Empirical asset pricing with multi-period disaster risk A simulation-based approach
J Sönksen, J Grammig - Journal of Econometrics, 2021 - Elsevier
We propose a simulation-based strategy to estimate and empirically assess a class of asset pricing models that account for rare but severe consumption contractions that can extend …
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We propose a simulation-based strategy to estimate and empirically assess a class of asset pricing models that account for rare but severe consumption contractions that can extend …