history-dependent component to prices of risk. …

construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming …

This paper tests the long run risk and valuation risk model using a robust estimation procedure. The persistent long … estimation procedure that accounts for this bias, I show that the long run risk and valuation risk model fails to explain cross … that the same model explains the cross section of asset returns with statistically significant risk premia estimates …