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Rare Disasters and Asset Markets in the Twentieth Century

Citations

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Cited by:

  1. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
  2. Timothy Cogley & Thomas J. Sargent & Viktor Tsyrennikov, 2014. "Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs," Economic Journal, Royal Economic Society, vol. 124(575), pages 1-30, March.
  3. Daniel Kapp & Marco Vega, 2014. "Real output costs of financial crises: A loss distribution approach," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 37(103), pages 13-28, Abril.
  4. Freire, Gustavo, 2021. "Tail risk and investors’ concerns: Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  5. Jiang, Ping-Chuan & Feng, Gen-Fu & Chang, Chun-Ping, 2025. "Energy at risk: Exploring energy security in a geopolitically unstable world," Economic Analysis and Policy, Elsevier, vol. 86(C), pages 231-244.
  6. Minhyuk Jeong & Zhuang Chu & Kwangwon Ahn, 2026. "The impact of nuclear energy on social welfare and the future of renewable energy: episode from South Korea," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 13(1), pages 1-17, December.
  7. James E. Sawyer, 2009. "Anti-Sustainability Rhetoric: Sketching Ideological Responses," Journal of Innovation Economics, De Boeck Université, vol. 0(1), pages 49-71.
  8. Marco Bottone & Cristina Conflitti & Marianna Riggi & Alex Tagliabracci, 2021. "Firms' inflation expectations and pricing strategies during Covid-19," Questioni di Economia e Finanza (Occasional Papers) 619, Bank of Italy, Economic Research and International Relations Area.
  9. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
  10. Stavros Panageas & Nicolae Garleanu, 2008. "Yooung, Old, Conservative and Bold: The implications of finite lives and heterogeneity for asset prices," 2008 Meeting Papers 409, Society for Economic Dynamics.
  11. Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
  12. Semyon Malamud & Andreas Schrimpf & Yuan Zhang, 2025. "An Intermediation-Based Model of Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 38(8), pages 2386-2433.
  13. Roel van Elk & Marc van der Steeg & Dinand Webbink, 2013. "The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment," CPB Discussion Paper 241.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  14. Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
  15. Guo, Dong & Zhou, Peng, 2021. "Green bonds as hedging assets before and after COVID: A comparative study between the US and China," Energy Economics, Elsevier, vol. 104(C).
  16. Julia Reynolds & Leopold Sögner & Martin Wagner, 2021. "Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(2), pages 105-146, June.
  17. Siddiqi, Hammad, 2015. "Anchoring and Adjustment Heuristic: A Unified Explanation for Equity Puzzles," MPRA Paper 68729, University Library of Munich, Germany.
  18. Adrien Verdelhan, 2018. "The Share of Systematic Variation in Bilateral Exchange Rates," Journal of Finance, American Finance Association, vol. 73(1), pages 375-418, February.
  19. Barro, Robert J. & Ursúa, José F., 2017. "Stock-market crashes and depressions," Research in Economics, Elsevier, vol. 71(3), pages 384-398.
  20. Newbold, Stephen & Griffiths, Charles & Moore, Chris & Wolverton, Ann & Kopits. Elizabeth, 2010. "The “Social Cost of Carbon” Made Simple," National Center for Environmental Economics-NCEE Working Papers 280887, United States Environmental Protection Agency (EPA).
  21. Walter D'Lima & Timothy Komarek & Luis A. Lopez, 2023. "Risk perception in housing markets: Evidence from a fighter jet crash," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(4), pages 819-854, July.
  22. Matthew Baron & Wei Xiong, 2017. "Credit Expansion and Neglected Crash Risk," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(2), pages 713-764.
  23. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
  24. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
  25. NguyenHuu, Tam, 2022. "The impacts of rare disasters on asset returns and risk premiums in advanced economies (1870–2015)," Finance Research Letters, Elsevier, vol. 45(C).
