Estimating and Testing Long-Run Risk Models: International Evidence

2021 ◽  
Author(s):  
Andras Fulop ◽  
Junye Li ◽  
Hening Liu ◽  
Cheng Yan
Keyword(s):  
Risk Models ◽  
International Evidence ◽  
Long Run ◽  
Long Run Risk

Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo

2020 ◽  
Author(s):  
Andras Fulop ◽  
Jeremy Heng ◽  
Junye Li ◽  
Hening Liu
Keyword(s):  
Monte Carlo ◽  
Bayesian Estimation ◽  
Sequential Monte Carlo ◽  
Risk Models ◽  
Long Run ◽  
Long Run Risk

The “out-of-sample” performance of long run risk models

2013 ◽  
Vol 107 (3) ◽  
pp. 537-556 ◽  
Author(s):  
Wayne Ferson ◽  
Suresh Nallareddy ◽  
Biqin Xie
Keyword(s):  
Risk Models ◽  
Long Run ◽  
Out Of Sample ◽  
Long Run Risk

scholarly journals Level and slope of volatility smiles in long-run risk models

2018 ◽  
Vol 86 ◽  
pp. 95-122 ◽  
Author(s):  
Nicole Branger ◽  
Paulo Rodrigues ◽  
Christian Schlag
Keyword(s):  
Risk Models ◽  
Long Run ◽  
Long Run Risk

The 'Out-of-Sample' Performance of Long-Run Risk Models

2011 ◽  
Author(s):  
Wayne E. Ferson ◽  
Suresh Nallareddy ◽  
Biqin Xie
Keyword(s):  
Risk Models ◽  
Long Run ◽  
Out Of Sample ◽  
Long Run Risk

scholarly journals The "Out of Sample" Performance of Long-run Risk Models

2012 ◽  
Author(s):  
Wayne Ferson ◽  
Suresh Nallareddy ◽  
Biqin Xie
Keyword(s):  
Risk Models ◽  
Long Run ◽  
Out Of Sample ◽  
Long Run Risk

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

2011 ◽  
Author(s):  
Nicole Branger ◽  
Paulo Rodrigues ◽  
Christian Schlag
Keyword(s):  
Rare Events ◽  
Risk Models ◽  
Long Run ◽  
Long Run Risk

Money and Currency Market Implications of the Long Run Risk Models

2013 ◽  
Author(s):  
Stefano d'Addona ◽  
Ilaria Musumeci
Keyword(s):  
Risk Models ◽  
Currency Market ◽  
Long Run ◽  
Long Run Risk

scholarly journals Level and Slope of Volatility Smiles in Long-Run Risk Models

2017 ◽  
Author(s):  
Nicole Branger ◽  
Paulo Rodrigues ◽  
Christian Schlag
Keyword(s):  
Risk Models ◽  
Long Run ◽  
Long Run Risk

Preference Heterogeneity and Survival in Long-Run Risk Models

2011 ◽  
Author(s):  
Nicole Branger ◽  
Ioana Dumitrescu ◽  
Vesela Ivanova ◽  
Christian Schlag
Keyword(s):  
Preference Heterogeneity ◽  
Risk Models ◽  
Long Run ◽  
Long Run Risk

Bayesian estimation of long-run risk models using sequential Monte Carlo

2021 ◽  
Author(s):  
Andras Fulop ◽  
Jeremy Heng ◽  
Junye Li ◽  
Hening Liu
Keyword(s):  
Monte Carlo ◽  
Bayesian Estimation ◽  
Sequential Monte Carlo ◽  
Risk Models ◽  
Long Run ◽  
Long Run Risk
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