Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
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Publication:4628443
DOI10.3982/ECTA14308zbMATH Open1419.91308OpenAlexW4229721654MaRDI QIDQ4628443FDOQ4628443
Amir Yaron, Dongho Song, Frank Schorfheide
Publication date: 13 March 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta14308
Bayesian inferencemeasurement errorsstochastic volatilityparticle MCMCasset pricingconsumption dynamicsnonlinear state-space modellong-run risksmixed frequency observations
Cited In (21)
- Bayesian mixed-frequency quantile vector autoregression: eliciting tail risks of monthly US GDP
- The income fluctuation problem and the evolution of wealth
- Monetary policy and long‐term interest rates
- Dynamic programming with value convexity
- Bayesian estimation of long-run risk models using sequential Monte Carlo
- Existence and uniqueness of recursive utilities without boundedness
- 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
- Valuation risk revalued
- Stability of equilibrium asset pricing models: a necessary and sufficient condition
- 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
- 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
- Implications of Return Predictability for Consumption Dynamics and Asset Pricing
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