Matches in SemOpenAlex for { <https://semopenalex.org/work/W2048618515> ?p ?o ?g. }
Showing items 1 to 89 of
89
with 100 items per page.
- W2048618515 abstract "We investigate the impact of ignoring fat tails observed in the empirical distributions of macroeconomic time series on the equilibrium implications of the consumption-based asset-pricing model with habit formation. Fat tails in the empirical distributions of consumption growth rates are modeled as a dampened power law process that nevertheless guarantees finiteness of moments of all orders. This renders model-implied mean equilibrium rates of return and equity and term premia finite. Comparison with a benchmark Gaussian process reveals that accounting for fat tails lowers the model-implied mean risk-free rate by 20 percent, raises the mean equity premium by 80 percent and the term premium by 20 percent, bringing the model implications closer to their empirically observed counterparts." @default.
- W2048618515 created "2016-06-24" @default.
- W2048618515 creator A5030720384 @default.
- W2048618515 creator A5062437827 @default.
- W2048618515 date "2004-01-01" @default.
- W2048618515 modified "2023-09-24" @default.
- W2048618515 title "The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia" @default.
- W2048618515 cites W1546517078 @default.
- W2048618515 cites W1605588761 @default.
- W2048618515 cites W1990549299 @default.
- W2048618515 cites W1993342981 @default.
- W2048618515 cites W2033174532 @default.
- W2048618515 cites W2042121378 @default.
- W2048618515 cites W2077791698 @default.
- W2048618515 cites W2103066485 @default.
- W2048618515 cites W2119143694 @default.
- W2048618515 cites W2129220488 @default.
- W2048618515 cites W2130341215 @default.
- W2048618515 cites W2138842879 @default.
- W2048618515 cites W2163191305 @default.
- W2048618515 cites W2167402844 @default.
- W2048618515 cites W2570834760 @default.
- W2048618515 cites W2597467757 @default.
- W2048618515 cites W3121174621 @default.
- W2048618515 cites W3121612816 @default.
- W2048618515 cites W3121998206 @default.
- W2048618515 cites W3123321876 @default.
- W2048618515 cites W3124475197 @default.
- W2048618515 cites W3124947471 @default.
- W2048618515 cites W3126059480 @default.
- W2048618515 doi "https://doi.org/10.2139/ssrn.627067" @default.
- W2048618515 hasPublicationYear "2004" @default.
- W2048618515 type Work @default.
- W2048618515 sameAs 2048618515 @default.
- W2048618515 citedByCount "0" @default.
- W2048618515 crossrefType "journal-article" @default.
- W2048618515 hasAuthorship W2048618515A5030720384 @default.
- W2048618515 hasAuthorship W2048618515A5062437827 @default.
- W2048618515 hasBestOaLocation W20486185152 @default.
- W2048618515 hasConcept C101161028 @default.
- W2048618515 hasConcept C103382277 @default.
- W2048618515 hasConcept C121332964 @default.
- W2048618515 hasConcept C144024400 @default.
- W2048618515 hasConcept C149782125 @default.
- W2048618515 hasConcept C151541453 @default.
- W2048618515 hasConcept C162324750 @default.
- W2048618515 hasConcept C175444787 @default.
- W2048618515 hasConcept C17744445 @default.
- W2048618515 hasConcept C181236170 @default.
- W2048618515 hasConcept C199539241 @default.
- W2048618515 hasConcept C199728807 @default.
- W2048618515 hasConcept C30772137 @default.
- W2048618515 hasConcept C36289849 @default.
- W2048618515 hasConcept C61797465 @default.
- W2048618515 hasConcept C62520636 @default.
- W2048618515 hasConceptScore W2048618515C101161028 @default.
- W2048618515 hasConceptScore W2048618515C103382277 @default.
- W2048618515 hasConceptScore W2048618515C121332964 @default.
- W2048618515 hasConceptScore W2048618515C144024400 @default.
- W2048618515 hasConceptScore W2048618515C149782125 @default.
- W2048618515 hasConceptScore W2048618515C151541453 @default.
- W2048618515 hasConceptScore W2048618515C162324750 @default.
- W2048618515 hasConceptScore W2048618515C175444787 @default.
- W2048618515 hasConceptScore W2048618515C17744445 @default.
- W2048618515 hasConceptScore W2048618515C181236170 @default.
- W2048618515 hasConceptScore W2048618515C199539241 @default.
- W2048618515 hasConceptScore W2048618515C199728807 @default.
- W2048618515 hasConceptScore W2048618515C30772137 @default.
- W2048618515 hasConceptScore W2048618515C36289849 @default.
- W2048618515 hasConceptScore W2048618515C61797465 @default.
- W2048618515 hasConceptScore W2048618515C62520636 @default.
- W2048618515 hasLocation W20486185151 @default.
- W2048618515 hasLocation W20486185152 @default.
- W2048618515 hasOpenAccess W2048618515 @default.
- W2048618515 hasPrimaryLocation W20486185151 @default.
- W2048618515 hasRelatedWork W1141446299 @default.
- W2048618515 hasRelatedWork W2030617584 @default.
- W2048618515 hasRelatedWork W2039531996 @default.
- W2048618515 hasRelatedWork W2093083985 @default.
- W2048618515 hasRelatedWork W2115549111 @default.
- W2048618515 hasRelatedWork W2382955811 @default.
- W2048618515 hasRelatedWork W3121922906 @default.
- W2048618515 hasRelatedWork W3121933910 @default.
- W2048618515 hasRelatedWork W3124600531 @default.
- W2048618515 hasRelatedWork W3124814895 @default.
- W2048618515 isParatext "false" @default.
- W2048618515 isRetracted "false" @default.
- W2048618515 magId "2048618515" @default.
- W2048618515 workType "article" @default.