Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach
Year of publication: |
2014
|
---|---|
Authors: | Grammig, Joachim ; Sönksen, Jantje |
Publisher: |
Kiel und Hamburg : ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Conference Paper |
Language: | English |
Other identifiers: | 820202134 [GVK] hdl:10419/100614 [Handle] RePEc:zbw:vfsc14:100614 [RePEc] |
Classification: | c58 ; G10 - General Financial Markets. General ; G12 - Asset Pricing |
Source: |
-
Kapetanios, George, (2014)
-
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica, (2017)
-
A two-step indirect inference approach to estimate the long-run risk asset pricing model
Grammig, Joachim, (2017)
- More ...
-
Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach
Sönksen, Jantje, (2020)
-
Consumption-based asset pricing with rare disaster risk
Grammig, Joachim, (2014)
-
Diverging roads: Theory-based vs. machine learning-implied stock risk premia
Grammig, Joachim, (2020)
- More ...