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Disasters implied by equity index options
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Cited by:
- Gabaix, Xavier & Verdelhan, Adrien & Rancière, Romain & Farhi, Emmanuel & Fraiberger, Samuel P., 2009.
"Crash Risk in Currency Markets,"
CEPR Discussion Papers
7322, C.E.P.R. Discussion Papers.
- Xavier Gabaix & Samuel Fraiberg & Romain Ranciere & Adrien Verdehlha & Emmanuel Farhi, 2010. "Crash Risk in Currency Market," 2010 Meeting Papers 640, Society for Economic Dynamics.
- Emmanuel Farhi & Samuel Fraiberger & Xavier Gabaix & Romain Ranciere & Adrien Verdelhan, 2015. "Crash Risk in Currency Markets," Working Paper 20948, Harvard University OpenScholar.
- Emmanuel Farhi & Samuel Paul Fraiberger & Xavier Gabaix & Romain Ranciere & Adrien Verdelhan, 2009. "Crash Risk in Currency Markets," NBER Working Papers 15062, National Bureau of Economic Research, Inc.
- Hansen, Lars Peter, 2013.
"Uncertainty Outside and Inside Economic Models,"
Nobel Prize in Economics documents
2013-7, Nobel Prize Committee.
- Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," Working Papers 2014-06, Becker Friedman Institute for Research In Economics.
- Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
- Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014.
"Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty,"
Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
- Feunou, Bruno & Fontaine, Jean-Sébastien & Tédongap, Roméo, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics we1144, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers 12-11, Bank of Canada.
- Chowdhury, Rajib & Doukas, John A. & Mandal, Sonik, 2023. "CEO risk preferences, hedging intensity, and firm value," Journal of International Money and Finance, Elsevier, vol. 130(C).
- Nicole Branger & Patrick Konermann & Christoph Meinerding & Christian Schlag, 2021.
"Equilibrium Asset Pricing in Directed Networks [Risk premia and term premia in general equilibrium],"
Review of Finance, European Finance Association, vol. 25(3), pages 777-818.
- Branger, Nicole & Konermann, Patrick & Meinerding, Christoph & Schlag, Christian, 2018. "Equilibrium asset pricing in directed networks," Discussion Papers 37/2018, Deutsche Bundesbank.
- Branger, Nicole & Konermann, Patrick & Meinerding, Christoph & Schlag, Christian, 2020. "Equilibrium asset pricing in directed networks," SAFE Working Paper Series 74, Leibniz Institute for Financial Research SAFE, revised 2020.
- Gluzberg, Victor E. & Katz, Yuri A., 2019. "Planetary boundaries of consumption growth: Declining social discount rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 362-374.
- Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022.
"Exchange Rates and Sovereign Risk,"
Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
- Sarno, Lucio & Della Corte, Pasquale & Schmeling, Maik & Wagner, Christian, 2021. "Exchange Rates and Sovereign Risk," CEPR Discussion Papers 16058, C.E.P.R. Discussion Papers.
- Albert S. (Pete) & Karamfil Todorov, 2023. "The cumulant risk premium," BIS Working Papers 1128, Bank for International Settlements.
- João F Gomes & Marco Grotteria & Jessica A Wachter, 2019.
"Cyclical Dispersion in Expected Defaults,"
The Review of Financial Studies, Society for Financial Studies, vol. 32(4), pages 1275-1308.
- João F. Gomes & Marco Grotteria & Jessica A. Wachter, 2017. "Cyclical Dispersion in Expected Defaults," NBER Working Papers 23704, National Bureau of Economic Research, Inc.
- François Gourio, 2013.
"Credit Risk and Disaster Risk,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
- Francois Gourio, 2010. "Credit risk and Disaster risk," 2010 Meeting Papers 112, Society for Economic Dynamics.
- Francois Gourio, 2011. "Credit Risk and Disaster Risk," NBER Working Papers 17026, National Bureau of Economic Research, Inc.
- Gourio, Francois, 2011. "Credit Risk and Disaster Risk," CEPR Discussion Papers 8201, C.E.P.R. Discussion Papers.
- François Gourio, 2012. "Credit risk and disaster risk," Working Paper Series WP-2012-07, Federal Reserve Bank of Chicago.
- Pratish Patel & Andrew Raquel & Savannah Chadwick, 2024. "The cash-secured put-write strategy and the variance risk premium," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 31-50, February.
- Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
- David Berger & Ian Dew-Becker & Stefano Giglio, 2020.
