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ArticleTime-series predictability in the disaster model

François Gourio2008

Article2008

Time-series predictability in the disaster model

François Gourio

68 citations·0/0 files stored·Finance research letters

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1985The equity premium: A puzzle 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 2006Rare Disasters and Asset Markets in the Twentieth Century*1993Understanding Risk and Return 1999Predictive regressions 1988The equity risk premium a solution

Cited by

2018Time-varying rare disaster risks, oil returns and volatility 2010Disaster Risk and Business Cycles 2015Rare Booms and Disasters in a Multisector Endowment Economy 2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees 2014Learning about Rare Disasters: Implications For Consumption and Asset Prices 2017Upper Bounds on Return Predictability

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Details

Year2008

Typearticle

Published2008-09-14

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations68

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.frl.2008.08.005

openalex_workW2097085181

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2011

Advances in Consumption-Based Asset Pricing: Empirical Tests

2010Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation