Hansen, Lars Peter
Overview
Works:  102 works in 461 publications in 1 language and 8,608 library holdings 

Genres:  Conference papers and proceedings History 
Roles:  Author, Editor 
Classifications:  HB139, 330.015195 
Publication Timeline
.
Most widely held works by
Lars Peter Hansen
Robustness by
Lars Peter Hansen(
Book
)
10 editions published between 2008 and 2016 in English and held by 431 WorldCat member libraries worldwide
"The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted?" "Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics."Jacket
10 editions published between 2008 and 2016 in English and held by 431 WorldCat member libraries worldwide
"The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted?" "Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics."Jacket
Advances in economics and econometrics : theory and applications : seventh world congress by
Econometric Society(
Book
)
76 editions published between 1997 and 2007 in English and held by 343 WorldCat member libraries worldwide
"This is the third of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields, these volumes provide a unique survey of progress in the discipline."Publisher's Description
76 editions published between 1997 and 2007 in English and held by 343 WorldCat member libraries worldwide
"This is the third of three volumes containing edited versions of papers and commentaries presented in invited symposium sessions of the Eighth World Congress of the Econometric Society. The papers summarize and interpret recent key developments and discuss future directions in a wide range of topics in economics and econometrics. The papers cover both theory and applications. Written by leading specialists in their fields, these volumes provide a unique survey of progress in the discipline."Publisher's Description
Rational expectations econometrics by
Lars Peter Hansen(
Book
)
13 editions published between 1989 and 1991 in English and Undetermined and held by 322 WorldCat member libraries worldwide
13 editions published between 1989 and 1991 in English and Undetermined and held by 322 WorldCat member libraries worldwide
Recursive models of dynamic linear economies by
Lars Peter Hansen(
Book
)
37 editions published between 1990 and 2014 in English and held by 256 WorldCat member libraries worldwide
A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Economies, Lars Peter Hansen and Thomas Sargent use these tools to create a class of econometrically tractable models of prices and quantities. They present examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While Hansen and Sargent demonstrate the analytical benefits acquired when an analysis with a representative consumer is possible, they also characterize the restrictiveness of assumptions under which a representative household justifies a purely aggregative analysis. Based on the 2012 Gorman lectures, the authors unite economic theory with a workable econometrics while going beyond and beneath demand and supply curves for dynamic economies. They construct and apply competitive equilibria for a class of linearquadraticGaussian dynamic economies with complete markets. Their book stresses heterogeneity, aggregation, and how a common structure unites what superficially appear to be diverse applications. An appendix describes MATLAB ® programs that apply to the book's calculations
37 editions published between 1990 and 2014 in English and held by 256 WorldCat member libraries worldwide
A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Economies, Lars Peter Hansen and Thomas Sargent use these tools to create a class of econometrically tractable models of prices and quantities. They present examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While Hansen and Sargent demonstrate the analytical benefits acquired when an analysis with a representative consumer is possible, they also characterize the restrictiveness of assumptions under which a representative household justifies a purely aggregative analysis. Based on the 2012 Gorman lectures, the authors unite economic theory with a workable econometrics while going beyond and beneath demand and supply curves for dynamic economies. They construct and apply competitive equilibria for a class of linearquadraticGaussian dynamic economies with complete markets. Their book stresses heterogeneity, aggregation, and how a common structure unites what superficially appear to be diverse applications. An appendix describes MATLAB ® programs that apply to the book's calculations
Uncertainty within economic models by
Lars Peter Hansen(
Book
)
15 editions published between 2014 and 2015 in English and held by 98 WorldCat member libraries worldwide
15 editions published between 2014 and 2015 in English and held by 98 WorldCat member libraries worldwide
Handbook of financial econometrics by
Yacine AïtSahalia(
Book
)
38 editions published between 2009 and 2010 in English and held by 51 WorldCat member libraries worldwide
Vol 1 covers fundamental econometric techniques and tools on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, these techniques and tools include Markov processes, a system for categorizing volatility concepts, a simulated method of moments indicator, and models for the timing of events. Together they reveal the ways that local characterizations can lead to longrun implications and how relationships between observed and unobserved values can be inferred. Vol 2 covers important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the riskreturn tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. This set is the collection of Volumes 1 & 2. Its contributors include Nobel Laureate Robert Engle and leading econometricians. It offers a clarity of method and explanation unavailable in other financial econometrics collections
