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Long-Run Risk and Rare Disasters: Quo Vadis Asset Pricing?

https://doi.org/10.2139/ssrn.5013573
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Habit formation: a resolution of the equity premium puzzle?
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Business Cycles, Regime Shifts, and Return Predictability
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Which Moments to Match?
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Risk of multiple interacting tipping points should encourage rapid CO2 emission reduction
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Revisiting the social cost of carbon
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Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
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Intertemporal Substitution in Consumption
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Habit Formation: A Resolution of the Equity Premium Puzzle
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Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
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Bond Yields and the Federal Reserve
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Risks for the Long Run and the Real Exchange Rate
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Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
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Rare Disasters and Exchange Rates *
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Asset Pricing Tests with Long-run Risks in Consumption Growth
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The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth
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General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns
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A Model of Two Days: Discrete News and Asset Prices
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
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The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
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Cointegration and Consumption Risks in Asset Returns
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Long-Run Risk through Consumption Smoothing
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What's Vol Got to Do with It
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Can Rare Events Explain the Equity Premium Puzzle?
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Consumption Volatility Risk
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Rare Macroeconomic Disasters
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Climate Finance
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Long Run Risks, the Macroeconomy, and Asset Prices
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On the Timing and Pricing of Dividends
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Disaster Risk and Business Cycles
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How Much Would You Pay to Resolve Long-Run Risk?
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Parameter Learning in General Equilibrium: The Asset Pricing Implications
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Long-Run Risk Is the Worst-Case Scenario
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The Risk-Adjusted Carbon Price
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Habit Formation in Consumer Preferences: Evidence from Panel Data
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Consumption Disasters in the Twentieth Century
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Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation
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Rare Disasters, Asset Prices, and Welfare Costs
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Temperature and Income: Reconciling New Cross-Sectional and Panel Estimates
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Temperature Shocks and Economic Growth: Evidence from the Last Half Century
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Credit Risk and Disaster Risk
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Crises and Recoveries in an Empirical Model of Consumption Disasters
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The Economic and Policy Consequences of Catastrophes
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Option Pricing Under a Double Exponential Jump Diffusion Model
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Affine General Equilibrium Models
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Macroeconomic Volatilities and Long-Run Risks of Asset Prices
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Option Prices in a Model with Stochastic Disaster Risk
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Estimating and Testing Long-Run Risk Models: International Evidence
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Climate Change and Uncertainty: An Asset Pricing Perspective
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A Jump-Diffusion Model for Option Pricing
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The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
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An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
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The World Economy
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Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash
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What Ties Return Volatilities to Price Valuations and Fundamentals?
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Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?
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Disaster Begets Crisis: The Role of Contagion in Financial Markets
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Understanding Asset Correlations
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Parameter Learning in General Equilibrium: The Asset Pricing Implications
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Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
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Bond Market Exposures to Macroeconomic and Monetary Policy Risks
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Through the Looking Glass: Indirect Inference via Simple Equilibria
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Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change
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Extreme Inflation and Time-Varying Expected Consumption Growth
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Three reasons to price carbon under uncertainty: Accuracy of simple rules
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Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models
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Option Valuation with Long-Run and Short-Run Volatility Components
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Stationary Ordinal Utility and Impatience
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Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
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Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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Temporal Resolution of Uncertainty and Dynamic Choice Theory
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Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
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Asset Prices in an Exchange Economy
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Intertemporal Substitution, Risk Aversion and the Euler Equation for Consumption
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Stochastic Volatility Option Pricing
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Asset Prices in an Exchange Economy with Habit Formation
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Stochastic Differential Utility
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The Valuation of Uncertain Income Streams and the Pricing of Options
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The Determinants of the Variability of Stock Market Prices
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Investor Information, Long-Run Risk, and the Term Structure of Equity
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Asset Pricing Tests with Long Run Risks in Consumption Growth
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Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
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Climate Change and Growth Risks
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Asset Prices under Habit Formation and Catching up with the Joneses
inferredcites →https://doi.org/10.3386/w3752openalex-snapshot
The Equity Premium and the Risk Free Rate: Matching the Moments
inferredcites →https://doi.org/10.3386/w4995openalex-snapshot
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.3982/ecta14308openalex-snapshot
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
inferredcites →https://doi.org/10.3982/ecta20442openalex-snapshot
Mitigating Disaster Risks in the Age of Climate Change
inferredcites →https://doi.org/10.3982/ecta8827openalex-snapshot
On the Size Distribution of Macroeconomic Disasters
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