A Theory of Dissimilarity Between Stochastic Discount Factors
Published Online:5 Oct 2020https://doi.org/10.1287/mnsc.2020.3690
References
- (2015) Modeling financial contagion using mutually exciting jump processes. J. Financial Econom. 117:585–606.Crossref, Google Scholar
- (2001) Affine term structure models and the forward premium anomaly. J. Finance 56:279–304.Crossref, Google Scholar
- (2016) Measuring economic policy uncertainty. Quart. J. Econom. 131:1593–1636.Crossref, Google Scholar
- (2000) Spanning and derivative-security valuation. J. Financial Econom. 55:205–238.Crossref, Google Scholar
- (2008) Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies. J. Financial Econom. 87:132–156.Crossref, Google Scholar
- (2018a) Implications of incomplete markets for internationl economies. Rev. Financial Stud. 31:4017–4062.Crossref, Google Scholar
- (2018b) A recovery that we can trust? Deducing and testing the restrictions of the recovery theorem. Rev. Financial Stud. 31:532–555.Crossref, Google Scholar
- (2017) Is economic uncertainty priced in the cross-section of stock returns? J. Financial Econom. 126:471–489.Crossref, Google Scholar
- (2013) A long-run risks explanation of predictability puzzles in bond and currency markets. Rev. Financial Stud. 26:1–33.Crossref, Google Scholar
- (2019) The time variation in risk appetite and uncertainty. Working paper, Columbia University, New York.Google Scholar
- (2016) Misspecified recovery. J. Finance 71:2493–2544.Crossref, Google Scholar
- (2006) International risk sharing is better than you think, or exchange rates are too smooth. J. Monetary Econom. 53:671–698.Crossref, Google Scholar
- (2014) International stochastic discount factors and stochastic correlation. Working paper, University of Munster, Munster, Germany.Google Scholar
- (2009) Carry trades and currency crashes. NBER Macroeconom. Annual 23:313–347.Crossref, Google Scholar
- (2020) On the asset market view of exchange rates. Rev. Financial Stud. 33:239–260.Crossref, Google Scholar
- (2011) Do peso problems explain the returns to the carry trade? Rev. Financial Stud. 24:853–891.Crossref, Google Scholar
- (2012) Carry trade and systemic risk: Why are FX options so cheap? NBER Working Paper No. 18644, National Bureau of Economic Research, Cambridge, MA.Google Scholar
- (2007) Stochastic skew in currency options. J. Financial Econom. 86:213–247.Crossref, Google Scholar
- (2009) Variance risk premia. Rev. Financial Stud. 22:1311–1341.Crossref, Google Scholar
- (2019) The term structures of co-entropy in international financial markets. Management Sci. 65:3541–3558.Link, Google Scholar
- (2018) The gravity equation in international trade: An explanation. J. Political Econom. 126:150–177.Crossref, Google Scholar
- (1995) Measurement of market integration and arbitrage. Rev. Financial Stud. 8:287–325.Crossref, Google Scholar
- (2011) Risks for the long run and the real exchange rate. J. Political Econom. 119:153–181.Crossref, Google Scholar
- (2013) International asset pricing with recursive preferences. J. Finance 68:2651–2686.Crossref, Google Scholar
- (2018) Currency risk factors in a recursive multi-country economy. J. Finance 73:2719–2756.Crossref, Google Scholar
- (1984) Multinomial goodness-of-fit tests. J. Roy. Statist. Soc. B 46:440–464.Google Scholar
- (2017) The carry trade: Risks and drawdowns. Critical Finance Rev . 6:211–262.Crossref, Google Scholar
- (2016a) The term structure of implied volatility and volatility risk premia in the FX market. Working paper, Cass Business School, London.Google Scholar
- (2016b) Volatility risk premia and exchange rate predictability. J. Financial Econom. 120:21–40.Crossref, Google Scholar
- (2015) Financial and Macroeconomic Connectness: A Network Approach to Measurement and Monitoring (Oxford University Press, New York).Google Scholar
- (2018) Deviations from covered interest rate parity. J. Finance 73:915–957.Crossref, Google Scholar
- (2016) Rare disasters and exchange rates. Quart. J. Econom. 131:1–52.Crossref, Google Scholar
- (2015) Crash risk in currency markets. Working paper, Harvard, Cambridge, MA.Google Scholar
- (2015) The carry trade and uncovered interest parity when markets are incomplete. Working paper, University of British Columbia, Vancouver.Google Scholar
- (2012) Variable rare disasters: An exactly solved framework for ten puzzles in macro-finance. Quart. J. Econom. 127:645–700.Crossref, Google Scholar
- (1983) Foreign currency option values. J. Internat. Money Finance 2:231–237.Crossref, Google Scholar
- (2013) Currency risk and pricing kernel volatility. Working paper, INSEAD, Fontainebleau, France.Google Scholar
- (2002) On choosing and bounding probability metrics. Working paper, Cornell University, Ithaca, NY.Google Scholar
- (2001) How distance, language, and culture influence stockholdings and trades. J. Finance 56:1053–1073.Crossref, Google Scholar