"Uncertainty Shocks as Second-Moment News Shocks,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(1), pages 40-76.
- David Berger & Ian Dew-Becker & Stefano Giglio, 2017. "Uncertainty Shocks as Second-Moment News Shocks," NBER Working Papers 23796, National Bureau of Economic Research, Inc.
- Stefano Giglio & Ian Dew-Becker & David Berger, 2017. "Uncertainty Shocks as Second-Moment News Shocks," 2017 Meeting Papers 403, Society for Economic Dynamics.
- Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
- Marfè, Roberto & Pénasse, Julien, 2024.
"Measuring macroeconomic tail risk,"
Journal of Financial Economics, Elsevier, vol. 156(C).
- Roberto Marfè & Julien Pénasse, 2020. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 621, Collegio Carlo Alberto.
- Roberto Marfe & Julien Penasse, 2024. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 715 JEL Classification: E, Collegio Carlo Alberto.
- Jerry Tsai & Jessica A. Wachter, 2015. "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers 20926, National Bureau of Economic Research, Inc.
- Bidder, R.M. & Smith, M.E., 2018.
"Doubts and variability: A robust perspective on exotic consumption series,"
Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
- Rhys M. Bidder & Matthew E. Smith, 2013. "Doubts and Variability: A Robust Perspective on Exotic Consumption Series," Working Paper Series 2013-28, Federal Reserve Bank of San Francisco.
- Sönksen, Jantje & Grammig, Joachim, 2021.
"Empirical asset pricing with multi-period disaster risk: A simulation-based approach,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.
- Sönksen, Jantje & Grammig, Joachim, 2020. "Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR), revised 2020.
- Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018.
"Term structures of asset prices and returns,"
Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
- David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
- David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
- Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.
- David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2017.
"Measuring Systemic Risk,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(1), pages 2-47.
- Viral V. Acharya & Christian Brownlees & Robert Engle & Farhang Farazmand & Matthew Richardson, 2013. "Measuring Systemic Risk," World Scientific Book Chapters, in: Oliviero Roggi & Edward I Altman (ed.), Managing and Measuring Risk Emerging Global Standards and Regulations After the Financial Crisis, chapter 3, pages 65-98, World Scientific Publishing Co. Pte. Ltd..
- Viral V. Acharya, 2011. "Measuring Systemic Risk," World Scientific Book Chapters, in: Stijn Claessens & Douglas D Evanoff & George G Kaufman & Laura E Kodres (ed.), Macroprudential Regulatory Policies The New Road to Financial Stability?, chapter 10, pages 133-143, World Scientific Publishing Co. Pte. Ltd..
- Viral V. Acharya & Lasse H. Pedersen & Thomas Philippon & Matthew Richardson, 2010. "Measuring systemic risk," Working Papers (Old Series) 1002, Federal Reserve Bank of Cleveland.
- Richardson, Matthew P & Philippon, Thomas & Acharya, Viral & Pedersen, Lasse Heje, 2012. "Measuring Systemic Risk," CEPR Discussion Papers 8824, C.E.P.R. Discussion Papers.
- Viral V. Acharya, 2010. "Measuring systemic risk," Proceedings 1140, Federal Reserve Bank of Chicago.
- Chipeniuk, Karsten O. & Walker, Todd B., 2021. "Forward inflation expectations: Evidence from inflation caps and floors," Journal of Macroeconomics, Elsevier, vol. 70(C).
- Lars Peter Hansen, 2014. "Nobel Lecture: Uncertainty Outside and Inside Economic Models," Journal of Political Economy, University of Chicago Press, vol. 122(5), pages 945-987.
- Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Christian Gollier, 2012.
"Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes,"
CESifo Working Paper Series
4052, CESifo.
- Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers 754, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2015.
- Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," LERNA Working Papers 12.28.385, LERNA, University of Toulouse.
- Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2012.
"Rare Disasters and Risk Sharing with Heterogeneous Beliefs,"
The Review of Financial Studies, Society for Financial Studies, vol. 25(7), pages 2189-2224.
- Hui Chen & Scott Joslin & Ngoc-Khanh Tran, 2010. "Rare Disasters and Risk Sharing with Heterogeneous Beliefs," NBER Working Papers 16035, National Bureau of Economic Research, Inc.
- Christian Julliard & Anisha Ghosh, 2012.
"Can Rare Events Explain the Equity Premium Puzzle?,"
The Review of Financial Studies, Society for Financial Studies, vol. 25(10), pages 3037-3076.
