Sources of Entropy in Representative Agent Models

By David K. Backus, Mikhail Chernov, Stan Zin. 2011

159 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d8c9281e7a13dd73561e8848078adfdcd219bfc8

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Citations in the corpus

• Asset Pricing in the Frequency Domain: Theory and Empirics (2016, background): “3 Calvet and Fisher (2007), Ortu, Tamoni, and Tebaldi (2013), and Bandi and Tamoni (2014) study a different decomposition of the consumption and returns processes into components operating at different time scales, exploring their covariance and relation with expected returns at different time scale”
• Nonparametric stochastic discount factor decomposition (2014, methodology): “As is well known, the permanent component of the SDF under many external and internal habit formation specifications is the same as the permanent component under CRRA preferences (Hansen, 2012; Backus et al., 2014).”
• Trade Network Centrality and Currency Risk Premia (2019, unknown): “Work by Bekaert (1996), Bansal (1997), Backus et al.”