The declining equity premium: What role does macroeconomic risk play?
M Lettau, SC Ludvigson… - The Review of Financial …, 2008 - academic.oup.com
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 …
unprecedented levels in the 1990s. Even today, after the market declines since 2000, they …
[PDF][PDF] Markovian models for sequential data
Y Bengio - Neural computing surveys, 1999 - researchgate.net
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 …
been used successfully in many applications, especially for speech recognition. We rst …
Asset return dynamics under habits and bad environment–good environment fundamentals
G Bekaert, E Engstrom - Journal of Political Economy, 2017 - journals.uchicago.edu
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 …
growth in a consumption-based asset pricing model with external habit formation. The model …
Consumption volatility risk
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 …
volatility is a negatively priced source of risk for a wide variety of test portfolios. At the firm …
Intrinsic bubbles and regime-switching
J Driffill, M Sola - Journal of Monetary Economics, 1998 - Elsevier
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 …
century of annual data for the US, in an attempt to model the widely documented deviations …
A preference regime model of bull and bear markets
S Gordon, P St-Amour - American Economic Review, 2000 - pubs.aeaweb.org
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 …
a risk-averse representative agent with state-and time-separable preferences allocates …
Generalized disappointment aversion, long-run volatility risk, and asset prices
We propose an asset pricing model with generalized disappointment aversion preferences
and long-run volatility risk. With Markov switching fundamentals, we derive closed-form …
and long-run volatility risk. With Markov switching fundamentals, we derive closed-form …
Empirical assessment of an intertemporal option pricing model with latent variables
R Garcia, R Luger, E Renault - Journal of Econometrics, 2003 - Elsevier
This paper assesses the empirical performance of an intertemporal option pricing model
with latent variables which generalizes the Black–Scholes and the stochastic volatility …
with latent variables which generalizes the Black–Scholes and the stochastic volatility …
Indirect inference and calibration of dynamic stochastic general equilibrium models
R Dridi, A Guay, E Renault - Journal of Econometrics, 2007 - Elsevier
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 …
in order to account for calibration practice where dynamic stochastic general equilibrium …
Speculative behavior, regime-switching, and stock market crashes
S Van Norden, H Schaller - Nonlinear time series analysis of economic …, 1999 - Springer
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 …
financial markets. The fact that there are sometimes abrupt changes in asset prices with little …