Jantje Sönksen

University of Tübingen

Sigwartstr. 18

Tübingen, Baden-Wuerttemberg 72076

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

620

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Consumption-Based Asset Pricing with Rare Disaster Risk - A Simulated Method of Moments Approach

Number of pages: 52 Posted: 18 Feb 2014 Last Revised: 04 Oct 2018
Joachim Grammig and Jantje Sönksen
Eberhard Karls Universität Tübingen and University of Tübingen
Downloads 232 (138,902)
Citation 2

Abstract:

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rare disaster hypothesis, simulated method of moments, consumption-based asset pricing

2.

Consumption-Based Asset Pricing with Rare Disaster Risk - A Simulated Method of Moments Approach

CFS Working Paper No. 480
Number of pages: 60 Posted: 11 Oct 2014 Last Revised: 29 Jun 2016
Joachim Grammig and Jantje Sönksen
Eberhard Karls Universität Tübingen and University of Tübingen
Downloads 114 (254,366)
Citation 1

Abstract:

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equity premium, rare disaster risk, asset pricing, simulated method of moments

3.

Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia

Number of pages: 69 Posted: 24 Feb 2020 Last Revised: 23 Mar 2020
Eberhard Karls Universität Tübingen, University of Tuebingen - Faculty of Economics and Social Sciences, Leibniz Institute for Financial Research SAFE and University of Tübingen
Downloads 105 (271,285)

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stock risk premia, return forecasts, machine learning, theory-based return prediction

4.

Empirical Asset Pricing with Multi-Period Disasters and Partial Government Defaults

Number of pages: 49 Posted: 06 Jun 2016 Last Revised: 04 Jan 2017
Jantje Sönksen
University of Tübingen
Downloads 88 (302,464)

Abstract:

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empirical asset pricing, rare disaster hypothesis, multi-period disasters, recursive preferences, partial government defaults, equity premium, simulation-based estimation

5.

The Taming of the Two - Simulation-Based Asset Pricing with Multi-Period Disasters and Two Consumption Goods

Number of pages: 70 Posted: 23 Mar 2017 Last Revised: 04 Oct 2018
Jantje Sönksen
University of Tübingen
Downloads 51 (404,119)

Abstract:

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multi-period disasters, durable good, simulated method of moments, government defaults

6.

Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach

Number of pages: 65 Posted: 04 Jun 2019
Joachim Grammig and Jantje Sönksen
Eberhard Karls Universität Tübingen and University of Tübingen
Downloads 30 (490,675)

Abstract:

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empirical asset pricing, multi-period disasters, simulation-based estimation