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

by Ian W. Martin

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  1. 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.
  2. 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.
  3. Francois Gourio, 2011. "Credit Risk and Disaster Risk," NBER Working Papers 17026, National Bureau of Economic Research, Inc.
  4. 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.
  5. Lundtofte, Frederik & Wilhelmsson, Anders, 2013. "Risk premia: Exact solutions vs. log-linear approximations," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4256-4264.
  6. Christian Gollier, 2013. "Asset Pricing with Uncertain Betas: A Long-Term Perspective," CESifo Working Paper Series 4072, CESifo Group Munich.
  7. Gollier, Christian, 2013. "A theory of rational short-termism with uncertain betas," TSE Working Papers 13-389, Toulouse School of Economics (TSE).
  8. Christian Gollier, 2012. "Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes," CESifo Working Paper Series 4052, CESifo Group Munich.
  9. 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.
  10. 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.
  11. Jessica Wachter, 2008. "Can time-varying risk of rare disasters explain aggregate stock market volatility?," 2008 Meeting Papers 944, Society for Economic Dynamics.
  12. 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.
  13. Francisco Ruge-Murcia, 2012. "Skewness Risk and Bond Prices," Cahiers de recherche 17-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  14. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
  15. Engel, Charles, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," Economics Series 265, Institute for Advanced Studies.
  16. Lu Zhang & Howard Kung & Hang Bai, 2013. ""Shooting" the CAPM," 2013 Meeting Papers 905, Society for Economic Dynamics.
  17. 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.
  18. Zhiguang Wang & Prasad V. Bidarkota, 2008. "A Long-Run Risks Model of Asset Pricing with Fat Tails," Working Papers 0810, Florida International University, Department of Economics.
  19. 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.
  20. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, vol. 102(6), pages 2734-66, October.
  21. Ian Martin, 2011. "The Forward Premium Puzzle in a Two-Country World," NBER Working Papers 17564, National Bureau of Economic Research, Inc.
  22. 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.
  23. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
  24. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Working Papers 12-11, Bank of Canada.
  25. Ian Martin, 2013. "The Lucas Orchard," Econometrica, Econometric Society, vol. 81(1), pages 55-111, 01.
  26. Lundtofte, Frederik & Wilhelmsson, Anders, 2011. "Idiosyncratic Risk and Higher-Order Cumulants," Working Papers 2011:33, Lund University, Department of Economics.
  27. Bednarek, Ziemowit & Patel, Pratish, 2014. "Moral hazard with the (unlikely) possibility of catastrophes," Economics Letters, Elsevier, vol. 124(3), pages 386-388.
  28. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers 1122, Society for Economic Dynamics.
  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 - Economic Institute, Prague.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.