Yang K. Lu

Hong Kong University of Science & Technology (HKUST)

Clearwater Bay

Kowloon, 999999

Hong Kong

SCHOLARLY PAPERS

2

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131

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Scholarly Papers (2)

Learning, Rare Disasters, and Asset Prices

Number of pages: 35 Posted: 01 Jan 2012 Last Revised: 02 May 2016
Yang K. Lu and Michael Siemer
Hong Kong University of Science & Technology (HKUST) and Board of Governors of the Federal Reserve System
Downloads 101 (224,603)

Abstract:

rare events, disaster, Bayesian learning, time-varying risk premia, return predictability

Learning, Rare Disasters, and Asset Prices

Board of Governors of the Federal Reserve System Research Paper Series - FEDS Paper No. 2013-85
Number of pages: 34 Posted: 06 Dec 2013
Yang K. Lu and Michael Siemer
Hong Kong University of Science & Technology (HKUST) and Board of Governors of the Federal Reserve System
Downloads 29 (415,838)

Abstract:

Rare disasters, Bayesian learning, equity premium puzzle, time-varying risk premia, return predictability

2.

The Power of Whispers: A Theory of Rumor, Communication, and Revolution

International Economic Review, Vol. 57, Issue 1, pp. 89-116, 2016
Number of pages: 28 Posted: 12 Feb 2016
Heng Chen, Yang K. Lu and Wing Suen
The University of Hong Kong - School of Economics and Finance, Hong Kong University of Science & Technology (HKUST) and The University of Hong Kong - School of Economics and Finance
Downloads 0 (551,705)
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Abstract: