SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Long Term Risk: An Operator Approach
16 references·16 citing·41 second hopsampled
Long Term Risk: An Operator Approach (2006)Long Term Risk: An Operator ApproachStochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium (2007)Why Is Long‐Horizon Equity Le…Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)Using Asset Prices to Measure…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)A Quartet of Semigroups for M…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Optimal Consumption and Portfolio Selection with Stochastic Differential Utility (1999)Optimal Consumption and Portf…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes (1993)Back to the Future: Generatin…Stochastic Differential Utility (1992)Stochastic Differential Utili…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…The Term Structure of Currency Carry Trade Risk Premia (2019)The Term Structure of Currenc…Term structures of asset prices and returns (2018)Term structures of asset pric…Risks for the long run: Estimation with time aggregation (2016)Risks for the long run: Estim…Misspecified Recovery (2016)Misspecified RecoveryLinear‐Rational Term Structure Models (2016)Linear‐Rational Term Structur…Generalized Recovery (2015)Generalized RecoveryNobel Lecture: Uncertainty Outside and Inside Economic Models (2014)Nobel Lecture: Uncertainty Ou…How Much Would You Pay to Resolve Long-Run Risk? (2014)How Much Would You Pay to Res…Long-Run Risk and the Persistence of Consumption Shocks (2013)Long-Run Risk and the Persist…Asset Prices with Heterogeneity in Preferences and Beliefs (2013)Asset Prices with Heterogenei…Risk, Return, and Ross Recovery (2012)Risk, Return, and Ross Recove…Understanding, modelling and managing longevity risk: key issues and main challenges (2010)Understanding, modelling and …The Econometrics of Option Pricing (2010)The Econometrics of Option Pr…Fragile beliefs and the price of uncertainty (2010)Fragile beliefs and the price…Asset Prices with Heterogeneity in Preferences and Beliefs (2010)Asset Prices with Heterogenei…The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion (2007)The Effect of Introducing a N…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Brownian Motion and Stochastic Calculus (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Market Expectations in the Cross‐Section of Present Values (2013)Disaster on the horizon: The price effect of sea level rise (2019)An equilibrium characterization of the term structure (1977)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Modeling Term Structures of Defaultable Bonds (1999)The distribution of realized stock return volatility (2001)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 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
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection635 cited
  • 2007Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium506 cited
  • 1993Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes373 cited
  • 2005

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
338 cited
  • 1999Optimal Consumption and Portfolio Selection with Stochastic Differential Utility312 cited
  • Cited by

    • 2010Fragile beliefs and the price of uncertainty221 cited
    • 2013Asset Prices with Heterogeneity in Preferences and Beliefs213 cited
    • 2014How Much Would You Pay to Resolve Long-Run Risk?197 cited
    • 2014Nobel Lecture: Uncertainty Outside and Inside Economic Models152 cited
    • 2016Misspecified Recovery128 cited
    • 2016Risks for the long run: Estimation with time aggregation125 cited
    • 2019The Term Structure of Currency Carry Trade Risk Premia122 cited
    • 2010Understanding, modelling and managing longevity risk: key issues and main challenges122 cited
    • 2010The Econometrics of Option Pricing110 cited
    • 2016Linear‐Rational Term Structure Models108 cited
    • 2010Asset Prices with Heterogeneity in Preferences and Beliefs107 cited
    • 2013Long-Run Risk and the Persistence of Consumption Shocks103 cited
    • 2007The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion102 cited
    • 2012Risk, Return, and Ross Recovery82 cited
    • 2018Term structures of asset prices and returns80 cited
    • 2015Generalized Recovery80 cited