Short-run risk, business cycle, and the value premium

DOI10.1016/j.jedc.2020.103993zbMath1475.91329OpenAlexW3088773453MaRDI QIDQ2246740

Markus Leippold, Yunhao He

Publication date: 16 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103993

zbMATH Keywords

business cycleportfolio selectionstochastic covariancelong-run and short-run consumption riskvalue premium

Mathematics Subject Classification ID

Portfolio theory (91G10)

Uses Software

• DEoptim

Cites Work

• The Wishart autoregressive process of multivariate stochastic volatility
• Asymptotics for out of sample tests of Granger causality
• On strong solutions for positive definite jump diffusions
• On the generalized algebraic Riccati equation for continuous-time descriptor systems
• Wishart processes
• Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
• Stochastic Differential Utility
• Computing integrals involving the matrix exponential
• Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

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