  26. Heiberger, Christopher, 2020. "Labor market search, endogenous disasters and the equity premium puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
  27. Jong-Wha Lee & Ju Hyun Pyun, 2016. "Does Trade Integration Contribute to Peace?," Review of Development Economics, Wiley Blackwell, vol. 20(1), pages 327-344, February.
  28. Nicolas Piluso, 2023. "Confrontation between shareholders and local residents over safety investments in high-risk industries," Economic Analysis Letters, Anser Press, vol. 2(3), pages 54-66, July.
  29. Duncan, Roberto, 2016. "Does the US current account show a symmetric behavior over the business cycle?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 202-219.
  30. 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.
  31. Angosto-Fernández Pedro Luis & Ferrández-Serrano Victoria, 2022. "World capital markets facing the first wave of COVID-19: Traditional event study versus sensitivity to new cases," Economics and Business Review, Sciendo, vol. 8(4), pages 5-38, December.
  32. Lai, Fujun & Cheng, Xianli & Li, An & Xiong, Deping & Li, Yunzhong, 2025. "Does flood risk affect the implied cost of equity capital?," Finance Research Letters, Elsevier, vol. 71(C).
  33. David Rezza Baqaee & Emmanuel Farhi, 2019. "The Macroeconomic Impact of Microeconomic Shocks: Beyond Hulten's Theorem," Econometrica, Econometric Society, vol. 87(4), pages 1155-1203, July.
  34. Marlène Isoré, 2012. "Essays in macro-finance [Essais de macro-finance]," Sciences Po Economics Publications (main) tel-03669376, HAL.
  35. Bauer, Daniel & Börger, Matthias & Ruß, Jochen, 2010. "On the pricing of longevity-linked securities," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 139-149, February.
  36. Jesús Fernández‐Villaverde & Oren Levintal, 2018. "Solution methods for models with rare disasters," Quantitative Economics, Econometric Society, vol. 9(2), pages 903-944, July.
  37. Yu Aoki & Theodore Koutmeridis, 2019. "Shaking Criminal Incentives," Working Papers 2019-13, Business School - Economics, University of Glasgow.
  38. Sule Alan & Thomas Crossley & Hamish Low, 2012. "Saving on a Rainy Day, Borrowing for a Rainy Day," Koç University-TUSIAD Economic Research Forum Working Papers 1212, Koc University-TUSIAD Economic Research Forum.
  39. 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.
  40. Ascari, Guido & Fagiolo, Giorgio & Roventini, Andrea, 2015. "Fat-Tail Distributions And Business-Cycle Models," Macroeconomic Dynamics, Cambridge University Press, vol. 19(2), pages 465-476, March.
  41. Pauline Barrieu & Henri Loubergé, 2009. "Hybrid Cat Bonds," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 547-578, September.
  42. Ruggero Jappelli & Loriana Pelizzon & Alberto Plazzi, 2021. "The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times," Swiss Finance Institute Research Paper Series 21-30, Swiss Finance Institute.
  43. Xie, Yamin & Li, Yuanguang, 2024. "Technological progress, fiscal policy, and economic fluctuations in China: Evidence from the heterogeneous firm DSGE model during the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 84(C), pages 646-662.
  44. Christian Gollier & James Hammitt & Nicolas Treich, 2013. "Risk and choice: A research saga," Journal of Risk and Uncertainty, Springer, vol. 47(2), pages 129-145, October.
  45. Sanjay Sehgal & Tarunika Jain Agrawal & Florent Deisting, 2025. "The tale of two tails and stock returns for two major emerging markets," Review of Quantitative Finance and Accounting, Springer, vol. 64(1), pages 163-189, January.
  46. Chanelle Duley & Prasanna Gai, 2020. "When the penny doesn't drop - Macroeconomic tail risk and currency crises," National Institute of Economic and Social Research (NIESR) Discussion Papers 520, National Institute of Economic and Social Research.
  47. Aman, Hiroyuki, 2013. "An analysis of the impact of media coverage on stock price crashes and jumps: Evidence from Japan," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 22-38.
