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Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
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(1994)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Uncertainty (2015)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)Expected stock returns and volatility (1987)Business conditions and expected returns on stocks and bonds (1989)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)A model of unconventional monetary policy (2010)Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870–2008 (2012)Catastrophic Natural Disasters and Economic Growth (2013)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)Introductory Econometrics for Finance (2008)
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References

  • 2009The Impact of Uncertainty Shocks5,941 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
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,148 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
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  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 2009Real-Time Measurement of Business Conditions916 cited
  • 2009Rare Disasters, Asset Prices, and Welfare Costs856 cited
  • 2002A new coincident index of business cycles based on monthly and quarterly series631 cited
  • 2007Estimating Macroeconomic Models: A Likelihood Approach513 cited
  • 2012An Empirical Evaluation of the Long-Run Risks Model for Asset Prices420 cited
  • 2012The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment368 cited
  • 2009

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An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
158 cited
  • 2007Rational Pessimism, Rational Exuberance, and Asset Pricing Models147 cited
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    • 2021Test Assets and Weak Factors51 cited
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    • 2021Asset pricing with heterogeneous agents and long-run risk38 cited
    • 2016Bond Risk Premia in Consumption-based Models28 cited
    • 2019Fearing the Fed: How Wall Street Reads Main Street27 cited
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    • 2025Conditional risk and the pricing kernel24 cited
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