Ole Wilms
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Horizon Effects in the Pricing Kernel: How Investors Price Short-Term Versus Long-Term Risks Open
We show that investors price short-term stock market outcomes very different from outcomes that occur further into the future. To this end, we introduce the expected forward pricing kernel and decompose long-term pricing kernels into short…
Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences Open
Modern asset pricing models combine recursive preferences with complex dynamics for the underlying consumption process. The existence of solutions is for many of these models an unsettled question. This paper introduces a novel technique t…
Supplementary material for Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences Open
Online appendix as well as code to numerically compute the existence condition in equation (18) for discrete time affine models as in equation D.1 of the online appendix.
Unique Solutions to Power-Transformed Affine Systems Open
Systems of the form $x = (A x^s)^{1/s} + b$ arise in a range of economic, financial and control problems, where $A$ is a linear operator acting on a space of real-valued functions (or vectors) and $s$ is a nonzero real value. In these appl…
Adaptive grids for the estimation of dynamic models Open
This paper develops a method to flexibly adapt interpolation grids of value function approximations in the estimation of dynamic models using either NFXP (Rust, Econometrica: Journal of the Econometric Society, 55, 999–1033, 1987) or MP…
Higher Order Effects in Asset Pricing Models with Long‐Run Risks Open
This paper shows that the latest generation of asset pricing models with long‐run risk exhibit economically significant nonlinearities, and thus the ubiquitous Campbell‐Shiller log‐linearization can generate large numerical errors. These e…