- Anisha Ghosh & Christian Julliard, 2008. "Can Rare Events Explain the Equity Premium Puzzle?," FMG Discussion Papers dp610, Financial Markets Group.
- Anisha Ghosh & Christian Julliard, 2008. "Can Rare Events Explain the Equity Premium Puzzle?," 2008 Meeting Papers 1090, Society for Economic Dynamics.
- Julliard, Christian & Ghosh, Anisha, 2012. "Can Rare Events Explain the Equity Premium Puzzle?," CEPR Discussion Papers 8899, C.E.P.R. Discussion Papers.
- Julliard, Christian & Ghosh, Anisha, 2008. "Can rare events explain the equity premium puzzle?," LSE Research Online Documents on Economics 4808, London School of Economics and Political Science, LSE Library.
- Tjeerd de Vries, 2021. "A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models," Papers 2105.08208, arXiv.org, revised Oct 2023.
- Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, vol. 105(1), pages 191-208.
- Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022.
"Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models,"
Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
- Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2020. "Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," PIER Working Paper Archive 20-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Yang-Ho Park, 2013. "Volatility of volatility and tail risk premiums," Finance and Economics Discussion Series 2013-54, Board of Governors of the Federal Reserve System (U.S.).
- Hanno Lustig & Adrien Verdelhan, 2019. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," American Economic Review, American Economic Association, vol. 109(6), pages 2208-2244, June.
- Ian W R Martin & Robert S Pindyck, 2021.
"Welfare Costs of Catastrophes: Lost Consumption and Lost Lives,"
The Economic Journal, Royal Economic Society, vol. 131(634), pages 946-969.
- Ian W.R. Martin & Robert S. Pindyck, 2019. "Welfare Costs of Catastrophes: Lost Consumption and Lost Lives," NBER Working Papers 26068, National Bureau of Economic Research, Inc.
- Ian W. R. Martin & Robert S. Pindyck, 2020. "Welfare Costs of Catastrophes: Lost Consumption and Lost Lives," Working Papers 2020.27, Fondazione Eni Enrico Mattei.
- Martin, Ian W. R. & Pindyck, Robert S., 2020. "Welfare Costs of Catastrophes: Lost Consumption and Lost Lives," 2030 Agenda 308023, Fondazione Eni Enrico Mattei (FEEM).
- Martin, Ian & Pindyck, R. S., 2020. "Welfare costs of catastrophes: lost consumption and lost lives," LSE Research Online Documents on Economics 106200, London School of Economics and Political Science, LSE Library.
- David Backus & Mikhail Chernov & Stanley Zin, 2014.
"Sources of Entropy in Representative Agent Models,"
Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, February.
- Backus, David & Zin, Stanley E. & Chernov, Mikhail, 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers 8488, C.E.P.R. Discussion Papers.
- David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- David Backus & Mikhail Chernov & Stanley E. Zin, 2011. "Sources of Entropy in Representative Agent Models," NBER Working Papers 17219, National Bureau of Economic Research, Inc.
- Bryan Kelly & Ľuboš Pástor & Pietro Veronesi, 2016.
"The Price of Political Uncertainty: Theory and Evidence from the Option Market,"
Journal of Finance,
American Finance Association, vol. 71(5), pages 2417-2480, October.
- Bryan Kelly & Lubos Pastor & Pietro Veronesi, 2014. "The Price of Political Uncertainty: Theory and Evidence from the Option Market," NBER Working Papers 19812, National Bureau of Economic Research, Inc.
- Bryan T. Kelly & Lubos Pastor & Pietro Veronesi, 2014. "The Price of Political Uncertainty: Theory and Evidence from the Option Market," Working Papers 2014-001, Becker Friedman Institute for Research In Economics.
- Kelly, Bryan & Pástor, Luboš & Veronesi, Pietro, 2014. "The Price of Political Uncertainty: Theory and Evidence from the Option Market," CEPR Discussion Papers 9822, C.E.P.R. Discussion Papers.
- Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
- Caio Almeida & René Garcia, 2017. "Economic Implications of Nonlinear Pricing Kernels," Management Science, INFORMS, vol. 63(10), pages 3361-3380, October.
- Gandhi, Priyank & Lustig, Hanno & Plazzi, Alberto, 2016.
"Equity Is Cheap for Large Financial Institutions: The International Evidence,"
Research Papers
3454, Stanford University, Graduate School of Business.
- Priyank Gandhi & Hanno Lustig & Alberto Plazzi, 2016. "Equity is Cheap for Large Financial Institutions: The International Evidence," NBER Working Papers 22355, National Bureau of Economic Research, Inc.
