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Dynamic Valuation Decomposition Within Stochastic Economies
16 references·16 citing·44 second hopsampled
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 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
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1960Stationary Ordinal Utility and Impatience1,550 cited
  • 1988The equity risk premium a solution1,397 cited
  • 2004Bad Beta, Good Beta1,167 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1987The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

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980 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • Cited by

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    • 2011Sources of Entropy in Representative Agent Models71 cited
    • 2014Uncertainty Outside and Inside Economic Models64 cited
    • 2015Rare Booms and Disasters in a Multisector Endowment Economy59 cited
    • 2020Model‐Free International Stochastic Discount Factors55 cited
    • 2016Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing53 cited
    • 2012On the Valuation of Long-Dated Assets51 cited
    • 2017Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns50 cited
    • 2014Recovery with Unbounded Diffusion Processes46 cited
    • 2014Shock elasticities and impulse responses45 cited
    • 2014Empirical Asset Pricing: Eugene Fama, Lars Peter Hansen, and Robert Shiller43 cited
    • 2012An Intertemporal CAPM with Stochastic Volatility39 cited
    • 2018Frequency Dependent Risk36 cited
    • 2024Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty35 cited
    • 2017Model-Free International Stochastic Discount Factors35 cited