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Macroeconomic uncertainty prices when beliefs are tenuous

Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of econometrics 223 (2021) 1, pp. 222-250

Persistent link: https://www.econbiz.de/10012619969

Twisted probabilities, uncertainty, and prices

Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; … - In: Journal of econometrics 216 (2020) 1, pp. 151-174

Persistent link: https://www.econbiz.de/10012439662

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

Persistent link: https://www.econbiz.de/10011756113

Residual risk revisited

Lehmann, Bruce Neal - In: Journal of econometrics 45 (1990) 1, pp. 71-92

Persistent link: https://www.econbiz.de/10001332079

The cross-section of risk and return

Daniel, Kent; Mota, Lira; Rottke, Simon; Santos, Tano - 2017

Persistent link: https://www.econbiz.de/10011789209

Application of volatility-managed portfolios in the context of a volatility index

Subramanian, Abhishek; Kayal, Parthajit - 2023

Persistent link: https://www.econbiz.de/10014375126

Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management

So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167

Persistent link: https://www.econbiz.de/10013441642

Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

Persistent link: https://www.econbiz.de/10011410917

Environmental, social, and governance criteria : why investors are paying attention

Jagannathan, Ravi; Ravikumar, Ashwin; Sammon, Marco - 2017

Persistent link: https://www.econbiz.de/10011782640

Downside risk and the momentum effect

Ang, Andrew; Chen, Joseph; Xing, Yuhang - 2001

Persistent link: https://www.econbiz.de/10001632872

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