- Priyank Gandhi & Hanno N. Lustig & Alberto Plazzi, 2016. "Equity is Cheap for Large Financial Institutions: The International Evidence," Swiss Finance Institute Research Paper Series 16-22, Swiss Finance Institute, revised Jun 2016.
- Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
- Gollier, Christian, 2016.
"Evaluation of long-dated assets: The role of parameter uncertainty,"
Journal of Monetary Economics, Elsevier, vol. 84(C), pages 66-83.
- Gollier, Christian, 2012. "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers 12-361, Toulouse School of Economics (TSE), revised Sep 2015.
- Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Yuya Sasaki & Yulong Wang, 2022.
"Fixed-k Inference for Conditional Extremal Quantiles,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 829-837, April.
- Yuya Sasaki & Yulong Wang, 2019. "Fixed-k Inference for Conditional Extremal Quantiles," Papers 1909.00294, arXiv.org, revised Jul 2020.
- Pascal Albert & Michael Herold & Matthias Muck, 2023. "Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(12), pages 1807-1835, December.
- Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2016.
"Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees,"
American Economic Review, American Economic Association, vol. 106(6), pages 1278-1319, June.
- Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," NBER Working Papers 17149, National Bureau of Economic Research, Inc.
- Van Nieuwerburgh, Stijn & Lustig, Hanno & Kelly, Bryan, 2012. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," CEPR Discussion Papers 9023, C.E.P.R. Discussion Papers.
- Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," 2011 Meeting Papers 1285, Society for Economic Dynamics.
- Ian W. R. Martin & Robert S. Pindyck, 2015.
"Averting Catastrophes: The Strange Economics of Scylla and Charybdis,"
American Economic Review, American Economic Association, vol. 105(10), pages 2947-2985, October.
- 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.
- Martin, Ian & Pindyck, R. S., 2015. "Averting catastrophes: the strange economics of Scylla and Charybdis," LSE Research Online Documents on Economics 62139, London School of Economics and Political Science, LSE Library.
- Pindyck, Robert S. & Martin, Ian, 2015. "Averting Catastrophes: The Strange Economics of Scylla and Charybdis," CEPR Discussion Papers 10730, C.E.P.R. Discussion Papers.
- Gourio, François & Siemer, Michael & Verdelhan, Adrien, 2013.
"International risk cycles,"
Journal of International Economics, Elsevier, vol. 89(2), pages 471-484.
- François Gourio & Michael Siemer & Adrien Verdelhan, 2011. "International Risk Cycles," NBER Working Papers 17277, National Bureau of Economic Research, Inc.
- Robert Ready & Nikolai Roussanov & Colin Ward, 2017.
"Commodity Trade and the Carry Trade: A Tale of Two Countries,"
Journal of Finance, American Finance Association, vol. 72(6), pages 2629-2684, December.
- Nikolai Roussanov & Robert Ready, 2012. "Commodity Trade and the Carry Trade: a Tale of Two Countries," 2012 Meeting Papers 817, Society for Economic Dynamics.
- Robert Ready & Nikolai Roussanov & Colin Ward, 2013. "Commodity Trade and the Carry Trade: a Tale of Two Countries," NBER Working Papers 19371, National Bureau of Economic Research, Inc.
- Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022.
"Peso problems in the estimation of the C‐CAPM,"
Quantitative Economics, Econometric Society, vol. 13(1), pages 259-313, January.
- Schrimpf, Paul & Parra-Alvarez, Juan Carlos & Posch, Olaf, 2021. "Peso Problems in the Estimation of the C-CAPM," CEPR Discussion Papers 16299, C.E.P.R. Discussion Papers.
- Jerry Tsai & Jessica A. Wachter, 2014. "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers 20062, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2018.
"Crash Risk in Currency Returns,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 137-170, February.
- Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
- Lewis, Karen K. & Liu, Edith X., 2017.
"Disaster risk and asset returns: An international perspective,"
Journal of International Economics, Elsevier, vol. 108(S1), pages 42-58.
- Karen K. Lewis & Edith X. Liu, 2016. "Disaster Risk and Asset Returns: An International Perspective," NBER Chapters, in: NBER International Seminar on Macroeconomics 2016, National Bureau of Economic Research, Inc.
- Karen K. Lewis & Edith X. Liu, 2017. "Disaster Risk and Asset Returns: An International Perspective," NBER Working Papers 23065, National Bureau of Economic Research, Inc.
