Macroeconomic disasters and the equity premium puzzle: are emerging countries riskier?

DOI10.1016/J.JEDC.2020.103852OpenAlexW3003596086MaRDI QIDQ2177998

Jaroslav Horvath

Publication date: 7 May 2020

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103852

zbMATH Keywords

equity premiumBayesian Markov chain Monte Carloconsumption disasters

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Prospect Theory and Asset Prices
• Rare Disasters and Asset Markets in the Twentieth Century*
• Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century
• GLOBAL BUSINESS CYCLES: CONVERGENCE OR DECOUPLING?*
• Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Consumption-Based Asset Pricing with Higher Cumulants
• BUSINESS CYCLES IN SMALL OPEN ECONOMIES: EVIDENCE FROM PANEL DATA BETWEEN 1900 AND 2013

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