Essec\Faculty\Model\Contribution {#2233 ▼
#_index: "academ_contributions"
#_id: "14840"
#_source: array:26 [
"id" => "14840"
"slug" => "14840-estimating-and-testing-long-run-risk-models-international-evidence"
"yearMonth" => "2024-08"
"year" => "2024"
"title" => "Estimating and Testing Long-Run Risk Models: International Evidence"
"description" => "FULOP, A., LI, J., LIU, H. et YAN, C. (2024). Estimating and Testing Long-Run Risk Models: International Evidence. <i>Management Science</i>, In press. 
FULOP, A., LI, J., LIU, H. et YAN, C. (2024). Estimating and Testing Long-Run Risk Models: Internati "
"authors" => array:4 [
0 => array:3 [
"name" => "FULOP Andras"
"bid" => "B00072302"
"slug" => "fulop-andras"
]
1 => array:1 [
"name" => "LI Junye"
]
2 => array:1 [
"name" => "LIU Hening"
]
3 => array:1 [
"name" => "YAN Cheng"
]
]
"ouvrage" => ""
"keywords" => array:1 [
0 => "Long-Run Risk Models"
]
"updatedAt" => "2024-10-31 13:51:19"
"publicationUrl" => "https://doi.org/10.1287/mnsc.2022.04054"
"publicationInfo" => array:3 [
"pages" => null
"volume" => "In press"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We estimate and test long-run risk models using international macroeconomic and financial data. The benchmark model features a representative agent who has recursive preferences with a time preference shock, a persistent component in expected consumption growth, and stochastic volatility in fundamentals characterized by an autoregressive gamma process. We construct a comprehensive data set with quarterly frequency for 10 developed countries and employ an efficient likelihood-based Bayesian method that exploits up-to-date sequential Monte Carlo methods to make full econometric inference. Our empirical findings provide international evidence in support of long-run risks, time-varying preference shocks, and countercyclicality of the stochastic discount factor. We show the existence of a global long-run consumption factor driving equity returns across individual countries. We estimate and test long-run risk models using international macroeconomic and financial data. The "
"en" => "We estimate and test long-run risk models using international macroeconomic and financial data. The benchmark model features a representative agent who has recursive preferences with a time preference shock, a persistent component in expected consumption growth, and stochastic volatility in fundamentals characterized by an autoregressive gamma process. We construct a comprehensive data set with quarterly frequency for 10 developed countries and employ an efficient likelihood-based Bayesian method that exploits up-to-date sequential Monte Carlo methods to make full econometric inference. Our empirical findings provide international evidence in support of long-run risks, time-varying preference shocks, and countercyclicality of the stochastic discount factor. We show the existence of a global long-run consumption factor driving equity returns across individual countries. We estimate and test long-run risk models using international macroeconomic and financial data. The "
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2025-04-10T04:21:39.000Z"
"docTitle" => "Estimating and Testing Long-Run Risk Models: International Evidence"
"docSurtitle" => "Articles"
"authorNames" => "<a href="/cv/fulop-andras">FULOP Andras</a>, LI Junye, LIU Hening, YAN Cheng"
"docDescription" => "<span class="document-property-authors">FULOP Andras, LI Junye, LIU Hening, YAN Cheng</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2024</span> <span class="document-property-authors">FULOP Andras, LI Junye, LIU Hening, YAN Cheng</span><br><spa "
"keywordList" => "<a href="#">Long-Run Risk Models</a>"
"docPreview" => "<b>Estimating and Testing Long-Run Risk Models: International Evidence</b><br><span>2024-08 | Articles </span> <b>Estimating and Testing Long-Run Risk Models: International Evidence</b><br><span>2024-08 | Articl "
"docType" => "research"
"publicationLink" => "<a href="https://doi.org/10.1287/mnsc.2022.04054" target="_blank">Estimating and Testing Long-Run Risk Models: International Evidence</a> <a href="https://doi.org/10.1287/mnsc.2022.04054" target="_blank">Estimating and Testing Long-Run Ri "
]
+lang: "fr"
+"_type": "_doc"
+"_score": 8.849256
+"parent": null
}