38 editions published between 2009 and 2010 in English and held by 51 WorldCat member libraries worldwide
Vol 1 covers fundamental econometric techniques and tools on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, these techniques and tools include Markov processes, a system for categorizing volatility concepts, a simulated method of moments indicator, and models for the timing of events. Together they reveal the ways that local characterizations can lead to longrun implications and how relationships between observed and unobserved values can be inferred. Vol 2 covers important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the riskreturn tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. This set is the collection of Volumes 1 & 2. Its contributors include Nobel Laureate Robert Engle and leading econometricians. It offers a clarity of method and explanation unavailable in other financial econometrics collections
Asset pricing explorations for macroeconomics by
John H Cochrane(
Book
)
12 editions published between 1992 and 1993 in English and held by 42 WorldCat member libraries worldwide
In this paper we argue that financial data are a useful proving ground for macroeconomic models, and we explore the channels that link asset market data to such models. We use Hansen and Jagannathan's bounds on the mean and standard deviation of discount factors to survey several asset pricing puzzles. We then extend the bounds to reflect the correlation of discount factors with asset returns and to characterize conditional moments of discount factors. These characterizations help us to understand the behavior of a variety of models studied in the literature. We also incorporate borrowing constraints into the calculations. The borrowing constraints loosen the required properties of aggregate measurements of intertemporal marginal rates of substitution, but also sharpen the implications of asset market data for the marginal rates of substitution of unconstrained individuals
12 editions published between 1992 and 1993 in English and held by 42 WorldCat member libraries worldwide
In this paper we argue that financial data are a useful proving ground for macroeconomic models, and we explore the channels that link asset market data to such models. We use Hansen and Jagannathan's bounds on the mean and standard deviation of discount factors to survey several asset pricing puzzles. We then extend the bounds to reflect the correlation of discount factors with asset returns and to characterize conditional moments of discount factors. These characterizations help us to understand the behavior of a variety of models studied in the literature. We also incorporate borrowing constraints into the calculations. The borrowing constraints loosen the required properties of aggregate measurements of intertemporal marginal rates of substitution, but also sharpen the implications of asset market data for the marginal rates of substitution of unconstrained individuals
Econometric evaluation of asset pricing models by
Lars Peter Hansen(
Book
)
15 editions published between 1993 and 2015 in English and held by 40 WorldCat member libraries worldwide
Abstract: In this paper we provide econometric tools for the evaluation of intertemporal asset pricing models using specificationerror and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency and derive the limiting distribution of these estimators. The analysis incorportes market frictions such as shortsale constraints and proportional transactions costs. Among several applications we show how to use the methods to assess specific asset pricing models and to provide nonparametric characterizations of asset pricing anomalies
15 editions published between 1993 and 2015 in English and held by 40 WorldCat member libraries worldwide
Abstract: In this paper we provide econometric tools for the evaluation of intertemporal asset pricing models using specificationerror and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency and derive the limiting distribution of these estimators. The analysis incorportes market frictions such as shortsale constraints and proportional transactions costs. Among several applications we show how to use the methods to assess specific asset pricing models and to provide nonparametric characterizations of asset pricing anomalies
Consumption strikes back? : measuring longrun risk by
Lars Peter Hansen(
Book
)
11 editions published in 2005 in English and held by 35 WorldCat member libraries worldwide
"We characterize and measure a longrun risk return tradeoff for the valuation of financial cash flows that are exposed to fluctuations in macroeconomic growth. This tradeoff features components of financial cash flows that are only realized far into the future but are still reflected in current asset values. We use the recursive utility model with empirical inputs from vector autoregressions to quantify this relationship; and we study the longrun risk differences in aggregate securities and in portfolios constructed based on the ratio of book equity to market equity. Finally, we explore the resulting measurement challenges and the implied sensitivity to alternative specifications of stochastic growth"National Bureau of Economic Research web site
11 editions published in 2005 in English and held by 35 WorldCat member libraries worldwide
