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An Equilibrium Term Structure Model with Recursive Preferences
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References

  • 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
  • 1996A YIELD‐FACTOR MODEL OF INTEREST RATES2,498 cited
  • 1991Common Factors Affecting Bond Returns1,796 cited
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  • 2002Term Premia and Interest Rate Forecasts in Affine Models1,581 cited
  • 2002Expectation puzzles, time-varying risk premia, and affine models of the term structure754 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2006Autoregressive gamma processes211 cited
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  • 2009An Empirical Evaluation of the Long-Run Risks Model for Asset Prices158 cited
  • 2010Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Risk145 cited
  • 2017Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities?71 cited
  • 2012Stocks, Bonds, and Long-Run Consumption Risks60 cited
  • 2012LONG‐RUN RISKS IN THE TERM STRUCTURE OF INTEREST RATES: ESTIMATION

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  • 2024Concealed carry19 cited