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Is the volatility of the market price of risk due to intermittent portfolio re-balancing?
Chien, YiLi; Cole, Harold L.; Lustig, Hanno - 2009
Persistent link: https://www.econbiz.de/10003889788
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The cross-section and time series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2010
"We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in...
Persistent link: https://www.econbiz.de/10003933912
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A multiplier approach to understanding the macro implications of household finance
Chien, YiLi; Cole, Harold L.; Lustig, Hanno - 2007
Persistent link: https://www.econbiz.de/10003587991
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The irrelevance of market incompleteness for the price of aggregate risk
Krueger, Dirk; Lustig, Hanno - 2006
Persistent link: https://www.econbiz.de/10003386979
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Too-systemic-to-fail : what option markets imply about sector-wide government guarantees
Kelly, Bryan T.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2011
Persistent link: https://www.econbiz.de/10009231439
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Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy
Chien, YiLi; Cole, Harold L.; Lustig, Hanno - 2014
Persistent link: https://www.econbiz.de/10010394652
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The cross-section and time series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: Journal of monetary economics 88 (2017), pp. 50-69
Persistent link: https://www.econbiz.de/10011799154