"We characterize and measure a longrun risk return tradeoff for the valuation of financial cash flows that are exposed to fluctuations in macroeconomic growth. This tradeoff features components of financial cash flows that are only realized far into the future but are still reflected in current asset values. We use the recursive utility model with empirical inputs from vector autoregressions to quantify this relationship; and we study the longrun risk differences in aggregate securities and in portfolios constructed based on the ratio of book equity to market equity. Finally, we explore the resulting measurement challenges and the implied sensitivity to alternative specifications of stochastic growth"National Bureau of Economic Research web site
Assessing specification errors in stochastic discount factor models by
Lars Peter Hansen(
Book
)
8 editions published in 1994 in English and held by 31 WorldCat member libraries worldwide
Abstract: In this paper we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on x2 statistics associated with null hypothesis that models are correct, our measures of model performance do not reward variability of discount factor proxies. One of our measures is designed to exploit fully the implications of arbitragefree pricing of derivative claims. We demonstrate empirically the usefulness of methods in assessing some alternative stochastic factor models that have been proposed in asset pricing literature
8 editions published in 1994 in English and held by 31 WorldCat member libraries worldwide
Abstract: In this paper we develop alternative ways to compare asset pricing models when it is understood that their implied stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on x2 statistics associated with null hypothesis that models are correct, our measures of model performance do not reward variability of discount factor proxies. One of our measures is designed to exploit fully the implications of arbitragefree pricing of derivative claims. We demonstrate empirically the usefulness of methods in assessing some alternative stochastic factor models that have been proposed in asset pricing literature
Long term risk : an operator approach by
Lars Peter Hansen(
Book
)
8 editions published in 2006 in English and held by 25 WorldCat member libraries worldwide
We create an analytical structure that reveals the long run riskreturn relationship for nonlinear continuous time Markov environments. We do so by studying an eigenvalue problem associated with a positive eigenfunction for a conveniently chosen family of valuation operators. This family forms a semigroup whose members are indexed by the elapsed time between payoff and valuation dates. We represent the semigroup using a positive process with three components: an exponential term constructed from the eigenvalue, a martingale and a transient eigenfunction term. The eigenvalue encodes the risk adjustment, the martingale alters the probability measure to capture long run approximation, and the eigenfunction gives the long run dependence on the Markov state. We establish existence and uniqueness of the relevant eigenvalue and eigenfunction. By showing how changes in the stochastic growth components of cash flows induce changes in the corresponding eigenvalues and eigenfunctions, we reveal a longrun risk return tradeoff
8 editions published in 2006 in English and held by 25 WorldCat member libraries worldwide
We create an analytical structure that reveals the long run riskreturn relationship for nonlinear continuous time Markov environments. We do so by studying an eigenvalue problem associated with a positive eigenfunction for a conveniently chosen family of valuation operators. This family forms a semigroup whose members are indexed by the elapsed time between payoff and valuation dates. We represent the semigroup using a positive process with three components: an exponential term constructed from the eigenvalue, a martingale and a transient eigenfunction term. The eigenvalue encodes the risk adjustment, the martingale alters the probability measure to capture long run approximation, and the eigenfunction gives the long run dependence on the Markov state. We establish existence and uniqueness of the relevant eigenvalue and eigenfunction. By showing how changes in the stochastic growth components of cash flows induce changes in the corresponding eigenvalues and eigenfunctions, we reveal a longrun risk return tradeoff
Handbook of financial econometrics : applications by
Yacine AïtSahalia(
Book
)
14 editions published between 2009 and 2010 in English and held by 25 WorldCat member libraries worldwide
Vol 1 covers fundamental econometric techniques and tools on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, these techniques and tools include Markov processes, a system for categorizing volatility concepts, a simulated method of moments indicator, and models for the timing of events. Together they reveal the ways that local characterizations can lead to longrun implications and how relationships between observed and unobserved values can be inferred. Vol 2 covers important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the riskreturn tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. This set is the collection of Volumes 1 & 2. Its contributors include Nobel Laureate Robert Engle and leading econometricians. It offers a clarity of method and explanation unavailable in other financial econometrics collections
14 editions published between 2009 and 2010 in English and held by 25 WorldCat member libraries worldwide
Vol 1 covers fundamental econometric techniques and tools on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, these techniques and tools include Markov processes, a system for categorizing volatility concepts, a simulated method of moments indicator, and models for the timing of events. Together they reveal the ways that local characterizations can lead to longrun implications and how relationships between observed and unobserved values can be inferred. Vol 2 covers important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the riskreturn tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. This set is the collection of Volumes 1 & 2. Its contributors include Nobel Laureate Robert Engle and leading econometricians. It offers a clarity of method and explanation unavailable in other financial econometrics collections
