Aggregate stock prices, relative to virtually any indicator of fundamental value, soared to
unprecedented levels in the 1990s. Even today, after the market declines since 2000, they …

Abstract Hidden Markov Models (HMMs) are statistical models of sequential data that have
been used successfully in many applications, especially for speech recognition. We rst …

We introduce a “bad environment–good environment”(BEGE) technology for consumption
growth in a consumption-based asset pricing model with external habit formation. The model …

We show that time variation in macroeconomic uncertainty affects asset prices. Consumption
volatility is a negatively priced source of risk for a wide variety of test portfolios. At the firm …

Froot and Obstfeld (1991) allow for an intrinsic bubble in stock prices, using approximately a
century of annual data for the US, in an attempt to model the widely documented deviations …

The main proposition of the consumptionbased capital asset pricing model (C-CAPM) is that
a risk-averse representative agent with state-and time-separable preferences allocates …

We propose an asset pricing model with generalized disappointment aversion preferences
and long-run volatility risk. With Markov switching fundamentals, we derive closed-form …

This paper assesses the empirical performance of an intertemporal option pricing model
with latent variables which generalizes the Black–Scholes and the stochastic volatility …

We advocate in this paper the use of a sequential partial indirect inference (SPII) approach,
in order to account for calibration practice where dynamic stochastic general equilibrium …

Stock market crashes have presented a perennial challenge to our understanding of
financial markets. The fact that there are sometimes abrupt changes in asset prices with little …