- (2008) Trusting the stock market. J. Finance 63:2557–2600.Crossref, Google Scholar
- (2016) Policy uncertainty and corporate investment. Rev. Financial Stud. 29:523–564.Google Scholar
- (2012) Dynamic valuation decomposition within stochastic economies. Econometrica 80:911–967.Crossref, Google Scholar
- (1991) Implications of security market data for dynamic economies. J. Political Econom. 99:225–261.Crossref, Google Scholar
- (2013) Country size, currency unions, and international asset returns. J. Finance 68:2269–2308.Crossref, Google Scholar
- (2014) Asset prices and real exchange rates with deep habits. Rev. Financial Stud. 27:3280–3317.Crossref, Google Scholar
- (2010) Cultures and Organizations: Software of the Mind (McGraw-Hill, New York).Google Scholar
- (1997) An examination of uncovered interest rate parity in segmented international commodity markets. J. Finance 52:2145–2170.Crossref, Google Scholar
- (2005) The model-free implied volatility and its information content. Rev. Financial Stud. 18:1305–1342.Crossref, Google Scholar
- (2019) Origins of international factor structures. Working paper, Northwestern University, Evanston, IL.Google Scholar
- (2015) Measuring uncertainty. Amer. Econom. Rev. 117:1177–1216.Crossref, Google Scholar
- (2014) Crash-neutral currency carry trades. J. Financial Econom. 113:325–347.Crossref, Google Scholar
- (2016) The gravity of culture for finance. J. Corporate Finance 41:610–625.Crossref, Google Scholar
- (2015) Evaluating international consumption risk sharing gains: An asset return view. J. Monetary Econom. 71:84–98.Crossref, Google Scholar
- (2017) Variance risk premiums and the forward premium puzzle. J. Financial Econom. 124:415–440.Crossref, Google Scholar
- (1982) Interest rates and currency prices in a two-country world. J. Monetary Econom. 10:335–359.Crossref, Google Scholar
- (2020) Gravity in the exchange rate factor structure. Rev. Financial Stud. Forthcoming.Crossref, Google Scholar
- (2014) Countercyclical currency risk premia. J. Financial Econom. 111:527–553.Crossref, Google Scholar
- (2013) The U.S. dollar safety premium. Working paper, Harvard University, Cambridge, MA.Google Scholar
- (2016) Entangled risks in incomplete FX markets. Working paper, Hong Kong University, Hong Kong.Google Scholar
- (2017) Incomplete asset market view of the exchange rate determination. Working paper, Hong Kong University, Hong Kong.Google Scholar
- (2019) Pricing risks across currency denominations. Management Sci. 65(11):5308–5336.Link, Google Scholar
- (2011) Notes on distances measures: The geodist database. Working paper, CEPII, Paris.Google Scholar
- (2017) International correlation risk. J. Financial Econom. 126:270–299.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703–708.Crossref, Google Scholar
- (1994) Automatic lag selection in covariance matrix estimation. Rev. Econom. Stud. 61:631–653.Crossref, Google Scholar
- (2012) Gravity in international finance. J. Internat. Econom. 87:205–215.Crossref, Google Scholar
- (2007) Asset prices and exchange rates. Rev. Financial Stud. 20:1139–1180.Crossref, Google Scholar
- (1994) The stationary bootstrap. J. Amer. Statist. Assoc. 89:1303–1313.Crossref, Google Scholar
- (2002) A User Guide to Measure Theoretic Probability (Cambridge University Press, Cambridge, UK).Google Scholar
- (2017) Commodity trade and the carry trade: A tale of two countries. J. Finance 72:2629–2684.Crossref, Google Scholar
- (2009) FX volatility smile construction. Working paper, Frankfurt School of Management, Germany.Google Scholar
- (2019) Trade network centrality and currency risk premia. J. Finance 74:1315–1361.Crossref, Google Scholar
- (1994) The dynamics and the term structure of risk premia in foreign exchange markets. Working paper, University of Chicago, Chicago.Google Scholar
- (2020) Model-free international stochastic discount factors. J. Finance , Forthcoming.Crossref, Google Scholar
- (2018) Fear trading. Working paper, University of Lugano, Switzerland.Google Scholar
- (2003) Culture, openness, and finance. J. Financial Econom. 70:313–349.Crossref, Google Scholar
- (1962) An analysis of world trade flows. Tinbergen J , ed. Shaping the World Economy: Suggestions for an International Trade Policy (Twentieth-Century Fund Press, New York).Google Scholar
- (2009) Information immobility and the home bias puzzle. J. Finance 64:1187–1215.Crossref, Google Scholar
- (2010) A habit-based explanation of the exchange rate risk premium. J. Finance 65:123–146.Crossref, Google Scholar
- (2013) Can time-varying risk of rare disasters explain aggregate stock market volatility? J. Finance 68:987–1035.Crossref, Google Scholar
- (2017) Term structure of consumption risk premia in the cross section of currency returns. J. Finance 72:1529–1566.Crossref, Google Scholar

