Long‐Term Risk: A Martingale Approach
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- Jaroslav Borovička & John Stachurski, 2020.
"Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities,"
Journal of Finance, American Finance Association, vol. 75(3), pages 1457-1493, June.
- Jaroslav Borovicka & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," Papers 1710.06526, arXiv.org, revised Apr 2019.
- Jaroslav Borovička & John Stachurski, 2017. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," NBER Working Papers 24162, National Bureau of Economic Research, Inc.
- Jaroslav Borovicka & John Stachurski, 2018. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," 2018 Meeting Papers 1275, Society for Economic Dynamics.
- Damir Filipovic & Martin Larsson & Anders B. Trolle, 2018. "On the Relation Between Linearity-Generating Processes and Linear-Rational Models," Papers 1806.03153, arXiv.org.
- Dillschneider, Yannick & Maurer, Raimond, 2019. "Functional Ross recovery: Theoretical results and empirical tests," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
- Borovička, Jaroslav & Stachurski, John, 2021.
"Stability of equilibrium asset pricing models: A necessary and sufficient condition,"
Journal of Economic Theory, Elsevier, vol. 193(C).
- Jaroslav Borovicka & John Stachurski, 2019. "Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition," Papers 1910.00778, arXiv.org, revised Feb 2021.
- Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018.
"Term structures of asset prices and returns,"
Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
- David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Working Papers 16-08, New York University, Leonard N. Stern School of Business, Department of Economics.
- David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
- Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016. "Term structures of asset prices and returns," CEPR Discussion Papers 11227, C.E.P.R. Discussion Papers.
- David Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term Structures of Asset Prices and Returns," NBER Working Papers 22162, National Bureau of Economic Research, Inc.
- Armerin, Fredrik, 2019. "Stochastic discount factors and the optimal timing of irreversible investments," Working Paper Series 19/11, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
- Dorje C. Brody & Lane P. Hughston & David M. Meier, 2016. "L\'evy-Vasicek Models and the Long-Bond Return Process," Papers 1608.06376, arXiv.org, revised Sep 2016.
- Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019.
"Generalized recovery,"
Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
- Lasse Pedersen & David Lando & Christian Skov Jensen, 2016. "Generalized Recovery," 2016 Meeting Papers 935, Society for Economic Dynamics.
- Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
- Neuhierl, Andreas & Varneskov, Rasmus T., 2021. "Frequency dependent risk," Journal of Financial Economics, Elsevier, vol. 140(2), pages 644-675.
- Choi, Kyoung Jin & Jeon, Junkee & Koo, Hyeng Keun, 2022. "Intertemporal preference with loss aversion: Consumption and risk-attitude," Journal of Economic Theory, Elsevier, vol. 200(C).
- Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2021. "Model‐Free International Stochastic Discount Factors," Journal of Finance, American Finance Association, vol. 76(2), pages 935-976, April.
- Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2019. "Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models," Papers 1912.06948, arXiv.org, revised Dec 2019.
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