with Recurrent and Transient Processes," Papers 1410.2282, arXiv.org, revised Oct 2015.
  31. Thien Nguyen & Lukas Schmid & Mariano Croce, 2014. "Global Entropy," 2014 Meeting Papers 1345, Society for Economic Dynamics.
  32. Jaroslav Borovička & Lars P. Hansen & Jose A. Scheinkman, 2014. "Shock Elasticities and Impulse Responses," NBER Working Papers 20104, National Bureau of Economic Research, Inc.
  33. Han, Jihun & Park, Hyungbin, 2015. "The intrinsic bounds on the risk premium of Markovian pricing kernels," Finance Research Letters, Elsevier, vol. 13(C), pages 36-44.
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