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We investigate how the spectral risk measure associated with holding stocks rather than a risk-free deposit, depends on … the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock … price follows specific processes, spectral risk becomes negative at long periods. We generalize this result for arbitrary …
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This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...
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