  48. Marlène Isoré, 2018. "Changes in Natural Disaster Risk: Macroeconomic Responses in Selected Latin American Countries," Economies, MDPI, vol. 6(1), pages 1-12, February.
  49. Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
  50. Muhammad Jawad & Munazza Naz & Zaib Maroof & Nauman Waheed & Tahani Rashid, 2023. "Impact of stock investment on economic performance: a comparative study of on developed & developing economies," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2013-2032, June.
  51. Aurélie Méjean & Antonin Pottier & Marc Fleurbaey & Stéphane Zuber, 2020. "Catastrophic climate change, population ethics and intergenerational equity," Climatic Change, Springer, vol. 163(2), pages 873-890, November.
  52. Souza, Thiago de Oliveira, 2020. "Dollar carry timing," Discussion Papers on Economics 10/2020, University of Southern Denmark, Department of Economics.
  53. Tambakis, Demosthenes N., 2014. "On the risk of long-run deflation," Economics Letters, Elsevier, vol. 122(2), pages 176-181.
  54. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 118-166, August.
  55. Gomes, João F. & Grotteria, Marco & Wachter, Jessica A., 2023. "Foreseen risks," Journal of Economic Theory, Elsevier, vol. 212(C).
  56. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
  57. Federico Morelli & Michael Benzaquen & Marco Tarzia & Jean-Philippe Bouchaud, 2020. "Confidence Collapse in a Multi-Household, Self-Reflexive DSGE Model," Post-Print hal-02323098, HAL.
  58. Ruge-Murcia, Francisco, 2012. "Estimating nonlinear DSGE models by the simulated method of moments: With an application to business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 36(6), pages 914-938.
  59. William Ginn, 2022. "Climate Disasters and the Macroeconomy: Does State-Dependence Matter? Evidence for the US," Economics of Disasters and Climate Change, Springer, vol. 6(1), pages 141-161, March.
  60. Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2012. "Self-Fulfilling Risk Panics," American Economic Review, American Economic Association, vol. 102(7), pages 3674-3700, December.
  61. Jonathan Federle & André Meier & Gernot J. Müller & Victor Sehn, 2026. "Proximity to War: The Stock Market Response to the Russian Invasion of Ukraine," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 58(3), pages 681-703, April.
  62. Bonato, Matteo & Cepni, Oguzhan & Gupta, Rangan & Pierdzioch, Christian, 2023. "Climate risks and state-level stock market realized volatility," Journal of Financial Markets, Elsevier, vol. 66(C).
  63. Kuvshinov, Dmitry & Richter, Björn & Zimmermann, Kaspar, 2022. "The shifts and the shocks: bank risk, leverage, and the macroeconomy," Working Paper Series 2672, European Central Bank.
  64. Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2016. "No‐Bubble Condition: Model‐Free Tests in Housing Markets," Econometrica, Econometric Society, vol. 84, pages 1047-1091, May.
  65. Doeswijk, Ronald & Swinkels, Laurens, 2026. "The risk and reward of investing," Journal of International Money and Finance, Elsevier, vol. 160(C).
  66. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2022. "How is the change in left-tail risk priced in China?," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
  67. Kei Hosoya, 2025. "Slow consumption recovery after the pandemic: perspective from a time preference approach," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 72(1), pages 1-25, June.
  68. Nicolas Coeurdacier & Hélène Rey, 2010. "Home bias in open economy financial macroeconomics," SciencePo Working papers hal-01069440, HAL.
  69. Allan Wright & Patrice Borda, 2016. "Macroeconomic Fluctuations Under Natural Disaster Shocks in Central America and the Caribbean," IDB Publications (Working Papers) 97076, Inter-American Development Bank.
  70. Jalloul, Maya & Miescu, Mirela, 2023. "Equity market connectedness across regimes of geopolitical risks: Historical evidence and theory," Journal of International Money and Finance, Elsevier, vol. 137(C).
