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Risks for the long run: Estimation with time aggregation
16 references·16 citing·39 second hopsampled
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1981Intertemporal Substitution in Consumption1,397 cited
  • 1996Finite-Sample Properties of Some Alternative GMM Estimators1,277 cited
  • 1991Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models926 cited
  • 1989The Equity Premium Puzzle and the Riskfree Rate Puzzle922 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 2000Risk-sensitive real business cycles670 cited
  • 2005Consumption Risk and the Cross Section of Expected Returns581 cited
  • 2005Consumption, Dividends, and the Cross Section of Equity Returns570 cited

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  • 2012An Empirical Evaluation of the Long-Run Risks Model for Asset Prices420 cited
  • Cited by

    • 2019Uncertainty Shocks as Second-Moment News Shocks226 cited
    • 2016Parameter Learning in General Equilibrium: The Asset Pricing Implications213 cited
    • 2022Volatility Expectations and Returns114 cited
    • 2019Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty110 cited
    • 2013Long-Run Risk and the Persistence of Consumption Shocks103 cited
    • 2020Review Article: Perspectives on the Future of Asset Pricing100 cited
    • 2014Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach78 cited
    • 2018BKK the EZ Way: International Long-Run Growth News and Capital Flows63 cited
    • 2021Late to Recessions: Stocks and the Business Cycle52 cited
    • 2019Measuring “Dark Matter” in Asset Pricing Models51 cited
    • 2022Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks48 cited
    • 2014A Unifying Approach to the Empirical Evaluation of Asset Pricing Models46 cited
    • 2020Rare events and long-run risks40 cited
    • 2021Asset pricing with heterogeneous agents and long-run risk38 cited
    • 2019Empirical evidence on the Euler equation for consumption in the US32 cited
    • 2024Measuring “Dark Matter” in Asset Pricing Models28 cited