scholarly journals Rare Events and Long-Run Risks

2016 ◽  
Author(s):  
Robert Barro ◽  
Tao Jin
Keyword(s):  
Rare Events ◽  
Long Run ◽  
Long Run Risks

scholarly journals Rare events and long-run risks

2021 ◽  
Vol 39 ◽  
pp. 1-25
Author(s):  
Robert J. Barro ◽  
Tao Jin
Keyword(s):  
Rare Events ◽  
Long Run ◽  
Long Run Risks

scholarly journals Rare Events and Long-Run Risks

2016 ◽  
Author(s):  
Robert J. Barro ◽  
Tao Jin
Keyword(s):  
Rare Events ◽  
Long Run ◽  
Long Run Risks

Habit, Long-Run Risks, Prospect? A Statistical Inquiry

2010 ◽  
Author(s):  
Eric M. Aldrich ◽  
A. Ronald Gallant
Keyword(s):  
Long Run ◽  
Long Run Risks

In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains Even Less

2021 ◽  
Vol 10 (3) ◽  
pp. 329-381
Author(s):  
Andrew Y. Chen ◽  
Fabian Winkler ◽  
Rebecca Wasyk
Keyword(s):  
Full Information ◽  
Long Run ◽  
Long Run Risks

Long Run Risks in FX Markets: Are They There?

2021 ◽  
Author(s):  
Sun Yong Kim ◽  
Konark Saxena
Keyword(s):  
Long Run ◽  
Long Run Risks

Ambiguity, long-run risks, and asset prices in continuous time

2021 ◽  
Vol 71 ◽  
pp. 115-126
Author(s):  
Xinfeng Ruan
Keyword(s):  
Continuous Time ◽  
Asset Prices ◽  
Long Run ◽  
Long Run Risks

scholarly journals How Much Would You Pay to Resolve Long-Run Risk?

2014 ◽  
Vol 104 (9) ◽  
pp. 2680-2697 ◽  
Author(s):  
Larry G. Epstein ◽  
Emmanuel Farhi ◽  
Tomasz Strzalecki
Keyword(s):  
Asset Pricing ◽  
Temporal Resolution ◽  
Recursive Utility ◽  
Elasticity Of Intertemporal Substitution ◽  
Careful Scrutiny ◽  
Long Run ◽  
Quantitative Properties ◽  
Long Run Risks ◽  
Asset Pricing Puzzles ◽  
Long Run Risk

Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles has ignored the full implications of their parameter specifications. Recursive utility implies that the temporal resolution of risk matters and a quantitative assessment thereof should be part of the calibration process. This paper gives a sense of the magnitudes of implied timing premia. Its objective is to inject temporal resolution of risk into the discussion of the quantitative properties of long-run risks and related models. (JEL D81, G11, G12)

scholarly journals Predictability and the Cross-Section of Expected Returns in Models with Long-Run Risks

2016 ◽  
Author(s):  
Christian Schlag ◽  
Michael Semenischev ◽  
Julian Thimme
Keyword(s):  
Cross Section ◽  
Expected Returns ◽  
Long Run ◽  
The Cross ◽  
Long Run Risks
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