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Citations for "Consumption-Based Asset Pricing with Higher Cumulants"

by Ian W. Martin

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  1. 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.
  2. Backus, David K. & Boyarchenko, Nina & Chernov, Mikhail, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
  3. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
  4. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
  5. Christian Gollier, 2012. "Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes," CESifo Working Paper Series 4052, CESifo Group Munich.
  6. Erickson, Timothy & Jiang, Colin Huan & Whited, Toni M., 2014. "Minimum distance estimation of the errors-in-variables model using linear cumulant equations," Journal of Econometrics, Elsevier, vol. 183(2), pages 211-221.
  7. Farhi, Emmanuel & Fraiberger, Samuel P. & Gabaix, Xavier & Rancière, Romain & Verdelhan, Adrien, 2009. "Crash Risk in Currency Markets," CEPR Discussion Papers 7322, C.E.P.R. Discussion Papers.
  8. Gollier, Christian, 2013. "A theory of rational short-termism with uncertain betas," TSE Working Papers 13-389, Toulouse School of Economics (TSE).
  9. Francois Gourio, 2012. "Credit risk and disaster risk," Working Paper Series WP-2012-07, Federal Reserve Bank of Chicago.
  10. Ian W.R. Martin & Robert S. Pindyck, 2014. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," NBER Working Papers 20215, National Bureau of Economic Research, Inc.
  11. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
  12. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Working Papers 272011, Hong Kong Institute for Monetary Research.
  13. Georgy Chabakauri, 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.
  14. Christian Gollier, 2013. "Asset Pricing with Uncertain Betas: A Long-Term Perspective," CESifo Working Paper Series 4072, CESifo Group Munich.
  15. 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.
  16. Lustig, Hanno & van Nieuwerburgh, Stijn & Verdelhan, Adrien, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
  17. Chalamandaris, Georgios & Rompolis, Leonidas S., 2012. "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1028-1044.
  18. RUGE-MURCIA, Francisco J., 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 2012-14, Universite de Montreal, Departement de sciences economiques.
  19. 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.
  20. Ian Martin, 2013. "The Lucas Orchard," Econometrica, Econometric Society, vol. 81(1), pages 55-111, 01.
  21. 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.
  22. Francois Gourio, 2009. "Disaster risk and business cycles," 2009 Meeting Papers 1176, Society for Economic Dynamics.
  23. 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.
  24. Georgy Chabakauri, 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.
  25. 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, 06.
  26. Lundtofte, Frederik & Wilhelmsson, Anders, 2011. "Idiosyncratic Risk and Higher-Order Cumulants," Working Papers 2011:33, Lund University, Department of Economics.
  27. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters implied by equity index options," NBER Working Papers 15240, National Bureau of Economic Research, Inc.
  28. Bianchi, Francesco, 2015. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," CEPR Discussion Papers 10520, C.E.P.R. Discussion Papers.
  29. 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.
  30. Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
  31. Bednarek, Ziemowit & Patel, Pratish, 2014. "Moral hazard with the (unlikely) possibility of catastrophes," Economics Letters, Elsevier, vol. 124(3), pages 386-388.
  32. Lundtofte, Frederik & Wilhelmsson, Anders, 2013. "Risk premia: Exact solutions vs. log-linear approximations," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4256-4264.
  33. Pierre Chaigneau & Louis Eeckhoudt, 2015. "Downside Risk Neutral Probabilities," Cahiers de recherche 1521, CIRPEE.
  34. Gollier, Christian, 2012. "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers 12-361, Toulouse School of Economics (TSE), revised Sep 2015.
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