Beliefs, doubts and learning : valuing economic risk by
Lars Peter Hansen(
Book
)
8 editions published in 2007 in English and held by 23 WorldCat member libraries worldwide
This paper explores two perspectives on the rational expectations hypothesis. One perspective is that of economic agents in such a model, who form inferences about the future using probabilities implied by the model. The other is that of an econometrician who makes inferences about the probability model that economic agents are presumed to use. Typically it is assumed that economic agents know more than the econometrician, and econometric ambiguity is often withheld from the economic agents. To understand better both of these perspectives and the relation between them, I appeal to statistical decision theory to characterize when learning or discriminating among competing probability models is challenging. I also use choice theory under uncertainty to explore the ramifications of model uncertainty and learning in environments in which historical data may be insufficient to yield precise probability statements. I use both tools to reassess the macroeconomic underpinnings of asset pricing models. I illustrate how statistical ambiguity can alter the riskreturn tradeoff familiar from asset pricing; and I show that when real time learning is included risk premia are larger when macroeconomic growth is lower than average
8 editions published in 2007 in English and held by 23 WorldCat member libraries worldwide
This paper explores two perspectives on the rational expectations hypothesis. One perspective is that of economic agents in such a model, who form inferences about the future using probabilities implied by the model. The other is that of an econometrician who makes inferences about the probability model that economic agents are presumed to use. Typically it is assumed that economic agents know more than the econometrician, and econometric ambiguity is often withheld from the economic agents. To understand better both of these perspectives and the relation between them, I appeal to statistical decision theory to characterize when learning or discriminating among competing probability models is challenging. I also use choice theory under uncertainty to explore the ramifications of model uncertainty and learning in environments in which historical data may be insufficient to yield precise probability statements. I use both tools to reassess the macroeconomic underpinnings of asset pricing models. I illustrate how statistical ambiguity can alter the riskreturn tradeoff familiar from asset pricing; and I show that when real time learning is included risk premia are larger when macroeconomic growth is lower than average
Estimating models with intertemporal substitution using aggregate time series data by
Martin S Eichenbaum(
Book
)
8 editions published between 1987 and 1991 in English and held by 21 WorldCat member libraries worldwide
In conducting empirical investigations of the permanent income model of consumption and the consumptionbased intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time. In this paper we suggest a method for testing some of these restrictions and present empirical results using this approach. Our empirical analyses focuses on three questions: (i) Can the services from durable and nondurable goods be treated as perfect substitutes? (ii) Are preferences completely separable between durable and nondurable goods? (iii) What is the nature of intertemporal substitutability of nondurable consumption? When consumers' preferences are assumed to be quadratic, there is very little evidence against the hypothesis that the services from durable goods and nondurable goods are perfect substitutes. These results call into question the practice of testing quadratic models of aggregate consumption using data on nondurables and services only. When we consider S branch specifications, we find more evidence against perfect substitutability between service flows, but less evidence against strict separability across durable and nondurable consumption goods. Among other things, these findings suggest that the empirical shortcomings of the intertemporal asset pricing model cannot be attributed to the neglect of durable goods
8 editions published between 1987 and 1991 in English and held by 21 WorldCat member libraries worldwide
In conducting empirical investigations of the permanent income model of consumption and the consumptionbased intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time. In this paper we suggest a method for testing some of these restrictions and present empirical results using this approach. Our empirical analyses focuses on three questions: (i) Can the services from durable and nondurable goods be treated as perfect substitutes? (ii) Are preferences completely separable between durable and nondurable goods? (iii) What is the nature of intertemporal substitutability of nondurable consumption? When consumers' preferences are assumed to be quadratic, there is very little evidence against the hypothesis that the services from durable goods and nondurable goods are perfect substitutes. These results call into question the practice of testing quadratic models of aggregate consumption using data on nondurables and services only. When we consider S branch specifications, we find more evidence against perfect substitutability between service flows, but less evidence against strict separability across durable and nondurable consumption goods. Among other things, these findings suggest that the empirical shortcomings of the intertemporal asset pricing model cannot be attributed to the neglect of durable goods