  71. Geert Bekaert & Eric Engstrom, 2017. "Asset Return Dynamics under Habits and Bad Environment-Good Environment Fundamentals," Journal of Political Economy, University of Chicago Press, vol. 125(3), pages 713-760.
  72. Jessica A. Wachter, 2013. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, June.
  73. Weber, Michael, 2018. "Cash flow duration and the term structure of equity returns," Journal of Financial Economics, Elsevier, vol. 128(3), pages 486-503.
  74. Robert S. Pindyck & Neng Wang, 2013. "The Economic and Policy Consequences of Catastrophes," American Economic Journal: Economic Policy, American Economic Association, vol. 5(4), pages 306-339, November.
  75. David Miles & Jing Yang & Gilberto Marcheggiano, 2013. "Optimal Bank Capital," Economic Journal, Royal Economic Society, vol. 123(567), pages 1-37, March.
  76. Kagerer, B., 2024. "Geopolitics and corporate risk: Evidence from EU-Russia conflict shocks," Cambridge Working Papers in Economics 2471, Faculty of Economics, University of Cambridge.
  77. Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch & Onur Polat, 2024. "Climate Risks and Real Gold Returns over 750 Years," Forecasting, MDPI, vol. 6(4), pages 1-16, October.
  78. Eduardo Borensztein & Eduardo Cavallo & Patricio Valenzuela, 2009. "Debt Sustainability Under Catastrophic Risk: The Case for Government Budget Insurance," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 12(2), pages 273-294, September.
  79. Han, Leyla Jianyu & Kasa, Kenneth & Luo, Yulei, 2024. "Ambiguity, information processing, and financial intermediation," Journal of Economic Theory, Elsevier, vol. 222(C).
  80. Fratzscher, Marcel & Chudik, Alexander, 2012. "Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-11 Sovereign Debt Crisis," CEPR Discussion Papers 8787, Centre for Economic Policy Research.
  81. Turner, John D., 2014. "Financial history and financial economics," QUCEH Working Paper Series 14-03, Queen's University Belfast, Queen's University Centre for Economic History.
  82. Pagano, Marco & Wagner, Christian & Zechner, Josef, 2023. "Disaster resilience and asset prices," Journal of Financial Economics, Elsevier, vol. 150(2).
  83. Posch, Olaf, 2009. "Structural estimation of jump-diffusion processes in macroeconomics," Journal of Econometrics, Elsevier, vol. 153(2), pages 196-210, December.
  84. François Gourio, 2018. "Comment on "The Tail That Keeps the Riskless Rate Low"," NBER Chapters, in: NBER Macroeconomics Annual 2018, volume 33, pages 284-296, National Bureau of Economic Research, Inc.
  85. Martin Ellison & Andreas Tischbirek, 2021. "Beauty Contests and the Term Structure [Risk Premia and Term Premia in General Equilibrium]," Journal of the European Economic Association, European Economic Association, vol. 19(4), pages 2234-2282.
  86. Maćkowiak, Bartosz & Wiederholt, Mirko, 2018. "Lack of preparation for rare events," Journal of Monetary Economics, Elsevier, vol. 100(C), pages 35-47.
  87. Hambel, Christoph & Kraft, Holger & Schwartz, Eduardo, 2021. "Optimal carbon abatement in a stochastic equilibrium model with climate change," European Economic Review, Elsevier, vol. 132(C).
  88. Cassou, Steven P. & Vázquez, Jesús, 2025. "Preference for consumption predictability and the equity premium puzzle," International Review of Economics & Finance, Elsevier, vol. 103(C).
  89. Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
  90. Klaus Adam & Michael Grill, 2017. "Optimal Sovereign Default," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 128-164, January.
  91. Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Jumps in commodity markets," Journal of Commodity Markets, Elsevier, vol. 13(C), pages 55-70.
  92. Mohammad Reza Yeganegi & Hossein Hassani & Rangan Gupta, 2023. "The ENSO cycle and forecastability of global inflation and output growth: Evidence from standard and mixed‐frequency multivariate singular spectrum analyses," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1690-1707, November.
