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Affine Disagreement and Asset Pricing

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References

2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
1988The equity risk premium a solution1,397 cited
2012Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *1,059 cited
2013Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?914 cited
2009Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility428 cited
2005Asset pricing with heterogeneous beliefs311 cited
2004Corporate earnings and the equity premium217 cited
2010Rare Disasters and Risk Sharing with Heterogeneous Beliefs171 cited
2012Generalized Transform Analysis of Affine Processes and Applications in Finance60 cited
2008Variable Rare Disasters: An Exactly Solved Model for Ten Puzzles in Macro-Finance59 cited

Cited by

2017Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement22 cited

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