- Karen K. Lewis & Edith X. Liu, 2017. "Disaster Risk and Asset Returns : An International Perspective," International Finance Discussion Papers 1199, Board of Governors of the Federal Reserve System (U.S.).
- Ron Kaniel & Péter Kondor, 2013.
"The Delegated Lucas Tree,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(4), pages 929-984.
- Kaniel, Ron & Kondor, Péter, 2011. "The delegated Lucas tree," CEPR Discussion Papers 8578, C.E.P.R. Discussion Papers.
- Péter Kondor & Ron Kaniel, 2011. "The delegated Lucas tree," 2011 Meeting Papers 580, Society for Economic Dynamics.
- Corsetti, G. & Lipińska, A. & Lombardo, G., 2024. "International Risk Sharing and Wealth Allocation with Higher Order Cumulants," Janeway Institute Working Papers 2422, Faculty of Economics, University of Cambridge.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023.
"The Variance Risk Premium in Equilibrium Models,"
Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020. "The Variance Risk Premium in Equilibrium Models," NBER Working Papers 27108, National Bureau of Economic Research, Inc.
- Robert J. Barro & Gordon Y. Liao, 2016.
"Options-Pricing Formula with Disaster Risk,"
NBER Working Papers
21888, National Bureau of Economic Research, Inc.
- Robert J. Barro & Gordon Liao, 2017. "Option-pricing formula with disaster risk," AEI Economics Working Papers 966780, American Enterprise Institute.
- Ian Martin, 2017.
"What is the Expected Return on the Market?,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 132(1), pages 367-433.
- Martin, Ian, 2015. "What is the Expected Return on the Market?," CEPR Discussion Papers 10715, C.E.P.R. Discussion Papers.
- Martin, Ian, 2016. "What is the expected return on the market?," LSE Research Online Documents on Economics 119013, London School of Economics and Political Science, LSE Library.
- Martin, Ian, 2017. "What is the expected return on the market?," LSE Research Online Documents on Economics 67036, London School of Economics and Political Science, LSE Library.
- Martin, Ian, 2018.
"Options and the Gamma Knife,"
LSE Research Online Documents on Economics
88077, London School of Economics and Political Science, LSE Library.
- Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
- Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
- Adrien Verdelhan & Hanno Lustig, 2016.
"Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?,"
2016 Meeting Papers
1183, Society for Economic Dynamics.
- Hanno Lustig & Adrien Verdelhan, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," NBER Working Papers 22023, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Verdelhan, Adrien, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," Research Papers 3412, Stanford University, Graduate School of Business.
- Bianchi, Francesco, 2020.
"The Great Depression and the Great Recession: A view from financial markets,"
Journal of Monetary Economics, Elsevier, vol. 114(C), pages 240-261.
- Francesco Bianchi, 2015. "The Great Depression and the Great Recession: A View from Financial Markets," NBER Working Papers 21056, National Bureau of Economic Research, Inc.
- Schneider, Paul, 2015.
"Generalized risk premia,"
Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
- Paul SCHNEIDER, 2014. "Generalized Risk Premia," Swiss Finance Institute Research Paper Series 14-29, Swiss Finance Institute.
- Luo, Lanlan & Zou, Ziran & Chen, Shou, 2021. "Discounting for public-private partnership projects in China," Economic Modelling, Elsevier, vol. 98(C), pages 218-226.
- Qunzi Zhang, 2021. "One hundred years of rare disaster concerns and commodity prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1891-1915, December.
- Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
- Carbajal-De-Nova, Carolina & Venegas-Martínez, Francisco, 2019. "On the paradigm shift of asset pricing models, before and after the global financial crisis: a literature review," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 15(29), pages 7-38, Primer se.
- Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017.
"The price of variance risk,"
Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
- Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
- Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100614, Verein für Socialpolitik / German Economic Association.
- Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
- Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph, 2013. "Asset pricing under uncertainty about shock propagation," SAFE Working Paper Series 34, Leibniz Institute for Financial Research SAFE.
- Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
- Nolte, Ingmar & Xu, Qi, 2015. "The economic value of volatility timing with realized jumps," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 45-59.
- Puhl, Martin & Savor, Pavel & Wilson, Mungo, 2024. "Uncertainty premia for small and large risks," Journal of Banking & Finance, Elsevier, vol. 167(C).
- 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 - Economics Institute, Prague.
- Jozef Barunik & Michael Ellington, 2020. "Dynamic Network Risk," Papers 2006.04639, arXiv.org, revised Jul 2020.
- Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
- Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017.
"The cross-section and time series of stock and bond returns,"
Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
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