  93. Peng, Juan & Yang, Jinqiang & Zhao, Pengxiang, 2025. "Investment, Tobin’s q, and the stochastic price of fossil fuel," Energy Economics, Elsevier, vol. 148(C).
  94. Alexis Louaas & Pierre Picard, 2018. "Optimal insurance coverage of low probability-high severity risks," Working Papers hal-01924408, HAL.
  95. Manuel Arellano & Richard Blundell & Stéphane Bonhomme, 2017. "Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework," Econometrica, Econometric Society, vol. 85, pages 693-734, May.
  96. Nicholas Bloom & Fatih Guvenen & Sergio Salgado, 2016. "Skewed Business Cycles," 2016 Meeting Papers 1621, Society for Economic Dynamics.
  97. Samuel Fankhauser & Thomas K.J. McDermott, 2013. "Understanding the adaptation deficit: why are poor countries more vulnerable to climate events than rich countries?," GRI Working Papers 134, Grantham Research Institute on Climate Change and the Environment.
  98. Edwards, Ryan D., 2014. "U.S. war costs: Two parts temporary, one part permanent," Journal of Public Economics, Elsevier, vol. 113(C), pages 54-66.
  99. Bai, Hang & Zhang, Lu, 2022. "Searching for the equity premium," Journal of Financial Economics, Elsevier, vol. 143(2), pages 897-926.
  100. 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.
  101. Josefin Meyer & Carmen M Reinhart & Christoph Trebesch, 2022. "Sovereign Bonds Since Waterloo," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 137(3), pages 1615-1680.
  102. Stephen J. Davis & Dingqian Liu & Xuguang Simon Sheng, 2020. "Stock Prices, Lockdowns, and Economic Activity in the Time of Coronavirus," Working Papers 2020-156, Becker Friedman Institute for Research In Economics.
  103. David Le Bris & Pierre-Cyrille Hautcoeur, 2009. "A Challenge to Triumphant Optimists? A New Index for the Paris Stock-Exchange (1854-2007)," Working Papers 09-02, Association Française de Cliométrie (AFC).
  104. 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.
  105. Galindo Gil, Hamilton & Mendoza Perez, Liu, 2025. "Dollarization hysteresis, inflation jumps, and fear of inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 180(C).
  106. Yu Aoki & Theodore Koutmeridis, 2019. "Shaking Criminal Incentives," Working Papers 2019_13, Business School - Economics, University of Glasgow.
  107. Beeler, Jason & Campbell, John Y., 2012. "The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment," Critical Finance Review, now publishers, vol. 1(1), pages 141-182, January.
  108. Christian Gollier, 2026. "The Welfare Cost of Ignoring the Beta," Journal of Political Economy Microeconomics, University of Chicago Press, vol. 4(1), pages 147-172.
  109. Stavros Panageas & Leonid Kogan & Nicolae Garleanu, 2009. "The Demographics of Innovation and Asset Returns," 2009 Meeting Papers 140, Society for Economic Dynamics.
  110. Pablo D. Fajgelbaum & Edouard Schaal & Mathieu Taschereau-Dumouchel, 2017. "Uncertainty Traps," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(4), pages 1641-1692.
  111. Demian Pouzo & Ignacio Presno, 2012. "Sovereign default risk and uncertainty premia," Working Papers 12-11, Federal Reserve Bank of Boston.
  112. Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022. "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
  113. Nicolae B. Gârleanu & Stavros Panageas, 2020. "Heterogeneity and Asset Prices: A Different Approach," NBER Working Papers 26607, National Bureau of Economic Research, Inc.
  114. 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.).
  115. Conlon, Thomas & Cotter, John & Ropotos, Ioannis, 2026. "Drivers of firm-level tail dependence: A machine learning approach," Journal of Economic Dynamics and Control, Elsevier, vol. 182(C).
  116. Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
  117. Pancrazi, Roberto, 2014. "How beneficial was the Great Moderation after all?," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 73-90.
