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person:"Gouriéroux, Christian"
~person:"Irarrazabal, Alfonso"
~person:"Monfort, Alain"
~subject:"Katastrophe"
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Gouriéroux, Christian
Irarrazabal, Alfonso
Monfort, Alain
Tsai, Jerry
8
Pagano, Marco
7
Wagner, Christian
7
Zechner, Josef
7
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Disastrous defaults
Gouriéroux, Christian
;
Monfort, Alain
;
Mouabbi, Sarah
; …
-
2021
Persistent link: https://www.econbiz.de/10012614604
Saved in:
2
Disastrous defaults
Gouriéroux, Christian
;
Monfort, Alain
;
Mouabbi, Sarah
; …
- In:
Review of finance : journal of the European Finance …
25
(
2021
)
6
,
pp. 1727-1772
Persistent link: https://www.econbiz.de/10012694401
Saved in:
3
Time-varying disaster risk models : an empirical assessment of the Rietz-Barro hypothesis
Irarrazabal, Alfonso
;
Parra-Alvarez, Juan Carlos
-
2015
Persistent link: https://www.econbiz.de/10011516994
Saved in:
4
Time-Varying Disaster Risk Models : An Empirical Assessment of the Rietz-Barro Hypothesis
Irarrazabal, Alfonso
-
2015
This paper revisits the fit of disaster risk models where a representative agent has recursive preferences and the probability of a macroeconomic disaster changes over time. We calibrate the model as in Wachter (2013) and perform two sets of tests to assess the empirical performance of the model...
Persistent link: https://www.econbiz.de/10013028991
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