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Term Structure of Risk in Expected Returns
16 references·0 citing·47 second hopsampled
Term Structure of Risk in Expected Returns (2021)Term Structure of Risk in Expected ReturnsCan 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…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Nominal Rigidities and the Dy…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Handbook of macroeconomics (1999)Handbook of macroeconomicsImpulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…A Variance Decomposition for Stock Returns (1990)A Variance Decomposition for …The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Macroeconomics and Reality (1980)Macroeconomics and RealityAggregate Dynamics and Staggered Contracts (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)Stochastic Simulation (1987)How Big Is the Random Walk in GNP? (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Postwar U.S. Business Cycles: An Empirical Investigation (1997)The equity premium: A puzzle (1985)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Business conditions and expected returns on stocks and bonds (1989)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)Staggered prices in a utility-maximizing framework (1983)Staggered Prices in a Utility-Maximizing Framework (1996)The Science of Monetary Policy: A New Keynesian Perspective (1999)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Impact of Uncertainty Shocks (2009)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Option pricing when underlying stock returns are discontinuous (1976)On estimating the expected return on the market (1980)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The Cross‐Section of Volatility and Expected Returns (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 2005Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy6,239 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 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
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,443 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1990A Variance Decomposition for Stock Returns1,805 cited
  • 2003The Impact of Jumps in Volatility and Returns1,525 cited
  • 1999Handbook of macroeconomics1,397 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability1,257 cited
  • 2012Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *1,059 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns1,016 cited
  • 2013Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?

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  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
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