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Time-Varying Risk Premia and the Output Gap · Study

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PreprintTime-Varying Risk Premia and the Output Gap

Ilan Cooper2006

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Preprintgreen2006

Time-Varying Risk Premia and the Output Gap

Ilan Cooper · Richard Priestley

66 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Market Dynamics and Volatility Stock Market Forecasting Methods

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References

1993Discretion versus policy rules in practice 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1997Postwar U.S. Business Cycles: An Empirical Investigation 2006Investor Sentiment and the Cross‐Section of Stock Returns 1982Time to Build and Aggregate Fluctuations 1982Trends and random walks in macroeconmic time series 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1993Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited by

2012The World Business Cycle and Expected Returns 2010International stock return predictability under model uncertainty 2014Resolving the Spanning Puzzle in Macro-Finance Term Structure Models 2006Technological Growth and Asset Pricing 2015The financial econometrics of price discovery and predictability 2010Determinants of Bond Risk Premia

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Predictability of Returns and Cash Flowsreport · 30 shared references 2012The World Business Cycle and Expected Returnsarticle · 28 shared references 2008Time-Varying Risk Premiums and the Output Gaparticle · 27 shared references 2011Predictability of Returns and Cash Flowsreview · 27 shared references 2012The “Fed Model” and the Predictability of Stock Returnsarticle · 25 shared references 2006Reconciling the Return Predictability Evidencepreprint · 22 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations66

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.932949

openalex_workW2087925937

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2021

An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks