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Measuring Uncertainty about Long-Run Predictions
16 references·6 citing·44 second hop
Measuring Uncertainty about Long-Run Predictions (2016)Measuring Uncertainty about Long-Run Pred…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…Why Has U.S. Inflation Become Harder to Forecast? (2007)Why Has U.S. Inflation Become…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…Long memory and regime switching (2001)Long memory and regime switch…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…A long memory property of stock market returns and a new model (1993)A long memory property of sto…The equity risk premium a solution (1988)The equity risk premium a sol…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …The Cyclical Component of U. S. Economic Activity (1987)The Cyclical Component of U. …Univariate detrending methods with stochastic trends (1986)Univariate detrending methods…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Measuring “Dark Matter” in Asset Pricing Models (2024)Measuring “Dark Matter” in As…The Social Cost of Carbon: Advances in Long-Term Probabilistic Projections of Population, GDP, Emissions, and Discount Rates (2022)The Social Cost of Carbon: Ad…Biases in long-horizon predictive regressions (2021)Biases in long-horizon predic…Measuring “Dark Matter” in Asset Pricing Models (2019)Measuring “Dark Matter” in As…Modeling Uncertainty in Integrated Assessment of Climate Change: A Multimodel Comparison (2018)Modeling Uncertainty in Integ…Measuring 'Dark Matter' in Asset Pricing Models (2013)Measuring 'Dark Matter' in As…Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)The Equity Premium Puzzle and the Riskfree Rate Puzzle (1989)The Consumption of Stockholders and Non-Stockholders (1990)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Short- Term Interest Rates as Predictors of Inflation (2021)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)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Modelling Extremal Events (1997)Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Chapter 8 Growth Econometrics (2005)Volatility Is Rough (2018)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Risk Matters: The Real Effects of Volatility Shocks (2011)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Institutional causes, macroeconomic symptoms: volatility, crises and growth (2003)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 2007Why Has U.S. Inflation Become Harder to Forecast?1,719 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 1988The equity risk premium a solution1,397 cited
  • 2001Long memory and regime switching1,162 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 2010A Long Memory Property of Stock Market Returns and a New Model981 cited
  • 1986Univariate detrending methods with stochastic trends851 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 1987

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The Cyclical Component of U. S. Economic Activity
741 cited

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  • 2021Biases in long-horizon predictive regressions57 cited
  • 2019Measuring “Dark Matter” in Asset Pricing Models51 cited
  • 2024Measuring “Dark Matter” in Asset Pricing Models28 cited
  • 2013Measuring 'Dark Matter' in Asset Pricing Models28 cited