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Estimating and Testing Long-Run Risk Models: International Evidence
SSRN Electronic Journal
◽
10.2139/ssrn.3857366
◽
2021
◽
Author(s):
Andras Fulop
◽
Junye Li
◽
Hening Liu
◽
Cheng Yan
Keyword(s):
Risk Models
◽
International Evidence
◽
Long Run
◽
Long Run Risk
Download Full-text
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Andras Fulop
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The “out-of-sample” performance of long run risk models
Journal of Financial Economics
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◽
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Level and slope of volatility smiles in long-run risk models
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The 'Out-of-Sample' Performance of Long-Run Risk Models
SSRN Electronic Journal
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◽
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Author(s):
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◽
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◽
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Keyword(s):
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The "Out of Sample" Performance of Long-run Risk Models
10.3386/w17848
◽
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◽
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◽
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The Role of Volatility Shocks and Rare Events in Long-Run Risk Models
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10.2139/ssrn.2021070
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Money and Currency Market Implications of the Long Run Risk Models
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Long Run Risk
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Level and Slope of Volatility Smiles in Long-Run Risk Models
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10.2139/ssrn.3064658
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Paulo Rodrigues
◽
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Preference Heterogeneity and Survival in Long-Run Risk Models
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◽
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◽
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Preference Heterogeneity
◽
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◽
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Bayesian estimation of long-run risk models using sequential Monte Carlo
Journal of Econometrics
◽
10.1016/j.jeconom.2020.12.008
◽
2021
◽
Author(s):
Andras Fulop
◽
Jeremy Heng
◽
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◽
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Keyword(s):
Monte Carlo
◽
Bayesian Estimation
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Sequential Monte Carlo
◽
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Long Run
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