Back to the future : generating moment implications for continuoustime Markov processes by
Lars Peter Hansen(
Book
)
6 editions published in 1993 in English and held by 19 WorldCat member libraries worldwide
Continuoustime Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reversetime generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method of moments estimators and tests can be constructed using these moment conditions. The resulting econometric methods are designed to be applied to discretetime data obtained by sampling continuoustime Markov processes
6 editions published in 1993 in English and held by 19 WorldCat member libraries worldwide
Continuoustime Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reversetime generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method of moments estimators and tests can be constructed using these moment conditions. The resulting econometric methods are designed to be applied to discretetime data obtained by sampling continuoustime Markov processes
Efficient estimation of linear asset pricing models with movingaverage errors by
Lars Peter Hansen(
Book
)
8 editions published between 1990 and 1997 in English and held by 16 WorldCat member libraries worldwide
This paper explores in depth the nature of the conditional moment restrictions implied by loglinear intertemporal capital asset pricing models (ICAPMs) and shows that the generalized instrumental variables (GMM) estimators of these models (as typically implemented in practice) are inefficient. The moment conditions in the presence of temporally aggregated consumption are derived for two loglinear ICAPMs. The first is a continuous time model in which agents maximize expected utility. In the context of this model, we show that there are important asymmetries between the implied moment conditions for infinitely and finitelylived securities. The second model assumes that agents maximize nonexpected utility, and leads to a very similar econometric relation for the return on the wealth portfolio. Then we describe the efficiency bound (greatest lower bound for the asymptotic variances) of the CNN estimators of the preference parameters in these models. In addition, we calculate the efficient CNN estimators that attain this bound. Finally, we assess the gains in precision from using this optimal CNN estimator relative to the commonly used inefficient CMN estimators
8 editions published between 1990 and 1997 in English and held by 16 WorldCat member libraries worldwide
This paper explores in depth the nature of the conditional moment restrictions implied by loglinear intertemporal capital asset pricing models (ICAPMs) and shows that the generalized instrumental variables (GMM) estimators of these models (as typically implemented in practice) are inefficient. The moment conditions in the presence of temporally aggregated consumption are derived for two loglinear ICAPMs. The first is a continuous time model in which agents maximize expected utility. In the context of this model, we show that there are important asymmetries between the implied moment conditions for infinitely and finitelylived securities. The second model assumes that agents maximize nonexpected utility, and leads to a very similar econometric relation for the return on the wealth portfolio. Then we describe the efficiency bound (greatest lower bound for the asymptotic variances) of the CNN estimators of the preference parameters in these models. In addition, we calculate the efficient CNN estimators that attain this bound. Finally, we assess the gains in precision from using this optimal CNN estimator relative to the commonly used inefficient CMN estimators
Modeling the long run : valuation in dynamic stochastic economies by
Lars Peter Hansen(
Book
)
8 editions published in 2008 in English and held by 14 WorldCat member libraries worldwide
I explore the equilibrium value implications of economic models that incorporate reactions to a stochastic environment. I propose a dynamic value decomposition (DVD) designed to distinguish components of an underlying economic model that influence values over long horizons from components that impact only the short run. To quantify the role of parameter sensitivity and to impute longterm risk prices, I develop an associated perturbation technique. Finally, I use DVD methods to study formally some example economies and to speculate about others. A DVD is enabled by constructing operators indexed by the elapsed time between the date of pricing and the date of the future payoff (i.e. the future realization of a consumption claim). Thus formulated, methods from applied mathematics permit me to characterize valuation behavior as the time between price determination and payoff realization becomes large. An outcome of this analysis is the construction of a multiplicative martingale component of a process that is used to represent valuation in a dynamic economy with stochastic growth. I contrast the differences in the applicability between this multiplicative martingale method and an additive martingale method familiar from time series analysis that is used to identify shocks with longrun economic consequences
8 editions published in 2008 in English and held by 14 WorldCat member libraries worldwide
