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The role of time‐varying rare disaster risks in predicting bond returns and volatility
16 references·0 citing·41 second hop
The role of time‐varying rare disaster risks in predicting bond returns and volatility (2018)The role of time‐varying rare disaster ri…Measuring Geopolitical Risk (2018)Measuring Geopolitical RiskNews implied volatility and disaster concerns (2016)News implied volatility and d…Rare Disasters and Exchange Rates * (2015)Rare Disasters and Exchange R…Forecasting Stock Returns (2013)Forecasting Stock ReturnsCrises and Recoveries in an Empirical Model of Consumption Disasters (2013)Crises and Recoveries in an E…Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Can Time‐Varying Risk of Rare…Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Variable Rare Disasters: An E…Disaster Risk and Business Cycles (2012)Disaster Risk and Business Cy…Rare Disasters, Asset Prices, and Welfare Costs (2009)Rare Disasters, Asset Prices,…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…A new statistic and practical guidelines for nonparametric Granger causality testing (2006)A new statistic and practical…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns (2004)News Arrival, Jump Dynamics, …A test for independence based on the correlation dimension (1996)A test for independence based…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…The equity risk premium a solution (1988)The equity risk premium a sol…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)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)Short- Term Interest Rates as Predictors of Inflation (2021)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Market Liquidity and Trading Activity (2001)Prospect theory: An analysis of decision under risk (1988)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Tails, Fears, and Risk Premia (2011)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Presidential Address: Discount Rates (2011)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)A Theory of the Term Structure of Interest Rates (1985)Tail Risk and Asset Prices (2014)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Impact of Uncertainty Shocks (2009)Financial crises, bank risk exposure and government financial policy (2012)Coronavirus pandemic and tourism: Dynamic stochastic general equilibrium modeling of infectious disease outbreak (2020)Option pricing when underlying stock returns are discontinuous (1976)Specification Tests in Econometrics (1978)Model Specification and Risk Premia: Evidence from Futures Options (2007)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Numerical solution of stochastic differential equations (2016)Finance and Economics Discussion Series (2022)Causality detection based on information-theoretic approaches in time series analysis (2007)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)Wavelet-based test of co-movement and causality between oil and renewable energy stock prices (2016)On the Long-Run Evolution of Inheritance: France 1820–2050 * (2011)An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2012)The Social Cost of Carbon with Economic and Climate Risks (2018)
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References

  • 1996A test for independence based on the correlation dimension3,526 cited
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,495 cited
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  • 2012Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *1,059 cited
  • 2006A new statistic and practical guidelines for nonparametric Granger causality testing962 cited
  • 2013Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?914 cited
  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
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  • 2018Measuring Geopolitical Risk596 cited
  • 2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns561 cited
  • 2015Rare Disasters and Exchange Rates *436 cited

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2013
Crises and Recoveries in an Empirical Model of Consumption Disasters
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