This paper shows that the latest generation of asset pricing models with long‐run risk exhibit
economically significant nonlinearities, and thus the ubiquitous Campbell‐Shiller log …

This paper derives a fifth-order perturbation solution to DSGE models. The paper develops a
new notation that reduces the notational complexity of high-order solutions and yields a …

This paper proposes a new theoretical framework for the analysis of the relationship
between credit shocks, firm defaults and volatility. The key feature of the modelling approach …

I obtain a closed-form solution to a Huggett economy with constant absolute risk aversion
(CARA) utility when the vector of individual state variables follows a VAR (1) process with an …

We examine the commonalities in international equity risk premiums by linking empirical
evidence for the ability of US downside and upside variance risk premiums (DVP and UVP …

We propose a linear approximation to the solution of DSGE models that is sensitive to the
effects of risk. If variables remain close to the approximation point in expectation, a second …

This paper proposes a novel finite-state Markov chain approximation method for Markov
processes with continuous support. The method can be used for both uni-and multivariate …

Modern asset pricing models combine recursive preferences with complex dynamics for the
underlying consumption process. The existence of solutions is for many of these models an …

Existence theorems for endowment economies with growth and sophisticated recursive
preferences have proven difficult to come by. We offer a simple proof technique that covers …

In this paper, we propose a Gmm estimation of the structural parameters of the Long Run
Risk model that allows for the separation between the consumer optimal decision's …