Consumption-Based Asset Pricing with Higher Cumulants

By Ian Martin. 2010

185 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0be7122ab85d9109b3e8875619221f345a2ea045

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Citations in the corpus

The Lucas Orchard (2011, unknown): “This paper is a theoretical exercise motivated by a well-documented empirical fact: across different countries’ stock markets, there is more comovement in returns than in fundamentals (Shiller (1989), Ammer and Mei (1996)).”
Portfolio selection with higher moments (2010, unknown): “…and Fabozzi (2009), Zhou (2009), Bali and Cakici (2010), Blau and Pinegar (2009), Brandt et al. (2010), Conrad et al. (2010), Fabozzi et al. (2010), Martin (2010), Poti (2010), Jondeau and Rockinger (2006), Vorkink et al. (2009). zFrom the Bayesian perspective, Jorion (1986) uses a shrinkage…”
Minimum Distance Estimation of the Errors-In-Variables Model Using Linear Cumulant Equations (2014, unknown): “An explicit expression for any cumulant of a distribution as a function of the moments of the distribution is given in Chapter 2 of McCullagh (1987), as is the companion expression giving any desired moment as a function of the cumulants.”
Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2008, unknown): “…(2008a) assumes power utility for the representative agent, while also assuming the economy is driven by a linearity-generating process (see Gabaix (2008b)) that combines time-variation in the probability of a rare disaster with time-variation in the degree to which dividends respond to a disaster.”
Averting Catastrophes: The Strange Economics of Scylla and Charybdis (2015, unknown): “American Economic Review 2015, 105(10): 2947–2985 http://dx.doi.org/10.1257/aer.20140806 2947”
The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment (2012, background): “The persistence of volatility in that calibration makes long-run consumption extremely uncertain, lowering the safe long-term discount rate in the manner described by Martin (2009, 2010) and Weitzman (2007, 2009).”
Disasters Risk and Business Cycles (2012, unknown): “But you should take that economic forecast, like all others, with more than a single grain of salt.”