Identifying long-run risks: a Bayesian mixed-frequency approach

DOI10.3982/ECTA14308MaRDI QIDQ4628443zbMATH OpenOpenAlexFDO

Authors Frank Schorfheide, Dongho Song, Amir Yaron

Publication date 13 March 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta14308

zbMATH Keywords

Bayesian inferencemeasurement errorsstochastic volatilityparticle MCMCasset pricingconsumption dynamicsnonlinear state-space modellong-run risksmixed frequency observations

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20)

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Cited in

(25)

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• Bayesian estimation of long-run risk models using sequential Monte Carlo
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• Measuring short-term risk of initial public offering of equity securities: a hybrid Bayesian and data-envelopment-analysis-based approach
• A MIDAS approach to modeling first and second moment dynamics
• Short-run risk, business cycle, and the value premium
• Stability of equilibrium asset pricing models: a necessary and sufficient condition
• Valuation risk revalued
• Detecting identification failure in moment condition models
• A New Approach to Identifying the Real Effects of Uncertainty Shocks
• Term Structures of Inflation Expectations and Real Interest Rates
• Semiparametric estimation of latent variable asset pricing models
• An analytical framework to price long-dated climate-exposed assets
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• Macroeconomic disasters and the equity premium puzzle: are emerging countries riskier?
• Learning, confidence, and option prices
• Interest rate dynamics and commodity prices
• Dynamic programming with state-dependent discounting
• Asset pricing with time preference shocks: existence and uniqueness

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