Higher-order effects in asset-pricing models with long-run risks

Keyphrases

• Nonlinearity 100%
• Asset Pricing Model 100%
• Long-run Risk 100%
• Higher-order Effects 100%
• Campbell 50%
• Model Prediction 50%
• Numerical Error 50%
• Return Predictability 50%
• Shiller 50%
• Later Generations 50%
• Asset Price Dynamics 50%
• Persistent Processes 50%
• Log-linearization 50%
• Equity Premium Predictability 50%

Economics, Econometrics and Finance

• Financial Economics 100%
• Nonlinearity 100%
• Capital Market Returns 50%
• Risk Premium 50%
• Extreme Value 50%
• Price 50%

Mathematics

• Nonlinearity 100%
• Probability Theory 50%
• Extreme Value 50%
• Asset Price 50%