  118. Damonte Marco & Cardullo Gabriele, 2022. "The end of the Equity Premium Puzzle? An analysis of the European Financial Markets," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 11(2), pages 1-2.
  119. Koulovatianos, Christos & Li, Jian & Weber, Fabienne, 2018. "Market fragility and the paradox of the recent stock-bond dissonance," Economics Letters, Elsevier, vol. 162(C), pages 162-166.
  120. Ergun, Lerby M., 2023. "Extreme downside risk in the cross-section of asset returns," International Review of Financial Analysis, Elsevier, vol. 90(C).
  121. Mitsuru Katagiri, 2016. "Forward Guidance as a Monetary Policy Rule," Bank of Japan Working Paper Series 16-E-6, Bank of Japan.
  122. Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2018. "Crash Sensitivity and the Cross Section of Expected Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1059-1100, June.
  123. David Backus & Mikhail Chernov & Stanley Zin, 2014. "Sources of Entropy in Representative Agent Models," Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, February.
  124. Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2013. "The Network Origins of Large Economic Downturns," NBER Working Papers 19230, National Bureau of Economic Research, Inc.
  125. Dario Caldara & Matteo Iacoviello, 2022. "Measuring Geopolitical Risk," American Economic Review, American Economic Association, vol. 112(4), pages 1194-1225, April.
  126. Matteo Coronese & Davide Luzzati, 2022. "Economic impacts of natural hazards and complexity science: a critical review," LEM Papers Series 2022/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  127. Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
  128. Chih-hsiang Hsu, 2025. "Forecasting returns and risk through implied volatility: A dual-threshold investment framework," Economics Bulletin, AccessEcon, vol. 45(4), pages 1926-1938.
  129. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options," NBER Working Papers 11861, National Bureau of Economic Research, Inc.
  130. Zhang Chen & Chen Kay, 2026. "Historical Developments in Probability Measures for Asset Pricing: From State Prices to Modern Pricing Kernels," Papers 2605.27658, arXiv.org.
  131. Olaf Posch & Andreas Schrimpf, 2012. "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," CREATES Research Papers 2012-32, Department of Economics and Business Economics, Aarhus University.
  132. Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
  133. Julien Albertini & Xavier Fairise & Arthur Poirier & Anthony Terriau, 2022. "Short-Time Work Policies During the Covid-19 Pandemic," Annals of Economics and Statistics, GENES, issue 146, pages 123-172.
  134. Iacopetta, Maurizio, 2011. "Formal education and public knowledge," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 676-693, May.
  135. Gabaix, Xavier & Verdelhan, Adrien & Rancière, Romain & Farhi, Emmanuel & Fraiberger, Samuel P., 2009. "Crash Risk in Currency Markets," CEPR Discussion Papers 7322, Centre for Economic Policy Research.
  136. Ellwanger, Reinhard, 2025. "The tail risk premium in the oil market," Energy Economics, Elsevier, vol. 141(C).
  137. Thomas J. Carter & Xin Scott Chen & José Dorich, 2019. "Le taux neutre au Canada : mise à jour de 2019," Staff Analytical Notes 2019-11fr, Bank of Canada.
  138. Jasmina Hasanhodzic & Laurence J. Kotlikoff, 2013. "Generational Risk–Is It a Big Deal?: Simulating an 80-Period OLG Model with Aggregate Shocks," BYU Macroeconomics and Computational Laboratory Working Paper Series 2013-01, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  139. Gollier, Christian & van der Ploeg, Frederick & Zheng, Jiakun, 2023. "The discounting premium puzzle: Survey evidence from professional economists," Journal of Environmental Economics and Management, Elsevier, vol. 122(C).
  140. Aizenman, Joshua & Noy, Ilan, 2015. "Saving and the long shadow of macroeconomic shocks," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 147-159.
  141. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 119001, London School of Economics and Political Science, LSE Library.
  142. Gollier, Christian, 2016. "Evaluation of long-dated assets: The role of parameter uncertainty," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 66-83.
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