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Pricing growth-rate risk

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  • Lars Hansen
  • José Scheinkman

Abstract

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Suggested Citation

  • Lars Hansen & José Scheinkman, 2012. "Pricing growth-rate risk," Finance and Stochastics, Springer, vol. 16(1), pages 1-15, January.
    • Handle: RePEc:spr:finsto:v:16:y:2012:i:1:p:1-15
    DOI: 10.1007/s00780-010-0141-9
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    References listed on IDEAS

    as
    1. Lars Peter Hansen & José A. Scheinkman, 2009. "Long-Term Risk: An Operator Approach," Econometrica, Econometric Society, vol. 77(1), pages 177-234, January.
    2. Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
    3. Grigelionis, Bronius & Mackevicius, Vigirdas, 2003. "The finiteness of moments of a stochastic exponential," Statistics & Probability Letters, Elsevier, vol. 64(3), pages 243-248, September.
    4. Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux, 2001. "Applications of Malliavin calculus to Monte-Carlo methods in finance. II," Finance and Stochastics, Springer, vol. 5(2), pages 201-236.
    5. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
    6. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. Borovička, Jaroslav & Hansen, Lars Peter, 2014. "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
    2. Hansen, Lars Peter, 2013. "Risk Pricing over Alternative Investment Horizons," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1571-1611, Elsevier.
    3. Hyungbin Park, 2021. "Influence of risk tolerance on long-term investments: A Malliavin calculus approach," Papers 2104.00911, arXiv.org.
    4. Hansen, Lars Peter & Sargent, Thomas J., 2021. "Macroeconomic uncertainty prices when beliefs are tenuous," Journal of Econometrics, Elsevier, vol. 223(1), pages 222-250.
    5. Likuan Qin & Vadim Linetsky, 2016. "The Long Bond, Long Forward Measure and Long-Term Factorization in Heath-Jarrow-Morton Models," Papers 1610.00818, arXiv.org, revised Jul 2017.
    6. Borovicka, J. & Hansen, L.P., 2016. "Term Structure of Uncertainty in the Macroeconomy," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1641-1696, Elsevier.
    7. Rick Van der Ploeg & Armon Rezai, 2018. "Climate Policy and Stranded Carbon Assets: A Financial Perspective," OxCarre Working Papers 206, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    8. Hyungbin Park, 2019. "Convergence rates of large-time sensitivities with the Hansen--Scheinkman decomposition," Papers 1912.03404, arXiv.org, revised Jan 2021.
    9. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2019. "Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models," Papers 1912.06948, arXiv.org, revised Dec 2019.
    10. Hyungbin Park, 2018. "Sensitivity analysis of long-term cash flows," Finance and Stochastics, Springer, vol. 22(4), pages 773-825, October.
    11. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
    12. Hyungbin Park, 2015. "Sensitivity Analysis of Long-Term Cash Flows," Papers 1511.03744, arXiv.org, revised Sep 2018.
    13. Likuan Qin & Vadim Linetsky, 2016. "Long-Term Factorization of Affine Pricing Kernels," Papers 1610.00778, arXiv.org, revised Jul 2017.
    14. Hyungbin Park, 2014. "Pricing and Hedging Long-Term Options," Papers 1410.8160, arXiv.org, revised Mar 2016.
    15. Likuan Qin & Vadim Linetsky, 2018. "Long-term factorization in Heath–Jarrow–Morton models," Finance and Stochastics, Springer, vol. 22(3), pages 621-641, July.
    16. Jaroslav Borovička & Lars P. Hansen & Jose A. Scheinkman, 2014. "Shock Elasticities and Impulse Responses," NBER Working Papers 20104, National Bureau of Economic Research, Inc.

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    More about this item

    Keywords

    Markov process; Growth-rate risk; Pricing dynamics; Elasticities; 60J70; 91B28; C52; G12;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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