AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS

By Bjørn Eraker, Ivan Shaliastovich. 2008

133 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d68e3d8363183ceaafd472ce22db22cbce27f6ec

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Tim Bollerslev
2. V. Todorov
3. Torben G. Andersen
4. I. Drechsler
5. Nicola Fusari
6. Ravi Bansal
7. Dana Kiku
8. Amir Yaron

In Finance

1. Tim Bollerslev
2. V. Todorov
3. Torben G. Andersen
4. Nicola Fusari
5. I. Drechsler
6. Lai Xu
7. George Tauchen
8. Ravi Bansal

Citations in the corpus

• Tail Risk and Asset Prices (2014, unknown): “…(2012), and Wachter (2013), as well as extensions of Bansal and Yaron’s (2004) long-run risks model that incorporate fat-tailed endowment shocks (Eraker and Shaliastovich 2008; Bansal and Shaliastovich 2010, 2011; Drechsler and Yaron 2011).4 Model calibrations show that this class of models…”
• Uncertainty, Time-Varying Fear, and Asset Prices (2013, background): “These include Benzoni, Collin-Dufresne, and Goldstein (2011), Du (2010), Eraker and Shaliastovich (2008), Liu, Pan, and Wang (2005; hereafter LPW), and Shaliastovich (2011).”
• Higher-order effects in asset-pricing models with long-run risks (2018, unknown): “Eraker (2008), Eraker and Shaliastovich (2008), and Drechsler and Yaron (2011) show how to generalize the approach to include general affine processes and jumps.”
• Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2008, unknown): “The possibility of this poor outcome substantially increases the equity premium, while time-variation in the probability of this outcome drives high stock market volatility and excess return predictability.”
• An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2009, background): “Eraker and Shaliastovich (2008) provide a framework for analyzing jumps in the growth rates and consumption volatility.”
• Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2009, unknown): “…pricing literature have also explored the equilibrium implications of allowing for richer volatility dynamics and non-standard preference structures; see, e.g., the recent papers by Benzoni et al. (2006), Eraker and Shaliastovich (2008) and Santa-Clara and Yan (2010) and the references therein.”
• The Risk Premia Embedded in Index Options (2015, background): “22) of Eraker and Shaliastovich (2008). In turn, this implies that Y (ω, s,x) must be non-random and time-invariant, i.”
• Tail risk premia and return predictability (2014, methodology): “This setup has been analyzed extensively by Eraker and Shaliastovich (2008).”
• Sources of Entropy in Representative Agent Models (2011, background): “…and Ursua (2009), Bekaert and Engstrom (2010), Benzoni, Collin-Dufresne, and Goldstein (2011), Branger, Rodrigues, and Schlag (2011), Drechsler and Yaron (2011), Eraker and Shaliastovich (2008), Gabaix (2010), Garcia, Luger, and Renault (2003), Longstaff and Piazzesi (2004), and Wachter (2008).”
• Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, unknown): “His model captures the contractions associated with the Great Depression and the two World Wars, but it does not match the evidence around the 1987 crash, when the output level remained smooth. further explored by, e.g., Drechsler and Yaron (2008), Eraker (2008), and Eraker and Shaliastovich (2008).”