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Long-Run Risk and the Persistence of Consumption Shocks
16 references·16 citing·44 second hopsampled
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References

  • 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
  • 1989Business conditions and expected returns on stocks and bonds3,934 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 Factors2,425 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1999The Band Pass Filter1,909 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1989Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence1,820 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis1,703 cited
  • 1988Intertemporal Substitution in Consumption1,567 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 2005Bond Risk Premia1,546 cited
  • 1981

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Intertemporal Substitution in Consumption
1,397 cited
  • 2002Limited Asset Market Participation and the Elasticity of Intertemporal Substitution1,011 cited
  • Cited by

    • 2019Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective186 cited
    • 2019Dynamic frequency connectedness between oil and natural gas volatilities111 cited
    • 2021Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications78 cited
    • 2020Asymmetric and time-frequency spillovers among commodities using high-frequency data76 cited
    • 2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness75 cited
    • 2018The scale of predictability62 cited
    • 2017Forecasting stock market returns by summing the frequency-decomposed parts60 cited
    • 2018Forecasting global stock market implied volatility indices58 cited
    • 2023Business-cycle consumption risk and asset prices51 cited
    • 2018Long-Run Wavelet-Based Correlation for Financial Time Series39 cited
    • 2018Frequency Dependent Risk36 cited
    • 2017Measuring systemic risk of the US banking sector in time-frequency domain27 cited
    • 2020Belief Overreaction and Stock Market Puzzles26 cited
    • 2018Stochastic Impatience and the Separation of Time and Risk Preferences7 cited
    • 2023Joint elicitation of elasticity of intertemporal substitution, risk and time preferences3 cited
    • 2025Stochastic impatience and the separation of time and risk preferences3 cited