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Sovereign risk premia and global macroeconomic conditions
16 references·1 citing·46 second hop
Sovereign risk premia and global macroeconomic conditions (2022)Sovereign risk premia and global macroeco…Intermediary asset pricing: New evidence from many asset classes (2017)Intermediary asset pricing: N…Measuring Uncertainty (2015)Measuring UncertaintyHow Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure (2010)Macroeconomic Conditions and …Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt (2010)Determinants of Sovereign Ris…Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Default and Recovery Implicit…Default Risk and Income Fluctuations in Emerging Economies (2007)Default Risk and Income Fluct…Capital structure, credit risk, and macroeconomic conditions (2006)Capital structure, credit ris…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…The real term structure and consumption growth (1988)The real term structure and c…Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Debt with Potential Repudiati…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…An explained extreme gradient boosting approach for identifying the time-varying determinants of sovereign risk (2023)An explained extreme gradient…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Maximum Likelihood Methods for Models of Markets in Disequilibrium (1974)Imperfect Information, Uncertainty, and Credit Rationing (1976)Information and the Change in the Paradigm in Economics (2002)Business cycles in emerging economies: the role of interest rates (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Agency Costs, Net Worth, And Business Fluctuations (1988)Credit Cycles (1997)Sovereign Defaults: The Price of Haircuts (2011)Fiscal Fatigue, Fiscal Space and Debt Sustainability in Advanced Economies (2013)Sovereign Default, Domestic Banks, and Financial Institutions (2013)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)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)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)Modeling Term Structures of Defaultable Bonds (1999)Market Liquidity and Funding Liquidity (2008)Risk Matters: The Real Effects of Volatility Shocks (2011)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Policy Uncertainty and Corporate Investment (2015)Measuring Economic Policy Uncertainty* (2016)COVID-Induced Economic Uncertainty (2020)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Option pricing: A simplified approach (1979)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
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  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1981Debt with Potential Repudiation: Theoretical and Empirical Analysis2,611 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 2007Default Risk and Income Fluctuations in Emerging Economies1,288 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
  • 2017Intermediary asset pricing: New evidence from many asset classes792 cited
  • 1988The real term structure and consumption growth703 cited
  • 2006Capital structure, credit risk, and macroeconomic conditions678 cited
  • 2010Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

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564 cited
  • 2010Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt530 cited
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    • 2023An explained extreme gradient boosting approach for identifying the time-varying determinants of sovereign risk17 cited