featuring consumption externalities, recursive utility, and jump risk …

We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed … inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate …

embrace a broad perspective of uncertainty with three components: risk (probabilities assigned by a given model), ambiguity …

examples featuring consumption externalities, recursive utility, and jump risk …

featuring consumption externalities, recursive utility, and jump risk …

the long-term implications for risk pricing. This measure is typically distinct from the physical and the risk neutral … observational implications of risk adjustments and investor beliefs as reflected in asset market data; ii) catalog alternative forms … of misspecification of parametric valuation models; and iii) characterize how long-term components of growth-rate risk …

distributions of risks give rise to components of equilibrium prices that differ from the risk prices widely used in asset pricing …