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The Term Structures of Coentropy in International Financial Markets
16 references·3 citing·45 second hop
The Term Structures of Coentropy in International Financial Markets (2018)The Term Structures of Coentropy in Inter…Currency Risk Factors in a Recursive Multicountry Economy (2018)Currency Risk Factors in a Re…Valuation Risk and Asset Pricing (2016)Valuation Risk and Asset Pric…Currency Premia and Global Imbalances (2016)Currency Premia and Global Im…Rare Disasters and Exchange Rates * (2015)Rare Disasters and Exchange R…Sources of Entropy in Representative Agent Models (2013)Sources of Entropy in Represe…Risks for the Long Run and the Real Exchange Rate (2011)Risks for the Long Run and th…A Habit‐Based Explanation of the Exchange Rate Risk Premium (2010)A Habit‐Based Explanation of …Long-Term Risk: An Operator Approach (2008)Long-Term Risk: An Operator A…Consumption Strikes Back? Measuring Long‐Run Risk (2008)Consumption Strikes Back? Mea…Asset Prices and Exchange Rates (2007)Asset Prices and Exchange Rat…Rare Disasters and Asset Markets in the Twentieth Century* (2006)Rare Disasters and Asset Mark…International risk sharing is better than you think, or exchange rates are too smooth (2006)International risk sharing is…Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)Using Asset Prices to Measure…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …Stock Return Asymmetry in China (2020)Stock Return Asymmetry in Chi…Term Structures of Asset Prices and Returns (2016)Term Structures of Asset Pric…The Term Structure of Currency Carry Trade Risk Premia (2013)The Term Structure of Currenc…Common risk factors in the returns on stocks and bonds (1993)Discretion versus policy rules in practice (1993)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Common Risk Factors in Currency Markets (2011)Carry Trades and Global Foreign Exchange Volatility (2012)International Liquidity and Exchange Rate Dynamics * (2015)Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)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)The Cross-Section of Expected Stock Returns (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Market Expectations in the Cross‐Section of Present Values (2013)Disaster on the horizon: The price effect of sea level rise (2019)Trends and random walks in macroeconmic time series (1982)Long-Run Risk through Consumption Smoothing (2010)Disasters Implied by Equity Index Options (2011)Innovation, Growth, and Asset Prices (2015)A Theory of the Term Structure of Interest Rates (1985)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Crises and Recoveries in an Empirical Model of Consumption Disasters (2013)Microeconomic Origins of Macroeconomic Tail Risks (2016)Financial Intermediation, International Risk Sharing, and Reserve Currencies (2017)Catastrophic Natural Disasters and Economic Growth (2013)Measuring Systemic Risk (2016)American Economic Review (2019)Forward and spot exchange rates (1984)Foundations of International Macroeconomics (1997)Global Currency Hedging (2010)Home Bias in Open Economy Financial Macroeconomics (2011)On the Principles of Political Economy, and Taxation (2014)Downside and upside risk spillovers between exchange rates and stock prices (2015)Countercyclical currency risk premia (2013)Long-run productivity risk: A new hope for production-based asset pricing? (2014)International Currencies and Capital Allocation (2019)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)
this work references cited by second hop

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
  • 2006Rare Disasters and Asset Markets in the Twentieth Century*2,324 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 2008Consumption Strikes Back? Measuring Long‐Run Risk753 cited
  • 2010A Habit‐Based Explanation of the Exchange Rate Risk Premium484 cited
  • 2015Rare Disasters and Exchange Rates *436 cited
  • 2011Risks for the Long Run and the Real Exchange Rate383 cited
  • 2005Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth338 cited
  • 2007Asset Prices and Exchange Rates328 cited
  • 2006International risk sharing is better than you think, or exchange rates are too smooth319 cited
  • 2008Long-Term Risk: An Operator Approach264 cited
  • 2016Currency Premia and Global Imbalances208 cited
  • 2016Valuation Risk and Asset Pricing168 cited
  • 2013Sources of Entropy in Representative Agent Models145 cited

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2018
Currency Risk Factors in a Recursive Multicountry Economy
138 cited

Cited by

  • 2013The Term Structure of Currency Carry Trade Risk Premia26 cited
  • 2016Term Structures of Asset Prices and Returns25 cited
  • 2020Stock Return Asymmetry in China24 cited