I explore the equilibrium value implications of economic models that incorporate reactions to a stochastic environment. I propose a dynamic value decomposition (DVD) designed to distinguish components of an underlying economic model that influence values over long horizons from components that impact only the short run. To quantify the role of parameter sensitivity and to impute longterm risk prices, I develop an associated perturbation technique. Finally, I use DVD methods to study formally some example economies and to speculate about others. A DVD is enabled by constructing operators indexed by the elapsed time between the date of pricing and the date of the future payoff (i.e. the future realization of a consumption claim). Thus formulated, methods from applied mathematics permit me to characterize valuation behavior as the time between price determination and payoff realization becomes large. An outcome of this analysis is the construction of a multiplicative martingale component of a process that is used to represent valuation in a dynamic economy with stochastic growth. I contrast the differences in the applicability between this multiplicative martingale method and an additive martingale method familiar from time series analysis that is used to identify shocks with longrun economic consequences
Challenges in identifying and measuring systemic risk by
Lars Peter Hansen(
Book
)
7 editions published between 2012 and 2013 in English and held by 9 WorldCat member libraries worldwide
Sparked by the recent 'great recession' and the role of financial markets, considerable interest exists among researchers within both the academic community and the public sector in modeling and measuring systemic risk. In this essay I draw on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more generally, of providing empirical constructs that can enhance our understanding of linkages between financial markets and the macroeconomy  National Bureau of Economic Research web site
7 editions published between 2012 and 2013 in English and held by 9 WorldCat member libraries worldwide
Sparked by the recent 'great recession' and the role of financial markets, considerable interest exists among researchers within both the academic community and the public sector in modeling and measuring systemic risk. In this essay I draw on experiences with other measurement agendas to place in perspective the challenge of quantifying systemic risk, or more generally, of providing empirical constructs that can enhance our understanding of linkages between financial markets and the macroeconomy  National Bureau of Economic Research web site
Shock elasticities and impulse responses by
Jaroslav Borovička(
Book
)
4 editions published in 2014 in English and held by 3 WorldCat member libraries worldwide
We construct shock elasticities that are pricing counterparts to impulse response functions. Recall that impulse response functions measure the importance of nextperiod shocks for future values of a time series. Shock elasticities measure the contributions to the price and to the expected future cash flow from changes in the exposure to a shock in the next period. They are elasticities because their measurements compute proportionate changes. We show a particularly close link between these objects in environments with Brownian information structures
4 editions published in 2014 in English and held by 3 WorldCat member libraries worldwide
We construct shock elasticities that are pricing counterparts to impulse response functions. Recall that impulse response functions measure the importance of nextperiod shocks for future values of a time series. Shock elasticities measure the contributions to the price and to the expected future cash flow from changes in the exposure to a shock in the next period. They are elasticities because their measurements compute proportionate changes. We show a particularly close link between these objects in environments with Brownian information structures
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 Dewatripont, M. (Mathias) Editor
 Turnovsky, Stephen J. Editor
 Econometric Society World Congress 2000 : University of Washington)
 Sargent, Thomas J. Honoree Contributor
 AïtSahalia, Yacine Editor
 National Bureau of Economic Research
 Scheinkman, José Alexandre
 Maskin, Eric S.
 Heaton, John 1959 Contributor
 Jagannathan, Ravi
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Assets (Accounting)Econometric models Assets (Accounting)PricesMathematical models Capital assets pricing model Congresses and conventions Consumption (Economics)Mathematical models Durable goods, ConsumerMathematical models Econometric models Econometrics EconometricsAsymptotic theory Economics EconomicsMathematical models Elasticity (Economics) Equilibrium (Economics)Mathematical models FinanceEconometric models Financial crisesEconometric models Kalman filtering Macroeconomics Management Markov processes Rational expectations (Economic theory) Risk assessmentEconometric models RiskEconometric models Robust control Robust optimization Social security Substitution (Economics)Mathematical models Uncertainty United States
Alternative Names
Hansen, Lars 1952
Hansen, Lars P. 1952
Hansen, Lars Peter
Lars Hansen
Lars Peter Hansen americký ekonom
Lars Peter Hansen Amerikaans econoom
Lars Peter Hansen amerikansk ekonom
Lars Peter Hansen amerikansk økonom
Lars Peter Hansen economista statunitense
Lars Peter Hansen économiste américain
Lars Peter Hansen USamerikanischer Wirtschaftswissenschaftler
Lars Piter Hansen
Laurentius Petrus Hansen
Ларс Петер Гансен
Ларс Пітэр Хансен
Хансен, Ларс Питер
Լարս Փիթեր Հանսեն
لارز پیٹر ہینسن
لارس بيتر هانسن
لارس پیتر هانسن اقتصاددان آمریکایی
لارس پیٹر ہنسن
लार्स पीटर हान्सेन
লারস পিটার হ্যান্সেন
லார்ஸ் பீட்டர் ஹான்சென்
ലാർസ് പീറ്റർ ഹാൻസെൻ
ლარს პიტერ ჰანსენი
라스 피터 핸슨
ラース・ハンセン
拉尔斯·彼得·汉森
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